# EDGAR Filing Document

**Accession Number:** 0000035315
**File Stem:** 0000035402-26-000525
**Filing Date:** 2026-1
**Character Count:** 5732907
**Document Hash:** 19cf75673491a3f8c2509c55968eaa56
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-26-000525.hdr.sgml**: 20260123

**ACCESSION NUMBER**: 0000035402-26-000525

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260123

**DATE AS OF CHANGE**: 20260123

**PERIOD START**: 20260831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY SALEM STREET TRUST
- **CENTRAL INDEX KEY:** 0000035315

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02105
- **FILM NUMBER:** 26555484

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FLEXIBLE BOND FUND
- **DATE OF NAME CHANGE:** 19860904

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY CORPORATE BOND FUND INC
- **DATE OF NAME CHANGE:** 19851225

## Series and Classes Contracts Data

### Fidelity U.S. Bond Index Fund (Series ID: S000017676)

| Class ID   | Class Name                    | Ticker Symbol   |
|:---|:---|:---|
| C000100043 | Fidelity U.S. Bond Index Fund | FXNAX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity® U.S. Bond Index Fund**

**November 30, 2025**

UBI-NPRT1-0126

1.810715.121 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 0.5%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.5%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.5%  |  |  |
| Ally Auto Receivables Trust Series 2025-1 Class A3, 3.96% 3/15/2030  | 6090000 | 6096533 |
| American Express Credit Account Master Trust Series 2023-4 Class A, 5.15% 9/16/2030  | 6500000 | 6738434 |
| BMW Vehicle Lease Trust Series 2025-2 Class A3, 3.97% 9/25/2028  | 7800000 | 7808807 |
| BMW Vehicle Owner Trust Series 2025-A Class A3, 4.56% 9/25/2029  | 4060000 | 4097746 |
| Capital One Multi-Asset Execution Trust Series 2019-A3 Class A3, 2.06% 8/15/2028  | 8197000 | 8090773 |
| Capital One Multi-Asset Execution Trust Series 2021-A2 Class A2, 1.39% 7/15/2030  | 13710000 | 12886840 |
| Capital One Prime Auto Receivables Trust Series 2023-1 Class A3, 4.87% 2/15/2028  | 2203339 | 2211045 |
| Capital One Prime Auto Receivables Trust Series 2025-1 Class A3, 3.85% 7/15/2030  | 13940000 | 13983999 |
| CarMax Auto Owner Trust Series 2022-3 Class A3, 3.97% 4/15/2027  | 3107185 | 3106360 |
| CarMax Auto Owner Trust Series 2023-2 Class A3, 5.05% 1/18/2028  | 10268445 | 10311856 |
| CarMax Auto Owner Trust Series 2024-4 Class A3, 4.6% 10/15/2029  | 14190000 | 14311045 |
| CarMax Auto Owner Trust Series 2025-1 Class A3, 4.84% 1/15/2030  | 5160000 | 5226788 |
| Carmax Auto Owner Trust Series 2025-4 Class A3, 3.97% 12/16/2030  | 14000000 | 14022945 |
| Carvana Auto Receivables Trust Series 2025-P3 Class A3, 4.04% 11/11/2030  | 6725000 | 6723594 |
| Chase Issuance Trust Series 2023-A2 Class A, 5.08% 9/15/2030  | 18550000 | 19192798 |
| Citibank Credit Card Issuance Trust Series 2007-A3 Class A3, 6.15% 6/15/2039  | 9616000 | 10741924 |
| Citibank Credit Card Issuance Trust Series 2018-A7 Class A7, 3.96% 10/13/2030  | 12808000 | 12865248 |
| Eart Series 2025-5A Class A3, 4.24% 11/15/2029  | 8200000 | 8211382 |
| Ford Cr Floorplan Mast Own Tr Series 2018-4 Class A, 4.06% 11/15/2030  | 5000000 | 5011723 |
| Ford Credit Auto Owner Trust Series 2023-A Class A3, 4.65% 2/15/2028  | 5798729 | 5811014 |
| Ford Credit Auto Owner Trust Series 2024-D Class A3, 4.61% 8/15/2029  | 16700000 | 16882756 |
| Ford Credit Floorplan Master Owner Trust A Series 2025-2 Class A1, 4.06% 9/15/2030  | 8370000 | 8399006 |
| GM Financial Automobile Leasing Trust Series 2025-1 Class A3, 4.66% 2/21/2028  | 4060000 | 4092061 |
| GM Financial Consumer Automobile Receivables Trust Series 2023-2 Class A3, 4.47% 2/16/2028  | 8789415 | 8801943 |
| Gm Financial Consumer Automobile Receivables Trust Series 2025-4 Class A3, 3.84% 2/18/2031  | 14345000 | 14359775 |
| Harot Series 2025-4 Class A3, 3.98% 6/17/2030  | 13000000 | 13051717 |
| Honda Auto Receivables Owner Trust Series 2025-1 Class A3, 4.57% 9/21/2029  | 11580000 | 11702888 |
| Hyundai Auto Receivables Trust Series 2022-C Class A3, 5.39% 6/15/2027  | 2334173 | 2340081 |
| Hyundai Auto Receivables Trust Series 2023-A Class A3, 4.58% 4/15/2027  | 4454230 | 4458048 |
| Hyundai Auto Receivables Trust Series 2025-D Class A3, 3.99% 9/16/2030  | 15000000 | 15060251 |
| MBART Series 2025-1 Class A3, 4.78% 12/17/2029  | 3435000 | 3477391 |
| Mercedes-Benz Auto Lease Trust Series 2025-B Class A3, 3.88% 4/16/2029  | 13420000 | 13423197 |
| Nissan Auto Lease Trust Series 2025-A Class A3, 4.75% 3/15/2028  | 2335000 | 2361375 |
| Santander Drive Auto Receivables Trust Series 2025-4 Class A3, 4.17% 4/15/2030  | 9475000 | 9490164 |
| Toyota Auto Receivables Owner Trust Series 2025-A Class A3, 4.64% 8/15/2029  | 10510000 | 10609151 |
| Toyota Auto Receivables Owner Trust Series 2025-D Class A3, 3.84% 6/17/2030  | 14000000 | 14004193 |
| World Omni Auto Receivables Trust Series 2025-A Class A3, 4.73% 3/15/2030  | 3380000 | 3414973 |
| World Omni Auto Receivables Trust Series 2025-D Class A3, 3.95% 3/17/2031  | 5535000 | 5549055 |
| TOTAL UNITED STATES |  | 338928879 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $338,174,251) |  | <br> **338928879** |

---

---

| | | |
|:---|:---|:---|
| &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% |  |  |
| Bank of America NA 6% 10/15/2036  | 4075000 | 4473293 |
| Capital One NA 3.45% 7/27/2026  | 10127000 | 10082347 |
| KeyBank NA/Cleveland OH 3.9% 4/13/2029  | 1400000 | 1376638 |
| KeyBank NA/Cleveland OH 4.9% 8/8/2032  | 2000000 | 1996544 |
| Regions Bank/Birmingham AL 6.45% 6/26/2037  | 1850000 | 2021315 |
| Truist Bank 3.3% 5/15/2026  | 6037000 | 6014922 |
| Truist Bank 3.8% 10/30/2026  | 2573000 | 2565362 |
| Truist Bank 4.136% 10/23/2029 (c) | 3000000 | 2997701 |
| Truist Bank 4.42% 7/24/2028 (c) | 13000000 | 13062708 |
| Truist Bank 5 year U.S. Treasury Index + 1.15%, 4.632% 9/17/2029 (b)(c) | 9000000 | 9057559 |
| <br> **TOTAL BANK NOTES**<br> (Cost $53,030,680) |  | <br> **53648389** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 1.5%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 1.5%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 1.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 1.5%  |  |  |
| BANK Series 2017-BNK4 Class ASB, 3.419% 5/15/2050  | 3830546 | 3812554 |
| BANK Series 2020-BN28 Class A4, 1.844% 3/15/2063  | 33271649 | 29731353 |
| BANK Series 2021-BN35 Class A5, 2.285% 6/15/2064  | 16432831 | 14664990 |
| BANK Series 2022-BNK39 Class A4, 2.928% 2/15/2055  | 6000000 | 5496850 |
| BANK Series 2022-BNK41 Class A4, 3.7894% 4/15/2065 (c) | 27916479 | 26795590 |
| BANK Series 2023-BNK45 Class A5, 5.203% 2/15/2056 (c) | 5000000 | 5150625 |
| BANK5 Series 2025-5YR18 Class A3, 5.145% 12/15/2058  | 11170000 | 11513431 |
| BBCMS Mortgage Trust Series 2021-C11 Class A5, 2.322% 9/15/2054  | 20927693 | 18706637 |
| BBCMS Mortgage Trust Series 2021-C12 Class A5, 2.689% 11/15/2054  | 20880000 | 18811604 |
| BBCMS Mortgage Trust Series 2021-C9 Class A5, 2.299% 2/15/2054  | 7000000 | 6333662 |
| BBCMS Mortgage Trust Series 2024-C26 Class A5, 5.829% 5/15/2057 (c) | 18028000 | 19469557 |
| BBCMS Mortgage Trust Series 2025-5C37 Class A3, 5.015% 9/15/2058  | 23500000 | 24130395 |
| BBCMS Mortgage Trust Series 2025-5C38 Class A3, 5.1461% 11/15/2058  | 11820000 | 12217031 |
| Benchmark Mortgage Trust Series 2019-B12 Class A5, 3.1156% 8/15/2052  | 7924856 | 7607466 |
| Benchmark Mortgage Trust Series 2019-B9 Class A5, 4.0156% 3/15/2052  | 18628064 | 18330022 |
| Benchmark Mortgage Trust Series 2020-B19 Class A5, 1.85% 9/15/2053  | 13581251 | 12080232 |
| Benchmark Mortgage Trust Series 2021-B24 Class A5, 2.5843% 3/15/2054  | 20299379 | 18338666 |
| Benchmark Mortgage Trust Series 2023-B39 Class A5, 5.7536% 7/15/2056  | 3500000 | 3733605 |
| Benchmark Mortgage Trust Series 2025-B41 Class A5, 5.4072% 7/15/2068  | 3000000 | 3145220 |
| BMO Mortgage Trust Series 2022-C1 Class A5, 3.374% 2/15/2055  | 9440000 | 8838451 |
| BMO Mortgage Trust Series 2023-C6 Class A5, 5.9562% 9/15/2056  | 3320000 | 3550822 |
| BMO Mortgage Trust Series 2024-C9 Class A5, 5.7592% 7/15/2057  | 15860000 | 16980837 |
| Citigroup Commercial Mortgage Trust Series 2016-C1 Class A4, 3.209% 5/10/2049  | 14743149 | 14661308 |
| Citigroup Commercial Mortgage Trust Series 2016-P4 Class A4, 2.902% 7/10/2049  | 17078544 | 16913553 |
| Computershare Corporate Trust Series 2018-C48 Class A5, 4.302% 1/15/2052  | 15529025 | 15566052 |
| CSAIL Commercial Mortgage Trust Series 2019-C17 Class A4, 2.7628% 9/15/2052  | 14978042 | 14194690 |
| CSAIL Commercial Mortgage Trust Series 2019-C17 Class A5, 3.0161% 9/15/2052  | 14978042 | 14158679 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K053 Class A2, 2.995% 12/25/2025  | 963407 | 960689 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K056 Class A2, 2.525% 5/25/2026  | 14560706 | 14451489 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K057 Class A2, 2.57% 7/25/2026  | 11603184 | 11499789 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K064 Class A2, 3.224% 3/25/2027  | 13702081 | 13588039 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K068 Class A2, 3.244% 8/25/2027  | 18911288 | 18725407 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K079 Class A2, 3.926% 6/25/2028  | 6180678 | 6193476 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K080 Class A2, 3.926% 7/25/2028  | 13178164 | 13227076 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-1510 Class A2, 3.718% 1/25/2031  | 11796839 | 11649061 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-K094 Class A2, 2.903% 6/25/2029  | 40855884 | 39608084 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K104 Class A2, 2.253% 1/25/2030  | 59506180 | 55922552 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K116 Class A2, 1.378% 7/25/2030  | 50584119 | 45353433 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K117 Class A2, 1.406% 8/25/2030  | 25809211 | 23130287 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K118 Class A2, 1.493% 9/25/2030  | 12256958 | 10975592 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K121 Class A2, 1.547% 10/25/2030  | 17206140 | 15372965 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K123 Class A2, 1.621% 12/25/2030  | 22648307 | 20278234 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K125 Class A2, 1.846% 1/25/2031  | 6669796 | 6021163 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K126 Class A2, 2.074% 1/25/2031  | 9492376 | 8673687 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K130 Class A2, 1.723% 6/25/2031  | 8168083 | 7265102 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K136 Class A2, 2.127% 11/25/2031  | 22338983 | 20091818 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-151 Class A2, 3.8% 10/25/2032  | 4000000 | 3912636 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-152 Class A2, 3.78% 11/25/2032  | 30500000 | 29851640 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K140 Class A2, 2.25% 1/25/2032  | 2600000 | 2344126 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K145 Class A2, 2.58% 5/25/2032  | 6900000 | 6308587 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-154 Class A2, 4.35% 1/25/2033  | 15000000 | 15140904 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-157 Class A2, 4.2% 5/25/2033  | 10300000 | 10291018 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-K-153 Class A2, 3.82% 12/25/2032  | 15000000 | 14697381 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-K751 Class A2, 4.412% 3/25/2030  | 12675000 | 12888239 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-163 Class A2, 5% 3/25/2034 (c) | 9080000 | 9531350 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-165 Class A2, 4.489% 9/25/2034  | 7346955 | 7454185 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K546 Class A2, 4.361% 5/25/2030 (c) | 9000000 | 9149636 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K547 Class A2, 4.421% 5/25/2030  | 10600000 | 10785754 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K548 Class A2, 4.32% 9/25/2030 (c) | 8500000 | 8624062 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K549 Class A2, 4.34% 9/25/2030 (c) | 19000000 | 19293164 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K550 Class A2, 4.163% 10/25/2030 (c) | 3000000 | 3023653 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K761 Class A2, 4.4% 6/25/2032  | 23750000 | 24093000 |
| GS Mortgage Securities Trust Series 2020-GC45 Class A5, 2.9106% 2/13/2053  | 36094229 | 34061424 |
| JPMBB Commercial Mortgage Securities Trust Series 2014-C24 Class A5, 3.6385% 11/15/2047  | 1452441 | 1428616 |
| Morgan Stanley Cap I Tr 2020-L4 Series 2020-L4 Class A3, 2.698% 2/15/2053  | 14132234 | 13252938 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class A4, 2.444% 6/15/2054 (c) | 6181000 | 5541194 |
| Msbam Series 2025-5C2 Class A3, 5.107% 11/15/2058  | 3780000 | 3897369 |
| MSWF Commercial Mortgage Trust Series 2023-2 Class A5, 6.014% 12/15/2056  | 4026000 | 4382767 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C52 Class A5, 2.892% 8/15/2052  | 25720280 | 24408682 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C54 Class A4, 3.146% 12/15/2052  | 1836610 | 1757320 |
| Wells Fargo Commercial Mortgage Trust Series 2020-C55 Class A5, 2.725% 2/15/2053  | 12719011 | 11933672 |
| TOTAL UNITED STATES |  | 995975142 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $1,041,784,706) |  | <br> **995975142** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.3%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.3%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.3%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.2%  |  |  |
| Province of Alberta 3.3% 3/15/2028  | 7930000 | 7867773 |
| Province of British Columbia 4.2% 7/6/2033  | 7700000 | 7723112 |
| Province of British Columbia 4.8% 6/11/2035  | 15500000 | 15992983 |
| Province of British Columbia 4.9% 4/24/2029  | 12800000 | 13311334 |
| Province of Ontario 1.125% 10/7/2030  | 19052000 | 16825440 |
| Province of Ontario 4.45% 11/20/2035  | 20500000 | 20616115 |
| Province of Ontario 4.7% 1/15/2030  | 6000000 | 6221402 |
| Province of Quebec 2.75% 4/12/2027  | 10154000 | 10022750 |
| Province of Quebec 4.25% 9/5/2034  | 4100000 | 4089192 |
| Province of Quebec 4.5% 4/3/2029  | 5500000 | 5642342 |
| Province of Quebec 4.5% 9/8/2033  | 7800000 | 7995889 |
| Province of Quebec 4.625% 8/28/2035  | 8000000 | 8160763 |
| TOTAL CANADA |  | 124469095 |
| CHILE - 0.1%  |  |  |
| Chilean Republic 2.55% 7/27/2033  | 24746000 | 21504274 |
| Chilean Republic 3.125% 1/21/2026  | 1000000 | 996875 |
| Chilean Republic 3.24% 2/6/2028  | 9215000 | 9049130 |
| Chilean Republic 3.625% 10/30/2042  | 10385000 | 8557240 |
| Chilean Republic 3.86% 6/21/2047  | 4931000 | 4013834 |
| Chilean Republic 4.95% 1/5/2036  | 9000000 | 9126000 |
| Chilean Republic 5.33% 1/5/2054  | 8800000 | 8703200 |
| Chilean Republic 5.65% 1/13/2037  | 3100000 | 3291425 |
| TOTAL CHILE |  | 65241978 |
| HUNGARY - 0.0%  |  |  |
| Hungary Government 7.625% 3/29/2041  | 5792000 | 6826219 |
| INDONESIA - 0.1%  |  |  |
| Indonesia Government 2.85% 2/14/2030  | 27839000 | 26307855 |
| Indonesia Government 3.4% 9/18/2029  | 12400000 | 12078375 |
| Indonesia Government 3.5% 2/14/2050  | 21266000 | 15723549 |
| Indonesia Government 4.9% 4/16/2036  | 6350000 | 6362700 |
| Indonesia Government 5.25% 1/15/2030  | 5000000 | 5192187 |
| Indonesia Government 5.35% 2/11/2049  | 13600000 | 13719000 |
| Indonesia Government 5.6% 1/15/2035  | 5500000 | 5843750 |
| TOTAL INDONESIA |  | 85227416 |
| ISRAEL - 0.1%  |  |  |
| Israel Government 3.25% 1/17/2028  | 11430000 | 11190662 |
| Israel Government 3.375% 1/15/2050  | 23561000 | 16092228 |
| Israel Government 5.375% 2/19/2030  | 4500000 | 4655146 |
| Israel Government 5.375% 3/12/2029  | 3700000 | 3810737 |
| Israel Government 5.5% 3/12/2034  | 3500000 | 3639734 |
| Israel Government 5.625% 2/19/2035  | 13200000 | 13856807 |
| Israel Government 5.75% 3/12/2054  | 3700000 | 3609014 |
| TOTAL ISRAEL |  | 56854328 |
| ITALY - 0.0%  |  |  |
| Italian Republic 2.875% 10/17/2029  | 21266000 | 20452576 |
| Italian Republic 3.875% 5/6/2051  | 3300000 | 2488041 |
| Italian Republic 4% 10/17/2049  | 9200000 | 7139265 |
| TOTAL ITALY |  | 30079882 |
| JAPAN - 0.0%  |  |  |
| Japan International Cooperation Agency 1.75% 4/28/2031  | 7910000 | 7083436 |
| KOREA (SOUTH) - 0.0%  |  |  |
| Korean Republic 3.625% 10/29/2030  | 12800000 | 12759060 |
| MEXICO - 0.3%  |  |  |
| United Mexican States 3.5% 2/12/2034  | 32290000 | 28011575 |
| United Mexican States 4.28% 8/14/2041  | 34799000 | 28117592 |
| United Mexican States 4.35% 1/15/2047  | 11447000 | 8768402 |
| United Mexican States 4.5% 1/31/2050  | 7346000 | 5649074 |
| United Mexican States 4.6% 1/23/2046  | 4766000 | 3812800 |
| United Mexican States 4.6% 2/10/2048  | 13941000 | 10969894 |
| United Mexican States 4.75% 3/22/2031  | 29000000 | 28666500 |
| United Mexican States 4.75% 3/8/2044  | 15804000 | 13148928 |
| United Mexican States 5.55% 1/21/2045  | 3111000 | 2895563 |
| United Mexican States 5.85% 7/2/2032  | 9040000 | 9329280 |
| United Mexican States 6.05% 1/11/2040  | 3812000 | 3817718 |
| United Mexican States 6.35% 2/9/2035  | 18700000 | 19702320 |
| United Mexican States 6.625% 1/29/2038  | 9798000 | 10336890 |
| United Mexican States 7.375% 5/13/2055  | 6900000 | 7562400 |
| TOTAL MEXICO |  | 180788936 |
| PANAMA - 0.1%  |  |  |
| Panamanian Republic 3.16% 1/23/2030  | 14972000 | 13931446 |
| Panamanian Republic 4.3% 4/29/2053  | 4663000 | 3450620 |
| Panamanian Republic 4.5% 4/1/2056  | 15853000 | 11826338 |
| Panamanian Republic 4.5% 4/16/2050  | 10235000 | 7781159 |
| Panamanian Republic 6.4% 2/14/2035  | 16340000 | 17039515 |
| Panamanian Republic 7.5% 3/1/2031  | 4300000 | 4738600 |
| Panamanian Republic 7.875% 3/1/2057  | 3300000 | 3821710 |
| TOTAL PANAMA |  | 62589388 |
| PERU - 0.1%  |  |  |
| Peruvian Republic 1.862% 12/1/2032  | 19951000 | 16609208 |
| Peruvian Republic 2.78% 12/1/2060  | 3287000 | 1853046 |
| Peruvian Republic 3.55% 3/10/2051  | 14983000 | 10742811 |
| Peruvian Republic 5.5% 3/30/2036  | 18847000 | 19355869 |
| Peruvian Republic 5.875% 8/8/2054  | 5450000 | 5488150 |
| Peruvian Republic 6.2% 6/30/2055  | 4080000 | 4275840 |
| Peruvian Republic 6.55% 3/14/2037  | 2443000 | 2726388 |
| TOTAL PERU |  | 61051312 |
| PHILIPPINES - 0.1%  |  |  |
| Philippine Republic 1.648% 6/10/2031  | 14500000 | 12622250 |
| Philippine Republic 2.65% 12/10/2045  | 18269000 | 12285903 |
| Philippine Republic 3% 2/1/2028  | 15092000 | 14771295 |
| Philippine Republic 3.95% 1/20/2040  | 12692000 | 11295880 |
| Philippine Republic 5.17% 10/13/2027  | 6800000 | 6941168 |
| Philippine Republic 5.9% 2/4/2050  | 7000000 | 7434000 |
| Philippine Republic 6.375% 10/23/2034  | 25842000 | 29097058 |
| TOTAL PHILIPPINES |  | 94447554 |
| POLAND - 0.1%  |  |  |
| Republic of Poland 4.625% 3/18/2029  | 4160000 | 4253516 |
| Republic of Poland 4.875% 2/12/2030  | 9050000 | 9339600 |
| Republic of Poland 5.125% 9/18/2034  | 9500000 | 9768375 |
| Republic of Poland 5.375% 2/12/2035  | 9850000 | 10255919 |
| Republic of Poland 5.5% 3/18/2054  | 5880000 | 5728590 |
| Republic of Poland 5.5% 4/4/2053  | 8010000 | 7769460 |
| TOTAL POLAND |  | 47115460 |
| URUGUAY - 0.1%  |  |  |
| Uruguay Republic 4.125% 11/20/2045  | 3773151 | 3343012 |
| Uruguay Republic 4.375% 1/23/2031  | 12586574 | 12773400 |
| Uruguay Republic 4.375% 10/27/2027  | 644425 | 646680 |
| Uruguay Republic 4.975% 4/20/2055  | 16418564 | 15146126 |
| Uruguay Republic 5.442% 2/14/2037  | 13900000 | 14560528 |
| TOTAL URUGUAY |  | 46469746 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $966,273,044) |  | <br> **881003810** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Municipal Securities - 0.4%** | &nbsp;&nbsp;**Municipal Securities - 0.4%** | &nbsp;&nbsp;**Municipal Securities - 0.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| California - 0.2%  |  |  |
| Education - 0.0% |  |  |
| California St Univ Rev 2.719% 11/1/2052  | 6750000 | 4520489 |
| University CA Revs Series 2015 AP, 3.931% 5/15/2045  | 2970000 | 2762425 |
|  |  | 7282914 |
| General Obligations - 0.2% |  |  |
| Golden State Tobacco Securitization Corp. Tobacco Settlement (State of California Proj.) Series 2021 B, 2.746% 6/1/2034  | 5025000 | 4615636 |
| Golden State Tobacco Securitization Corp. Tobacco Settlement (State of California Proj.) Series 2021 B, 3.293% 6/1/2042  | 2435000 | 2057899 |
| Los Angeles CA Ccd 6.75% 8/1/2049  | 7505000 | 8487096 |
| State of California 7.55% 4/1/2039  | 19660000 | 24203615 |
| State of California 7.6% 11/1/2040  | 10305000 | 12822024 |
| State of California Gen. Oblig. 3.5% 4/1/2028  | 10235000 | 10196331 |
|  |  | 62382601 |
| Health Care - 0.0% |  |  |
| Univ CA Regts Med Ctr Pooled Rev (Univ CA Regts Med Ctr Pooled Rev Proj.) Series 2020 N, 3.256% 5/15/2060  | 10635000 | 6997432 |
| Univ CA Regts Med Ctr Pooled Rev Series 2020 N, 3.006% 5/15/2050  | 10465000 | 7036161 |
|  |  | 14033593 |
| Transportation - 0.0% |  |  |
| Bay Area Toll Auth CA Bridge Rev 6.263% 4/1/2049  | 3750000 | 4039599 |
| Bay Area Toll Auth CA Bridge Rev 7.043% 4/1/2050  | 5635000 | 6571396 |
| Los Angeles CA Dept Arpts Rev 6.582% 5/15/2039  | 3270000 | 3570506 |
|  |  | 14181501 |
| TOTAL CALIFORNIA |  | 97880609 |
| Idaho - 0.0%  |  |  |
| Electric Utilities - 0.0% |  |  |
| Idaho Energy Res Auth Transmission Facs Rev (Bonneville Power Administration Proj.) Series 2021, 2.861% 9/1/2046  | 2955000 | 2156980 |
| Illinois - 0.1%  |  |  |
| General Obligations - 0.1% |  |  |
| Illinois St Gen. Oblig. 5.1% 6/1/2033  | 18973578 | 19471314 |
| Transportation - 0.0% |  |  |
| Chicago IL O'Hare Intl Arpt Rev 6.395% 1/1/2040  | 7250000 | 8181629 |
| TOTAL ILLINOIS |  | 27652943 |
| Kansas - 0.0%  |  |  |
| General Obligations - 0.0% |  |  |
| Kansas St Dev Fin Auth Rev (Kansas St Proj.) Series 2015 H, 4.927% 4/15/2045  | 6035000 | 6069346 |
| Massachusetts - 0.0%  |  |  |
| General Obligations - 0.0% |  |  |
| Massachusetts St Gen. Oblig. Series 2016F, 3.277% 6/1/2046  | 3750000 | 3015449 |
| Water & Sewer - 0.0% |  |  |
| Massachusetts St Wtr Res Auth Series 2021C, 2.823% 8/1/2041  | 4445000 | 3618332 |
| TOTAL MASSACHUSETTS |  | 6633781 |
| Michigan - 0.0%  |  |  |
| General Obligations - 0.0% |  |  |
| Michigan St Strategic Fd Ltd Oblig Rev (State of Michigan Proj.) Series 2021 A, 3.225% 9/1/2047  | 6815000 | 5283694 |
| New Jersey - 0.0%  |  |  |
| General Obligations - 0.0% |  |  |
| New Jersey Eco Dev Auth St Pen (New Jersey St Proj.) 7.425% 2/15/2029 (National Public Finance Guarantee Corporation Insured)  | 967000 | 1012820 |
| Transportation - 0.0% |  |  |
| New Jersey Turnpike Authority 7.414% 1/1/2040  | 3734000 | 4503189 |
| TOTAL NEW JERSEY |  | 5516009 |
| New Jersey,New York - 0.1%  |  |  |
| Transportation - 0.1% |  |  |
| Port Auth NY & NJ 4.96% 8/1/2046  | 4115000 | 3952252 |
| Port Auth NY & NJ 5.647% 11/1/2040  | 4135000 | 4440206 |
| Port Auth NY & NJ Series 225, 3.175% 7/15/2060  | 18365000 | 12131104 |
|  |  | 20523562 |
| TOTAL NEW JERSEY,NEW YORK |  | 20523562 |
| New York - 0.0%  |  |  |
| Special Tax - 0.0% |  |  |
| New York St Dorm Auth St Pers Income Tax Rev (New York State Pit Proj.) 2.202% 3/15/2034  | 16190000 | 13797018 |
| Transportation - 0.0% |  |  |
| Metropolitan Transn Auth NY Rv 6.668% 11/15/2039  | 4895000 | 5426958 |
| Water & Sewer - 0.0% |  |  |
| New York NY Cty Muni Wtr Fin Auth 5.952% 6/15/2042  | 7170000 | 7512241 |
| TOTAL NEW YORK |  | 26736217 |
| Ohio - 0.0%  |  |  |
| Electric Utilities - 0.0% |  |  |
| American Mun Pwr Rev 8.084% 2/15/2050  | 7725000 | 9957179 |
| Oregon - 0.0%  |  |  |
| Electric Utilities - 0.0% |  |  |
| Port of Morrow or 2.987% 9/1/2036 (Bonneville Power Administration Guaranteed)  | 4495000 | 3943482 |
| Pennsylvania - 0.0%  |  |  |
| General Obligations - 0.0% |  |  |
| Commonwealth Fing Auth PA Rev (Pennsylvania St Proj.) 4.144% 6/1/2038  | 6095000 | 5763659 |
| South Carolina - 0.0%  |  |  |
| Electric Utilities - 0.0% |  |  |
| South Carolina St Svc Auth Rev Series 2013 C, 5.784% 12/1/2041  | 8986000 | 9390435 |
| Texas - 0.0%  |  |  |
| Electric Utilities - 0.0% |  |  |
| San Antonio TX Elec & Gas Rev Series 2025A, 5.469% 2/1/2045  | 1405000 | 1428557 |
| Special Tax - 0.0% |  |  |
| Dallas TX Rapid Transit Sales Tax Rev Series 2021 A, 2.613% 12/1/2048  | 12565000 | 8753508 |
| Transportation - 0.0% |  |  |
| Dallas Fort Worth International Airport 4.507% 11/1/2051  | 4485000 | 3968659 |
| Dallas Fort Worth International Airport Series 2019A, 3.144% 11/1/2045  | 1850000 | 1447359 |
| Dallas Fort Worth International Airport Series 2021 C, 2.843% 11/1/2046  | 11600000 | 8568434 |
|  |  | 13984452 |
| TOTAL TEXAS |  | 24166517 |
| Virginia - 0.0%  |  |  |
| Education - 0.0% |  |  |
| University VA Univ Revs (University VA Univ Revs Proj.) 2.584% 11/1/2051  | 1885000 | 1190562 |
| University VA Univ Revs Series SER C, 4.179% 9/1/2117  | 3775000 | 2888616 |
|  |  | 4079178 |
| TOTAL VIRGINIA |  | 4079178 |
| <br> **TOTAL MUNICIPAL SECURITIES**<br> (Cost $302,953,039) |  | <br> **255753591** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 26.1%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 26.1%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 26.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.2%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Westpac Banking Corp 1.953% 11/20/2028  | 5800000 | 5499721 |
| Westpac Banking Corp 2.668% 11/15/2035 (c) | 2000000 | 1812315 |
| Westpac Banking Corp 2.85% 5/13/2026  | 3774000 | 3754647 |
| Westpac Banking Corp 3.02% 11/18/2036 (c) | 2000000 | 1809532 |
| Westpac Banking Corp 4.11% 7/24/2034 (c) | 11666000 | 11495878 |
| Westpac Banking Corp 4.354% 7/1/2030  | 5720000 | 5799537 |
| Westpac Banking Corp 4.421% 7/24/2039  | 6630000 | 6228034 |
| Westpac Banking Corp 5.405% 8/10/2033 (c) | 2000000 | 2075975 |
| Westpac Banking Corp 5.457% 11/18/2027  | 10000000 | 10314208 |
| Westpac Banking Corp 5.618% 11/20/2035 (c) | 2400000 | 2497484 |
|  |  | 51287331 |
| Materials - 0.1% |  |  |
| Metals & Mining - 0.1% |  |  |
| BHP Billiton Finance USA Ltd 4.75% 2/28/2028  | 7460000 | 7585238 |
| BHP Billiton Finance USA Ltd 4.9% 2/28/2033  | 8000000 | 8195687 |
| BHP Billiton Finance USA Ltd 5% 9/30/2043  | 3783000 | 3635851 |
| BHP Billiton Finance USA Ltd 5.3% 2/21/2035  | 14660000 | 15259181 |
| BHP Billiton Finance USA Ltd 5.75% 9/5/2055  | 2800000 | 2919027 |
| Rio Tinto Finance USA Ltd 5.2% 11/2/2040  | 10343000 | 10441969 |
| Rio Tinto Finance USA Ltd 7.125% 7/15/2028  | 1589000 | 1714548 |
| Rio Tinto Finance USA PLC 4.875% 3/14/2030  | 4320000 | 4446583 |
| Rio Tinto Finance USA PLC 5.125% 3/9/2053  | 5600000 | 5316272 |
| Rio Tinto Finance USA PLC 5.25% 3/14/2035  | 8780000 | 9108766 |
| Rio Tinto Finance USA PLC 5.75% 3/14/2055  | 3700000 | 3830798 |
|  |  | 72453920 |
| TOTAL AUSTRALIA |  | 123741251 |
| BELGIUM - 0.2%  |  |  |
| Consumer Staples - 0.2% |  |  |
| Beverages - 0.2% |  |  |
| Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc 4.7% 2/1/2036  | 10000000 | 9992753 |
| Anheuser-Busch InBev Finance Inc 4.625% 2/1/2044  | 4567000 | 4180826 |
| Anheuser-Busch InBev Finance Inc 4.7% 2/1/2036 (d) | 3868000 | 3865196 |
| Anheuser-Busch InBev Finance Inc 4.9% 2/1/2046 (d) | 14442000 | 13554565 |
| Anheuser-Busch InBev Worldwide Inc 3.5% 6/1/2030  | 5000000 | 4897277 |
| Anheuser-Busch InBev Worldwide Inc 4.439% 10/6/2048  | 5873000 | 5150912 |
| Anheuser-Busch InBev Worldwide Inc 4.6% 4/15/2048  | 14894000 | 13511103 |
| Anheuser-Busch InBev Worldwide Inc 5.55% 1/23/2049  | 33724000 | 34314171 |
| Anheuser-Busch InBev Worldwide Inc 5.8% 1/23/2059  | 11081000 | 11553264 |
| Anheuser-Busch InBev Worldwide Inc 8.2% 1/15/2039  | 3624000 | 4716950 |
| TOTAL BELGIUM |  | 105737017 |
| BRAZIL - 0.1%  |  |  |
| Materials - 0.1% |  |  |
| Metals & Mining - 0.1% |  |  |
| Vale Overseas Ltd 3.75% 7/8/2030  | 19333000 | 18625412 |
| Vale Overseas Ltd 6.125% 6/12/2033  | 2150000 | 2301339 |
| Vale Overseas Ltd 6.4% 6/28/2054  | 1770000 | 1814321 |
| Vale SA 5.625% 9/11/2042  | 5243000 | 5293594 |
|  |  | 28034666 |
| Paper & Forest Products - 0.0% |  |  |
| Suzano Austria GmbH 2.5% 9/15/2028  | 11930000 | 11248797 |
| Suzano Austria GmbH 6% 1/15/2029  | 9570000 | 9847530 |
|  |  | 21096327 |
| TOTAL BRAZIL |  | 49130993 |
| CANADA - 0.8%  |  |  |
| Communication Services - 0.0% |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |
| Rogers Communications Inc 2.9% 11/15/2026  | 1986000 | 1962865 |
| Rogers Communications Inc 3.625% 12/15/2025  | 1589000 | 1588498 |
| Rogers Communications Inc 3.8% 3/15/2032  | 23199000 | 21945038 |
| Rogers Communications Inc 4.55% 3/15/2052  | 4570000 | 3712545 |
| Rogers Communications Inc 5.45% 10/1/2043  | 4588000 | 4387155 |
|  |  | 33596101 |
| Energy - 0.2% |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |
| Canadian Natural Resources Ltd 4.95% 6/1/2047  | 5084000 | 4510841 |
| Canadian Natural Resources Ltd 5.85% 2/1/2035  | 9570000 | 10030170 |
| Canadian Natural Resources Ltd 6.25% 3/15/2038  | 5441000 | 5843745 |
| Cenovus Energy Inc 2.65% 1/15/2032  | 5664000 | 5048417 |
| Cenovus Energy Inc 4.25% 4/15/2027  | 7547000 | 7579794 |
| Cenovus Energy Inc 5.4% 6/15/2047  | 4439000 | 4110989 |
| Cenovus Energy Inc 6.75% 11/15/2039  | 457000 | 509375 |
| Enbridge Inc 4.2% 11/20/2028  | 6000000 | 6015102 |
| Enbridge Inc 5.5% 12/1/2046  | 11511000 | 11476917 |
| Enbridge Inc 5.55% 6/20/2035  | 12800000 | 13310610 |
| Enbridge Inc 5.625% 4/5/2034  | 5500000 | 5776078 |
| Enbridge Inc 5.7% 3/8/2033  | 3480000 | 3685811 |
| Enbridge Inc 5.95% 4/5/2054  | 2820000 | 2905998 |
| Enbridge Inc 7.2% 6/27/2054 (c) | 1674000 | 1794218 |
| Enbridge Inc 8.5% 1/15/2084 (c) | 1880000 | 2156869 |
| South Bow USA Infrastructure Holdings LLC 5.026% 10/1/2029  | 2620000 | 2659646 |
| South Bow USA Infrastructure Holdings LLC 5.584% 10/1/2034  | 2320000 | 2348253 |
| South Bow USA Infrastructure Holdings LLC 6.176% 10/1/2054  | 2320000 | 2257291 |
| Suncor Energy Inc 4% 11/15/2047  | 3972000 | 3049195 |
| Suncor Energy Inc 6.8% 5/15/2038  | 6708000 | 7459807 |
| Suncor Energy Inc 6.85% 6/1/2039  | 1589000 | 1781498 |
| TransCanada PipeLines Ltd 4.625% 3/1/2034  | 10000000 | 9816146 |
| TransCanada PipeLines Ltd 4.75% 5/15/2038  | 8334000 | 7942241 |
| TransCanada PipeLines Ltd 4.875% 5/15/2048  | 3908000 | 3564219 |
| TransCanada PipeLines Ltd 5.1% 3/15/2049  | 2778000 | 2611048 |
| TransCanada PipeLines Ltd 6.1% 6/1/2040  | 5321000 | 5646656 |
|  |  | 133890934 |
| Financials - 0.5% |  |  |
| Banks - 0.5% |  |  |
| Bank of Montreal 3.803% 12/15/2032 (c) | 9260000 | 9128244 |
| Bank of Montreal 4.35% 9/22/2031 (c) | 8000000 | 8012721 |
| Bank of Montreal 4.7% 9/14/2027  | 9700000 | 9823721 |
| Bank of Montreal 5.266% 12/11/2026  | 5200000 | 5270088 |
| Bank of Nova Scotia/The 4.338% 9/15/2031 (c) | 11600000 | 11584382 |
| Bank of Nova Scotia/The 4.5% 12/16/2025  | 12615000 | 12615190 |
| Bank of Nova Scotia/The 4.588% 5/4/2037 (c) | 2700000 | 2636126 |
| Bank of Nova Scotia/The 4.75% 2/2/2026  | 3500000 | 3502371 |
| Bank of Nova Scotia/The 4.85% 2/1/2030  | 12240000 | 12551004 |
| Bank of Nova Scotia/The 5.25% 6/12/2028  | 3450000 | 3557457 |
| Canadian Imperial Bank of Commerce 3.6% 4/7/2032  | 3614000 | 3453645 |
| Canadian Imperial Bank of Commerce 4.243% 9/8/2028 (c) | 4000000 | 4009887 |
| Canadian Imperial Bank of Commerce 6.092% 10/3/2033  | 7914000 | 8662045 |
| National Bank of Canada 4.5% 10/10/2029  | 4150000 | 4204741 |
| Royal Bank of Canada 2.05% 1/21/2027  | 16433000 | 16110334 |
| Royal Bank of Canada 3.625% 5/4/2027  | 7900000 | 7877445 |
| Royal Bank of Canada 4.305% 11/3/2031 (c) | 4200000 | 4197372 |
| Royal Bank of Canada 4.522% 10/18/2028 (c) | 7180000 | 7246152 |
| Royal Bank of Canada 4.65% 10/18/2030 (c) | 14550000 | 14766986 |
| Royal Bank of Canada 4.696% 8/6/2031 (c) | 3800000 | 3861812 |
| Royal Bank of Canada 5% 5/2/2033  | 4070000 | 4206242 |
| Royal Bank of Canada 5.15% 2/1/2034  | 4000000 | 4206418 |
| Royal Bank of Canada 5.153% 2/4/2031 (c) | 6000000 | 6200393 |
| Royal Bank of Canada 6% 11/1/2027  | 10000000 | 10385663 |
| Toronto Dominion Bank 4.108% 6/8/2027  | 9800000 | 9814650 |
| Toronto Dominion Bank 4.693% 9/15/2027  | 10000000 | 10121714 |
| Toronto Dominion Bank 4.808% 6/3/2030  | 16000000 | 16362750 |
| Toronto Dominion Bank 4.928% 10/15/2035  | 4760000 | 4807672 |
| Toronto Dominion Bank 5.156% 1/10/2028  | 22920000 | 23434937 |
|  |  | 242612162 |
| Capital Markets - 0.0% |  |  |
| Brookfield Finance Inc 2.724% 4/15/2031  | 19988000 | 18322638 |
| Brookfield Finance Inc 3.625% 2/15/2052  | 1600000 | 1138791 |
| Brookfield Finance Inc 5.968% 3/4/2054  | 8950000 | 9101786 |
| CI Financial Corp 3.2% 12/17/2030  | 4250000 | 3826522 |
|  |  | 32389737 |
| Insurance - 0.0% |  |  |
| Fairfax Financial Holdings Ltd 4.625% 4/29/2030  | 5123000 | 5147764 |
| Fairfax Financial Holdings Ltd 4.85% 4/17/2028  | 1700000 | 1719676 |
| Fairfax Financial Holdings Ltd 5.625% 8/16/2032  | 1900000 | 1986548 |
| Fairfax Financial Holdings Ltd 5.75% 5/20/2035  | 3900000 | 4074322 |
| Fairfax Financial Holdings Ltd 6.1% 3/15/2055  | 5000000 | 5070502 |
| Manulife Financial Corp 4.15% 3/4/2026  | 9666000 | 9663075 |
|  |  | 27661887 |
| TOTAL FINANCIALS |  | 302663786 |
| Industrials - 0.1% |  |  |
| Ground Transportation - 0.1% |  |  |
| Canadian National Railway Co 2.45% 5/1/2050  | 13253000 | 7976333 |
| Canadian National Railway Co 3.2% 8/2/2046  | 2622000 | 1924737 |
| Canadian National Railway Co 3.85% 8/5/2032  | 2000000 | 1942579 |
| Canadian Pacific Railway Co 1.75% 12/2/2026  | 8990000 | 8792771 |
| Canadian Pacific Railway Co 2.05% 3/5/2030  | 1800000 | 1652714 |
| Canadian Pacific Railway Co 2.45% 12/2/2031  | 20546000 | 18472681 |
| Canadian Pacific Railway Co 3.1% 12/2/2051  | 9405000 | 6347316 |
|  |  | 47109131 |
| Professional Services - 0.0% |  |  |
| TR Finance LLC 3.35% 5/15/2026  | 5561000 | 5532146 |
| TR Finance LLC 5.5% 8/15/2035 (d) | 2000000 | 2092298 |
|  |  | 7624444 |
| TOTAL INDUSTRIALS |  | 54733575 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Nutrien Ltd 4% 12/15/2026  | 9055000 | 9047517 |
| Nutrien Ltd 4.2% 4/1/2029  | 4109000 | 4106094 |
| Nutrien Ltd 5% 4/1/2049  | 7152000 | 6544532 |
| Nutrien Ltd 5.25% 1/15/2045  | 2780000 | 2642407 |
| Nutrien Ltd 5.625% 12/1/2040  | 1430000 | 1452972 |
|  |  | 23793522 |
| Metals & Mining - 0.0% |  |  |
| Barrick Mining Corp 5.25% 4/1/2042  | 3575000 | 3548369 |
| Barrick North America Finance LLC 5.75% 5/1/2043  | 2000000 | 2065113 |
| Barrick PD Australia Finance Pty Ltd 5.95% 10/15/2039  | 2000000 | 2136553 |
|  |  | 7750035 |
| TOTAL MATERIALS |  | 31543557 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Emera US Finance LP 3.55% 6/15/2026  | 2100000 | 2090698 |
| Emera US Finance LP 4.75% 6/15/2046  | 4138000 | 3575474 |
|  |  | 5666172 |
| TOTAL CANADA |  | 562094125 |
| CHINA - 0.1%  |  |  |
| Communication Services - 0.0% |  |  |
| Interactive Media & Services - 0.0% |  |  |
| Baidu Inc 3.425% 4/7/2030  | 9666000 | 9399315 |
| Consumer Discretionary - 0.1% |  |  |
| Broadline Retail - 0.1% |  |  |
| Alibaba Group Holding Ltd 2.125% 2/9/2031  | 16568000 | 15075389 |
| Alibaba Group Holding Ltd 3.15% 2/9/2051  | 17076000 | 11886091 |
| Alibaba Group Holding Ltd 4.875% 5/26/2030  | 5000000 | 5175319 |
|  |  | 32136799 |
| TOTAL CHINA |  | 41536114 |
| FRANCE - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Orange SA 5.5% 2/6/2044  | 2383000 | 2370157 |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| TotalEnergies Capital International SA 3.127% 5/29/2050  | 2832000 | 1939836 |
| TotalEnergies Capital International SA 3.455% 2/19/2029  | 16952000 | 16687396 |
| TotalEnergies Capital International SA 3.461% 7/12/2049  | 5181000 | 3768139 |
| TotalEnergies Capital SA 5.15% 4/5/2034  | 2040000 | 2131938 |
| TotalEnergies Capital SA 5.488% 4/5/2054  | 2040000 | 2013484 |
| TotalEnergies Capital SA 5.638% 4/5/2064  | 1020000 | 1015465 |
|  |  | 27556258 |
| TOTAL FRANCE |  | 29926415 |
| GERMANY - 0.2%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Automobiles - 0.0% |  |  |
| Mercedes-Benz Finance North America LLC 8.5% 1/18/2031  | 2000000 | 2383509 |
| Financials - 0.2% |  |  |
| Capital Markets - 0.1% |  |  |
| Deutsche Bank AG/New York NY 2.311% 11/16/2027 (c) | 4949000 | 4858095 |
| Deutsche Bank AG/New York NY 3.035% 5/28/2032 (c)(d) | 9100000 | 8375460 |
| Deutsche Bank AG/New York NY 3.729% 1/14/2032 (c) | 10100000 | 9584596 |
| Deutsche Bank AG/New York NY 4.95% 8/4/2031 (c) | 2000000 | 2029000 |
| Deutsche Bank AG/New York NY 4.999% 9/11/2030 (c)(d) | 5100000 | 5187289 |
| Deutsche Bank AG/New York NY 5.297% 5/9/2031 (c) | 2000000 | 2055382 |
| Deutsche Bank AG/New York NY 5.373% 1/10/2029 (c) | 8940000 | 9129508 |
| Deutsche Bank AG/New York NY 5.403% 9/11/2035 (c)(d) | 3270000 | 3350621 |
| Deutsche Bank AG/New York NY 7.079% 2/10/2034 (c)(d) | 3050000 | 3354509 |
|  |  | 47924460 |
| Financial Services - 0.1% |  |  |
| KfW 2.875% 4/3/2028  | 12201000 | 12027086 |
| KfW 3.5% 8/9/2028  | 49800000 | 49800790 |
| KfW 3.875% 5/15/2028  | 10000000 | 10086761 |
| Landwirtschaftliche Rentenbank 2.5% 11/15/2027  | 7022000 | 6880220 |
| Landwirtschaftliche Rentenbank 3.625% 10/8/2030  | 12740000 | 12726555 |
|  |  | 91521412 |
| TOTAL FINANCIALS |  | 139445872 |
| Health Care - 0.0% |  |  |
| Pharmaceuticals - 0.0% |  |  |
| Bayer US Finance II LLC 3.95% 4/15/2045 (e) | 1104000 | 823925 |
| TOTAL GERMANY |  | 142653306 |
| IRELAND - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Consumer Finance - 0.1% |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026  | 10778000 | 10615783 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3% 10/29/2028  | 5800000 | 5614897 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.4% 10/29/2033  | 5896000 | 5352054 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.65% 7/21/2027  | 3698000 | 3668436 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.85% 10/29/2041  | 7876000 | 6493393 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.875% 1/23/2028  | 12472000 | 12404483 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.625% 9/10/2029  | 4450000 | 4503108 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5% 11/15/2035  | 2400000 | 2385520 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5.3% 1/19/2034  | 2050000 | 2108788 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.45% 4/15/2027  | 23302000 | 23968233 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.95% 3/10/2055 (c) | 3750000 | 3932687 |
|  |  | 81047382 |
| Materials - 0.0% |  |  |
| Containers & Packaging - 0.0% |  |  |
| Smurfit Kappa Treasury ULC 5.777% 4/3/2054  | 1400000 | 1416777 |
| Smurfit Westrock Financing DAC 5.185% 1/15/2036  | 2600000 | 2628246 |
| Smurfit Westrock Financing DAC 5.418% 1/15/2035  | 4274000 | 4418748 |
|  |  | 8463771 |
| TOTAL IRELAND |  | 89511153 |
| JAPAN - 0.6%  |  |  |
| Consumer Discretionary - 0.1% |  |  |
| Automobiles - 0.1% |  |  |
| Honda Motor Co Ltd 2.534% 3/10/2027  | 14164000 | 13901923 |
| Toyota Motor Corp 2.362% 3/25/2031  | 10633000 | 9791615 |
| Toyota Motor Corp 4.45% 6/30/2030  | 2000000 | 2030586 |
| Toyota Motor Corp 5.053% 6/30/2035  | 8000000 | 8287180 |
| Toyota Motor Corp 5.118% 7/13/2028  | 2000000 | 2062734 |
|  |  | 36074038 |
| Financials - 0.5% |  |  |
| Banks - 0.5% |  |  |
| Japan Bank for International Cooperation 1.25% 1/21/2031  | 31080000 | 27365849 |
| Japan Bank for International Cooperation 2.25% 11/4/2026  | 4486000 | 4422832 |
| Japan Bank for International Cooperation 2.375% 4/20/2026  | 10372000 | 10306582 |
| Japan Bank for International Cooperation 2.75% 1/21/2026  | 2720000 | 2714985 |
| Japan Bank for International Cooperation 2.875% 6/1/2027  | 6038000 | 5962746 |
| Japan Bank for International Cooperation 3.25% 7/20/2028  | 7150000 | 7070199 |
| Mitsubishi UFJ Financial Group Inc 1.538% 7/20/2027 (c) | 8941000 | 8793447 |
| Mitsubishi UFJ Financial Group Inc 2.309% 7/20/2032 (c) | 8700000 | 7794102 |
| Mitsubishi UFJ Financial Group Inc 3.195% 7/18/2029  | 11297000 | 10936899 |
| Mitsubishi UFJ Financial Group Inc 3.751% 7/18/2039  | 6297000 | 5565436 |
| Mitsubishi UFJ Financial Group Inc 3.85% 3/1/2026  | 538000 | 537622 |
| Mitsubishi UFJ Financial Group Inc 3.961% 3/2/2028  | 17476000 | 17492788 |
| Mitsubishi UFJ Financial Group Inc 5.159% 4/24/2031 (c) | 4600000 | 4766316 |
| Mitsubishi UFJ Financial Group Inc 5.188% 9/12/2036 (c) | 5600000 | 5747564 |
| Mitsubishi UFJ Financial Group Inc 5.197% 1/16/2031 (c) | 5000000 | 5174695 |
| Mitsubishi UFJ Financial Group Inc 5.242% 4/19/2029 (c) | 17500000 | 17976861 |
| Mitsubishi UFJ Financial Group Inc 5.422% 2/22/2029 (c) | 12500000 | 12865759 |
| Mitsubishi UFJ Financial Group Inc 5.441% 2/22/2034 (c) | 6660000 | 7014334 |
| Mitsubishi UFJ Financial Group Inc 5.615% 4/24/2036 (c) | 4140000 | 4376915 |
| Mizuho Financial Group Inc 1.554% 7/9/2027 (c) | 9183000 | 9040424 |
| Mizuho Financial Group Inc 2.26% 7/9/2032 (c) | 9086000 | 8113111 |
| Mizuho Financial Group Inc 2.591% 5/25/2031 (c) | 13146000 | 12220327 |
| Mizuho Financial Group Inc 5.098% 5/13/2031 (c) | 7400000 | 7630541 |
| Mizuho Financial Group Inc 5.323% 7/8/2036 (c) | 2000000 | 2072300 |
| Mizuho Financial Group Inc 5.382% 7/10/2030 (c) | 4120000 | 4275463 |
| Mizuho Financial Group Inc 5.594% 7/10/2035 (c) | 4300000 | 4531291 |
| Mizuho Financial Group Inc 5.748% 7/6/2034 (c) | 4000000 | 4270208 |
| Mizuho Financial Group Inc 5.778% 7/6/2029 (c) | 5120000 | 5334834 |
| Sumitomo Mitsui Financial Group Inc 2.13% 7/8/2030  | 14000000 | 12778632 |
| Sumitomo Mitsui Financial Group Inc 2.174% 1/14/2027  | 22619000 | 22172780 |
| Sumitomo Mitsui Financial Group Inc 2.75% 1/15/2030  | 13875000 | 13107807 |
| Sumitomo Mitsui Financial Group Inc 3.04% 7/16/2029  | 11000000 | 10587297 |
| Sumitomo Mitsui Financial Group Inc 3.05% 1/14/2042  | 11600000 | 9032279 |
| Sumitomo Mitsui Financial Group Inc 5.24% 4/15/2030  | 5400000 | 5618277 |
| Sumitomo Mitsui Financial Group Inc 5.52% 1/13/2028  | 26700000 | 27549379 |
| Sumitomo Mitsui Financial Group Inc 5.558% 7/9/2034  | 2320000 | 2458802 |
| Sumitomo Mitsui Financial Group Inc 5.766% 1/13/2033  | 7800000 | 8364614 |
| Sumitomo Mitsui Financial Group Inc 5.776% 7/13/2033  | 5600000 | 6017909 |
|  |  | 342062206 |
| Capital Markets - 0.0% |  |  |
| Nomura Holdings Inc 2.608% 7/14/2031  | 1000000 | 905891 |
| Nomura Holdings Inc 3.103% 1/16/2030  | 19128000 | 18197544 |
| Nomura Holdings Inc 5.605% 7/6/2029  | 7500000 | 7829871 |
| Nomura Holdings Inc 6.07% 7/12/2028  | 5700000 | 5957286 |
|  |  | 32890592 |
| TOTAL FINANCIALS |  | 374952798 |
| Health Care - 0.0% |  |  |
| Pharmaceuticals - 0.0% |  |  |
| Takeda Pharmaceutical Co Ltd 2.05% 3/31/2030  | 12000000 | 10987326 |
| TOTAL JAPAN |  | 422014162 |
| KOREA (SOUTH) - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Export-Import Bank of Korea 1.125% 12/29/2026  | 3300000 | 3204387 |
| Export-Import Bank of Korea 4% 9/11/2029  | 7000000 | 7037241 |
| Export-Import Bank of Korea 5.125% 9/18/2033  | 10400000 | 11038475 |
| Export-Import Bank of Korea 5.25% 1/14/2035  | 3300000 | 3556102 |
| Korea Development Bank/The 1.625% 1/19/2031  | 10633000 | 9524561 |
| TOTAL KOREA (SOUTH) |  | 34360766 |
| LUXEMBOURG - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| ArcelorMittal SA 6.35% 6/17/2054  | 2810000 | 2940117 |
| ArcelorMittal SA 6.8% 11/29/2032  | 9000000 | 10059298 |
| TOTAL LUXEMBOURG |  | 12999415 |
| MEXICO - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |
| America Movil SAB de CV 3.625% 4/22/2029  | 6667000 | 6540660 |
| America Movil SAB de CV 6.125% 11/15/2037  | 6645000 | 7226438 |
|  |  | 13767098 |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| Southern Copper Corp 5.25% 11/8/2042  | 5448000 | 5238579 |
| Southern Copper Corp 5.875% 4/23/2045  | 1000000 | 1031210 |
| Southern Copper Corp 7.5% 7/27/2035  | 4833000 | 5718067 |
|  |  | 11987856 |
| TOTAL MEXICO |  | 25754954 |
| MULTI-NATIONAL - 0.3%  |  |  |
| Financials - 0.3% |  |  |
| Banks - 0.2% |  |  |
| Asian Development Bank 0.75% 10/8/2030  | 15466000 | 13474253 |
| Asian Development Bank 2.5% 11/2/2027  | 5321000 | 5215278 |
| Asian Development Bank 2.625% 1/12/2027  | 5164000 | 5104815 |
| Asian Development Bank 2.75% 1/19/2028  | 29894000 | 29414013 |
| Corp Andina de Fomento 4.125% 1/7/2028  | 3608000 | 3627937 |
| Corp Andina de Fomento 5% 1/22/2030  | 5550000 | 5760800 |
| Corp Andina de Fomento 5% 1/24/2029  | 4395000 | 4534105 |
| European Investment Bank 0.75% 9/23/2030  | 22088000 | 19293863 |
| European Investment Bank 0.875% 5/17/2030  | 5299000 | 4703202 |
| European Investment Bank 1.25% 2/14/2031  | 9586000 | 8487531 |
| European Investment Bank 2.375% 5/24/2027  | 3177000 | 3121605 |
| Inter-American Development Bank 2.25% 6/18/2029  | 15187000 | 14513285 |
| Inter-American Development Bank 2.375% 7/7/2027  | 5346000 | 5245830 |
| Inter-American Development Bank 4.375% 1/24/2044  | 6926000 | 6604064 |
|  |  | 129100581 |
| Financial Services - 0.1% |  |  |
| IBRD Discount Notes 0.75% 8/26/2030  | 13146000 | 11496676 |
| IBRD Discount Notes 0.875% 5/14/2030  | 16078000 | 14266499 |
| IBRD Discount Notes 1.25% 2/10/2031  | 14403000 | 12744650 |
| IBRD Discount Notes 4% 7/25/2030  | 26650000 | 27038677 |
| IBRD Discount Notes 4.75% 11/14/2033  | 28960000 | 30564385 |
| International Finance Corp 0.75% 8/27/2030  | 8767000 | 7667931 |
|  |  | 103778818 |
| TOTAL MULTI-NATIONAL |  | 232879399 |
| NETHERLANDS - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Cooperatieve Rabobank UA 3.75% 7/21/2026  | 15291000 | 15236370 |
| Cooperatieve Rabobank UA 5.25% 5/24/2041  | 4583000 | 4636732 |
| ING Groep NV 1.726% 4/1/2027 (c) | 7323000 | 7263120 |
| ING Groep NV 2.727% 4/1/2032 (c) | 7404000 | 6838712 |
| ING Groep NV 4.252% 3/28/2033 (c) | 7800000 | 7698186 |
| ING Groep NV 5.066% 3/25/2031 (c) | 8500000 | 8740203 |
| ING Groep NV 5.525% 3/25/2036 (c) | 4800000 | 5024033 |
|  |  | 55437356 |
| Information Technology - 0.0% |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 2.65% 2/15/2032  | 17641000 | 15794430 |
| NXP BV / NXP Funding LLC / NXP USA Inc 5% 1/15/2033  | 8500000 | 8648809 |
|  |  | 24443239 |
| TOTAL NETHERLANDS |  | 79880595 |
| NORWAY - 0.1%  |  |  |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Equinor ASA 2.375% 5/22/2030  | 9144000 | 8527491 |
| Equinor ASA 3.125% 4/6/2030  | 7926000 | 7647817 |
| Equinor ASA 3.625% 9/10/2028  | 9596000 | 9560551 |
| Equinor ASA 3.7% 4/6/2050  | 12681000 | 9850308 |
| Equinor ASA 5.1% 8/17/2040  | 1589000 | 1603970 |
| TOTAL NORWAY |  | 37190137 |
| SPAIN - 0.1%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Telefonica Emisiones SA 4.103% 3/8/2027  | 10645000 | 10631513 |
| Telefonica Emisiones SA 4.895% 3/6/2048  | 3000000 | 2555570 |
| Telefonica Emisiones SA 5.213% 3/8/2047  | 5203000 | 4644960 |
| Telefonica Emisiones SA 5.52% 3/1/2049  | 2700000 | 2494009 |
| Telefonica Emisiones SA 7.045% 6/20/2036  | 6065000 | 6835232 |
|  |  | 27161284 |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Banco Bilbao Vizcaya Argentaria SA 6.033% 3/13/2035 (c) | 3200000 | 3429436 |
| Banco Bilbao Vizcaya Argentaria SA 6.138% 9/14/2028 (c) | 2000000 | 2068821 |
| Banco Bilbao Vizcaya Argentaria SA 7.883% 11/15/2034 (c) | 2000000 | 2345463 |
| Banco Santander SA 2.749% 12/3/2030  | 1000000 | 912138 |
| Banco Santander SA 2.958% 3/25/2031  | 14400000 | 13395628 |
| Banco Santander SA 3.225% 11/22/2032 (c) | 7800000 | 7149535 |
| Banco Santander SA 4.175% 3/24/2028 (c) | 6000000 | 5994868 |
| Banco Santander SA 5.294% 8/18/2027  | 2000000 | 2035742 |
| Banco Santander SA 5.538% 3/14/2030 (c) | 13600000 | 14095160 |
| Banco Santander SA 5.565% 1/17/2030  | 8000000 | 8361734 |
| Banco Santander SA 6.35% 3/14/2034  | 3400000 | 3678974 |
| Banco Santander SA 6.921% 8/8/2033  | 2600000 | 2898664 |
|  |  | 66366163 |
| TOTAL SPAIN |  | 93527447 |
| SWITZERLAND - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Capital Markets - 0.0% |  |  |
| UBS Group AG 4.875% 5/15/2045  | 8979000 | 8419365 |
| Information Technology - 0.0% |  |  |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |
| Tyco Electronics Group SA 3.7% 2/15/2026  | 4253000 | 4248386 |
| Tyco Electronics Group SA 7.125% 10/1/2037  | 1966000 | 2328059 |
|  |  | 6576445 |
| TOTAL SWITZERLAND |  | 14995810 |
| UNITED KINGDOM - 1.0%  |  |  |
| Communication Services - 0.1% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| British Telecommunications PLC 9.625% 12/15/2030 (f) | 12479000 | 15348129 |
| Media - 0.0% |  |  |
| RELX Capital Inc 3% 5/22/2030  | 5750000 | 5468449 |
| RELX Capital Inc 5.25% 3/27/2035  | 2300000 | 2391045 |
|  |  | 7859494 |
| Wireless Telecommunication Services - 0.1% |  |  |
| Vodafone Group PLC 4.375% 5/30/2028  | 20333000 | 20663256 |
| Vodafone Group PLC 5.125% 6/19/2059  | 5220000 | 4706999 |
| Vodafone Group PLC 5.25% 5/30/2048  | 18988000 | 17849086 |
| Vodafone Group PLC 5.75% 6/28/2054  | 2470000 | 2435988 |
|  |  | 45655329 |
| TOTAL COMMUNICATION SERVICES |  | 68862952 |
| Consumer Staples - 0.2% |  |  |
| Beverages - 0.0% |  |  |
| Diageo Capital PLC 2% 4/29/2030  | 11793000 | 10783245 |
| Diageo Capital PLC 2.125% 4/29/2032  | 10633000 | 9274221 |
| Diageo Investment Corp 5.625% 4/15/2035  | 3200000 | 3412146 |
|  |  | 23469612 |
| Food Products - 0.0% |  |  |
| Unilever Capital Corp 1.375% 9/14/2030 (d) | 14582000 | 12973759 |
| Unilever Capital Corp 1.75% 8/12/2031  | 2000000 | 1767260 |
|  |  | 14741019 |
| Tobacco - 0.2% |  |  |
| BAT Capital Corp 3.557% 8/15/2027  | 16817000 | 16654657 |
| BAT Capital Corp 3.984% 9/25/2050  | 2900000 | 2159847 |
| BAT Capital Corp 4.39% 8/15/2037  | 8622000 | 7986718 |
| BAT Capital Corp 4.54% 8/15/2047  | 13298000 | 11218969 |
| BAT Capital Corp 4.758% 9/6/2049  | 9666000 | 8304769 |
| BAT Capital Corp 6.421% 8/2/2033  | 5000000 | 5538762 |
| BAT International Finance PLC 5.931% 2/2/2029  | 3000000 | 3153551 |
| Reynolds American Inc 5.85% 8/15/2045  | 3368000 | 3357727 |
| Reynolds American Inc 7.25% 6/15/2037  | 5735000 | 6671856 |
|  |  | 65046856 |
| TOTAL CONSUMER STAPLES |  | 103257487 |
| Financials - 0.7% |  |  |
| Banks - 0.7% |  |  |
| Barclays PLC 2.279% 11/24/2027 (c) | 14500000 | 14229618 |
| Barclays PLC 2.894% 11/24/2032 (c) | 15080000 | 13734223 |
| Barclays PLC 3.564% 9/23/2035 (c) | 7500000 | 7083107 |
| Barclays PLC 4.375% 1/12/2026  | 4289000 | 4289138 |
| Barclays PLC 4.476% 11/11/2029 (c) | 4800000 | 4828374 |
| Barclays PLC 4.836% 5/9/2028  | 7626000 | 7674271 |
| Barclays PLC 4.95% 1/10/2047  | 12837000 | 11949539 |
| Barclays PLC 5.25% 8/17/2045  | 4602000 | 4470014 |
| Barclays PLC 5.335% 9/10/2035 (c) | 6250000 | 6385201 |
| Barclays PLC 5.367% 2/25/2031 (c) | 6800000 | 7045348 |
| Barclays PLC 5.501% 8/9/2028 (c) | 4980000 | 5082653 |
| Barclays PLC 5.785% 2/25/2036 (c) | 6100000 | 6439349 |
| Barclays PLC 5.86% 8/11/2046 (c) | 2000000 | 2076940 |
| Barclays PLC 6.224% 5/9/2034 (c) | 6500000 | 7030406 |
| Barclays PLC 7.119% 6/27/2034 (c) | 6000000 | 6743862 |
| HSBC Holdings PLC 2.013% 9/22/2028 (c) | 38714000 | 37278016 |
| HSBC Holdings PLC 2.804% 5/24/2032 (c) | 22528000 | 20635044 |
| HSBC Holdings PLC 4.755% 6/9/2028 (c) | 7000000 | 7060381 |
| HSBC Holdings PLC 4.762% 3/29/2033 (c) | 8100000 | 8085660 |
| HSBC Holdings PLC 5.13% 3/3/2031 (c) | 4800000 | 4932754 |
| HSBC Holdings PLC 5.133% 11/6/2036 (c) | 6800000 | 6861194 |
| HSBC Holdings PLC 5.21% 8/11/2028 (c) | 2000000 | 2032177 |
| HSBC Holdings PLC 5.24% 5/13/2031 (c) | 7800000 | 8064955 |
| HSBC Holdings PLC 5.25% 3/14/2044  | 3946000 | 3887853 |
| HSBC Holdings PLC 5.45% 3/3/2036 (c) | 4700000 | 4880093 |
| HSBC Holdings PLC 5.597% 5/17/2028 (c) | 3610000 | 3681513 |
| HSBC Holdings PLC 5.733% 5/17/2032 (c) | 10000000 | 10581432 |
| HSBC Holdings PLC 5.741% 9/10/2036 (c) | 2000000 | 2065164 |
| HSBC Holdings PLC 5.79% 5/13/2036 (c) | 8220000 | 8729512 |
| HSBC Holdings PLC 5.874% 11/18/2035 (c) | 7950000 | 8336847 |
| HSBC Holdings PLC 5.887% 8/14/2027 (c) | 5500000 | 5564372 |
| HSBC Holdings PLC 6.254% 3/9/2034 (c) | 16000000 | 17534823 |
| HSBC Holdings PLC 6.332% 3/9/2044 (c) | 5100000 | 5638810 |
| HSBC Holdings PLC 6.5% 9/15/2037  | 8340000 | 9080121 |
| HSBC Holdings PLC 6.8% 6/1/2038  | 4833000 | 5432987 |
| HSBC Holdings PLC 7.399% 11/13/2034 (c) | 8800000 | 10068808 |
| Lloyds Banking Group PLC 3.574% 11/7/2028 (c) | 2000000 | 1979549 |
| Lloyds Banking Group PLC 3.75% 3/18/2028 (c) | 2000000 | 1990367 |
| Lloyds Banking Group PLC 4.344% 1/9/2048  | 11915000 | 9985758 |
| Lloyds Banking Group PLC 4.425% 11/4/2031 (c) | 2000000 | 2004071 |
| Lloyds Banking Group PLC 4.582% 12/10/2025  | 9260000 | 9259042 |
| Lloyds Banking Group PLC 4.65% 3/24/2026  | 6831000 | 6834833 |
| Lloyds Banking Group PLC 4.818% 6/13/2029 (c) | 5200000 | 5283255 |
| Lloyds Banking Group PLC 4.943% 11/4/2036 (c) | 2600000 | 2591380 |
| Lloyds Banking Group PLC 4.976% 8/11/2033 (c) | 2000000 | 2042080 |
| Lloyds Banking Group PLC 5.087% 11/26/2028 (c) | 5350000 | 5446339 |
| Lloyds Banking Group PLC 5.59% 11/26/2035 (c) | 5940000 | 6235625 |
| Lloyds Banking Group PLC 5.721% 6/5/2030 (c) | 8400000 | 8812570 |
| Lloyds Banking Group PLC 5.871% 3/6/2029 (c) | 10800000 | 11209635 |
| Lloyds Banking Group PLC 6.068% 6/13/2036 (c) | 1180000 | 1247183 |
| NatWest Group PLC 4.445% 5/8/2030 (c) | 5748000 | 5781989 |
| NatWest Group PLC 4.8% 4/5/2026  | 10366000 | 10388712 |
| NatWest Group PLC 4.892% 5/18/2029 (c) | 6766000 | 6882653 |
| NatWest Group PLC 5.516% 9/30/2028 (c) | 9700000 | 9942394 |
| NatWest Group PLC 5.778% 3/1/2035 (c) | 2300000 | 2448816 |
| NatWest Group PLC 5.808% 9/13/2029 (c) | 5200000 | 5420988 |
| Santander UK Group Holdings PLC 2.469% 1/11/2028 (c) | 9666000 | 9475794 |
| Santander UK Group Holdings PLC 2.896% 3/15/2032 (c) | 1600000 | 1471880 |
| Santander UK Group Holdings PLC 4.32% 9/22/2029 (c) | 1800000 | 1801983 |
| Santander UK Group Holdings PLC 5.136% 9/22/2036 (c) | 3500000 | 3499252 |
| Santander UK Group Holdings PLC 6.534% 1/10/2029 (c) | 8050000 | 8421017 |
|  |  | 439951724 |
| Health Care - 0.0% |  |  |
| Pharmaceuticals - 0.0% |  |  |
| Astrazeneca Finance LLC 2.25% 5/28/2031 (d) | 7008000 | 6394283 |
| Astrazeneca Finance LLC 4.875% 3/3/2033  | 4110000 | 4267221 |
| Astrazeneca PLC 4.375% 11/16/2045  | 5989000 | 5375729 |
| Astrazeneca PLC 4.375% 8/17/2048  | 9825000 | 8762530 |
| Astrazeneca PLC 6.45% 9/15/2037  | 4582000 | 5287354 |
|  |  | 30087117 |
| TOTAL UNITED KINGDOM |  | 642159280 |
| UNITED STATES - 22.1%  |  |  |
| Communication Services - 1.7% |  |  |
| Diversified Telecommunication Services - 0.5% |  |  |
| AT&T Inc 1.65% 2/1/2028  | 8216000 | 7813394 |
| AT&T Inc 2.25% 2/1/2032 (d) | 13533000 | 11935180 |
| AT&T Inc 2.75% 6/1/2031  | 14741000 | 13584666 |
| AT&T Inc 2.95% 7/15/2026 (d) | 6356000 | 6310665 |
| AT&T Inc 3.3% 2/1/2052  | 14016000 | 9334699 |
| AT&T Inc 3.5% 2/1/2061  | 3800000 | 2485917 |
| AT&T Inc 3.5% 6/1/2041  | 7559000 | 6028489 |
| AT&T Inc 3.5% 9/15/2053  | 25048000 | 17233201 |
| AT&T Inc 3.55% 9/15/2055  | 54468000 | 37327226 |
| AT&T Inc 3.65% 6/1/2051  | 11600000 | 8334046 |
| AT&T Inc 3.65% 9/15/2059  | 31190000 | 21263146 |
| AT&T Inc 3.8% 2/15/2027  | 7149000 | 7126909 |
| AT&T Inc 4.35% 6/15/2045  | 5085000 | 4283346 |
| AT&T Inc 4.5% 3/9/2048  | 6502000 | 5482080 |
| AT&T Inc 4.65% 6/1/2044  | 6251000 | 5506032 |
| Sprint Capital Corp 8.75% 3/15/2032  | 10000000 | 12171763 |
| Verizon Communications Inc 1.5% 9/18/2030  | 3190000 | 2810632 |
| Verizon Communications Inc 1.68% 10/30/2030  | 2665000 | 2362175 |
| Verizon Communications Inc 2.355% 3/15/2032 (d) | 19271000 | 17032424 |
| Verizon Communications Inc 2.55% 3/21/2031  | 41913000 | 38348283 |
| Verizon Communications Inc 2.987% 10/30/2056  | 69319000 | 42349822 |
| Verizon Communications Inc 3.55% 3/22/2051  | 8661000 | 6287825 |
| Verizon Communications Inc 4.016% 12/3/2029  | 5000000 | 4963028 |
| Verizon Communications Inc 4.125% 3/16/2027 (d) | 5561000 | 5569941 |
| Verizon Communications Inc 4.272% 1/15/2036  | 19285000 | 18207837 |
| Verizon Communications Inc 4.329% 9/21/2028  | 12151000 | 12251027 |
| Verizon Communications Inc 4.4% 11/1/2034  | 2999000 | 2912862 |
| Verizon Communications Inc 4.75% 1/15/2033  | 10000000 | 10060814 |
| Verizon Communications Inc 4.75% 11/1/2041  | 795000 | 731366 |
| Verizon Communications Inc 5% 1/15/2036  | 6000000 | 6007822 |
| Verizon Communications Inc 5.012% 4/15/2049  | 913000 | 835799 |
| Verizon Communications Inc 5.012% 8/21/2054  | 9975000 | 8995061 |
| Verizon Communications Inc 5.875% 11/30/2045  | 3000000 | 3025977 |
| Verizon Communications Inc 5.875% 11/30/2055  | 1560000 | 1574504 |
|  |  | 360547958 |
| Entertainment - 0.1% |  |  |
| Netflix Inc 4.9% 8/15/2034  | 14010000 | 14532415 |
| Walt Disney Co/The 2% 9/1/2029  | 8297000 | 7752335 |
| Walt Disney Co/The 2.65% 1/13/2031  | 12615000 | 11821620 |
| Walt Disney Co/The 2.75% 9/1/2049  | 8288000 | 5376282 |
| Walt Disney Co/The 3.5% 5/13/2040  | 5423000 | 4586815 |
| Walt Disney Co/The 3.6% 1/13/2051  | 5404000 | 4103001 |
| Walt Disney Co/The 3.8% 5/13/2060  | 5423000 | 4070530 |
| Walt Disney Co/The 4.7% 3/23/2050  | 3867000 | 3528604 |
| Walt Disney Co/The 5.4% 10/1/2043  | 3078000 | 3126636 |
| Walt Disney Co/The 6.15% 2/15/2041  | 8340000 | 9215834 |
| Walt Disney Co/The 6.15% 3/1/2037  | 3142000 | 3505368 |
|  |  | 71619440 |
| Interactive Media & Services - 0.3% |  |  |
| Alphabet Inc 1.1% 8/15/2030 (d) | 11696000 | 10332625 |
| Alphabet Inc 2.05% 8/15/2050  | 11696000 | 6622822 |
| Alphabet Inc 3.875% 11/15/2028 (d) | 9290000 | 9345504 |
| Alphabet Inc 4% 5/15/2030  | 4720000 | 4747580 |
| Alphabet Inc 4.1% 11/15/2030 (d) | 5000000 | 5043128 |
| Alphabet Inc 4.5% 5/15/2035 (d) | 970000 | 976470 |
| Alphabet Inc 4.7% 11/15/2035  | 11600000 | 11787245 |
| Alphabet Inc 5.25% 5/15/2055 (d) | 6130000 | 6090100 |
| Alphabet Inc 5.45% 11/15/2055  | 21000000 | 21347608 |
| Meta Platforms Inc 3.5% 8/15/2027  | 6820000 | 6797822 |
| Meta Platforms Inc 3.85% 8/15/2032 (d) | 7620000 | 7437672 |
| Meta Platforms Inc 4.2% 11/15/2030 (d) | 9400000 | 9465343 |
| Meta Platforms Inc 4.3% 8/15/2029 (d) | 14300000 | 14514538 |
| Meta Platforms Inc 4.45% 8/15/2052  | 12000000 | 10107445 |
| Meta Platforms Inc 4.6% 11/15/2032 (d) | 9400000 | 9540518 |
| Meta Platforms Inc 4.6% 5/15/2028 (d) | 4630000 | 4720387 |
| Meta Platforms Inc 4.65% 8/15/2062  | 1800000 | 1510952 |
| Meta Platforms Inc 4.75% 8/15/2034  | 3000000 | 3052375 |
| Meta Platforms Inc 4.875% 11/15/2035  | 9400000 | 9501879 |
| Meta Platforms Inc 4.95% 5/15/2033 (d) | 6700000 | 6939757 |
| Meta Platforms Inc 5.4% 8/15/2054  | 16808000 | 16301941 |
| Meta Platforms Inc 5.5% 11/15/2045  | 9400000 | 9403067 |
| Meta Platforms Inc 5.6% 5/15/2053  | 6190000 | 6166038 |
| Meta Platforms Inc 5.625% 11/15/2055 (d) | 16870000 | 16827262 |
| Meta Platforms Inc 5.75% 11/15/2065  | 9400000 | 9360133 |
|  |  | 217940211 |
| Media - 0.6% |  |  |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.8% 4/1/2031  | 20299000 | 18237478 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.5% 6/1/2041  | 26758000 | 19091235 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.7% 4/1/2051  | 7027000 | 4522083 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.2% 3/15/2028  | 8737000 | 8688043 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.4% 4/1/2033  | 5700000 | 5373605 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.05% 3/30/2029  | 4833000 | 4880301 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.125% 7/1/2049  | 9816000 | 7880131 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/2047  | 4534000 | 3803166 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.75% 4/1/2048  | 4154000 | 3640187 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.85% 12/1/2035  | 2380000 | 2385411 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.1% 6/1/2029  | 3000000 | 3128183 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.384% 10/23/2035  | 10684000 | 11039229 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.484% 10/23/2045  | 3725000 | 3569027 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.55% 6/1/2034  | 12650000 | 13341154 |
| Comcast Corp 1.5% 2/15/2031 (d) | 11310000 | 9834455 |
| Comcast Corp 1.95% 1/15/2031 (d) | 2030000 | 1808489 |
| Comcast Corp 2.35% 1/15/2027  | 18905000 | 18571407 |
| Comcast Corp 2.45% 8/15/2052  | 11310000 | 6155912 |
| Comcast Corp 2.65% 2/1/2030  | 26264000 | 24756031 |
| Comcast Corp 2.8% 1/15/2051  | 6476000 | 3868280 |
| Comcast Corp 2.887% 11/1/2051  | 15309000 | 9262535 |
| Comcast Corp 2.937% 11/1/2056  | 57662000 | 33467480 |
| Comcast Corp 3.15% 3/1/2026  | 3972000 | 3963215 |
| Comcast Corp 3.3% 2/1/2027  | 9461000 | 9385856 |
| Comcast Corp 3.4% 4/1/2030  | 11100000 | 10761738 |
| Comcast Corp 3.45% 2/1/2050  | 5896000 | 4047769 |
| Comcast Corp 3.75% 4/1/2040  | 4644000 | 3881771 |
| Comcast Corp 3.969% 11/1/2047  | 4131000 | 3172680 |
| Comcast Corp 4% 3/1/2048  | 9532000 | 7338747 |
| Comcast Corp 4.4% 8/15/2035 (d) | 7700000 | 7401547 |
| Comcast Corp 5.168% 1/15/2037 (e) | 15087000 | 15067098 |
| Comcast Corp 5.3% 5/15/2035  | 2000000 | 2061268 |
| Fox Corp 4.709% 1/25/2029  | 8245000 | 8368146 |
| Fox Corp 5.476% 1/25/2039  | 3027000 | 3065703 |
| Fox Corp 5.576% 1/25/2049 (d) | 7398000 | 7215368 |
| Paramount Global 3.375% 2/15/2028  | 8381000 | 8189200 |
| Paramount Global 4.2% 6/1/2029  | 7143000 | 7023415 |
| Paramount Global 4.375% 3/15/2043  | 2093000 | 1575032 |
| Paramount Global 4.6% 1/15/2045  | 5799000 | 4405850 |
| Paramount Global 4.95% 1/15/2031  | 13185000 | 13009971 |
| Time Warner Cable LLC 4.5% 9/15/2042  | 16137000 | 12587818 |
| Time Warner Cable LLC 6.55% 5/1/2037  | 7500000 | 7667034 |
| Time Warner Cable LLC 7.3% 7/1/2038  | 3177000 | 3382060 |
| TWDC Enterprises 18 Corp 3% 7/30/2046 (d) | 3575000 | 2523162 |
| TWDC Enterprises 18 Corp 4.125% 6/1/2044  | 4528000 | 3876046 |
| TWDC Enterprises 18 Corp 4.375% 8/16/2041  | 5200000 | 4724618 |
|  |  | 371998934 |
| Wireless Telecommunication Services - 0.2% |  |  |
| T-Mobile USA Inc 2.05% 2/15/2028  | 11928000 | 11428884 |
| T-Mobile USA Inc 3.3% 2/15/2051  | 11928000 | 8150102 |
| T-Mobile USA Inc 3.75% 4/15/2027  | 6689000 | 6658499 |
| T-Mobile USA Inc 3.875% 4/15/2030  | 14289000 | 14075199 |
| T-Mobile USA Inc 4.375% 4/15/2040  | 6689000 | 6096065 |
| T-Mobile USA Inc 4.5% 4/15/2050  | 11522000 | 9699278 |
| T-Mobile USA Inc 4.625% 1/15/2033  | 5200000 | 5205363 |
| T-Mobile USA Inc 4.7% 1/15/2035  | 980000 | 972112 |
| T-Mobile USA Inc 4.8% 7/15/2028  | 6375000 | 6489885 |
| T-Mobile USA Inc 4.95% 11/15/2035  | 2500000 | 2513402 |
| T-Mobile USA Inc 4.95% 3/15/2028 (d) | 14700000 | 14982525 |
| T-Mobile USA Inc 5.05% 7/15/2033  | 30475000 | 31289018 |
| T-Mobile USA Inc 5.2% 1/15/2033 (d) | 7265000 | 7536286 |
| T-Mobile USA Inc 5.25% 6/15/2055 (d) | 4500000 | 4187828 |
| T-Mobile USA Inc 5.65% 1/15/2053  | 10210000 | 10105387 |
| T-Mobile USA Inc 5.7% 1/15/2056  | 2000000 | 1991946 |
| T-Mobile USA Inc 5.875% 11/15/2055  | 5000000 | 5094528 |
|  |  | 146476307 |
| TOTAL COMMUNICATION SERVICES |  | 1168582850 |
| Consumer Discretionary - 1.2% |  |  |
| Automobile Components - 0.0% |  |  |
| Aptiv Swiss Holdings Ltd 3.1% 12/1/2051  | 4380000 | 2855600 |
| Aptiv Swiss Holdings Ltd 4.65% 9/13/2029  | 5000000 | 5096728 |
| Lear Corp 3.55% 1/15/2052  | 2600000 | 1779552 |
|  |  | 9731880 |
| Automobiles - 0.3% |  |  |
| American Honda Finance Corp 2% 3/24/2028 (d) | 2000000 | 1911039 |
| American Honda Finance Corp 2.25% 1/12/2029  | 1900000 | 1795502 |
| American Honda Finance Corp 2.3% 9/9/2026 (d) | 3972000 | 3920003 |
| American Honda Finance Corp 4.25% 9/1/2028  | 4500000 | 4524225 |
| American Honda Finance Corp 4.8% 3/5/2030  | 4640000 | 4741704 |
| American Honda Finance Corp 4.85% 10/23/2031  | 10690000 | 10923725 |
| American Honda Finance Corp 5.125% 7/7/2028  | 4550000 | 4670398 |
| American Honda Finance Corp 5.15% 7/9/2032  | 4000000 | 4123715 |
| American Honda Finance Corp 5.2% 3/5/2035  | 3210000 | 3274317 |
| Ford Motor Co 5.291% 12/8/2046 (d) | 8130000 | 6860153 |
| Ford Motor Co 6.1% 8/19/2032 (d) | 17360000 | 17890327 |
| General Motors Co 5% 10/1/2028  | 5463000 | 5571113 |
| General Motors Co 5.15% 4/1/2038  | 1300000 | 1261577 |
| General Motors Co 5.2% 4/1/2045  | 3392000 | 3083834 |
| General Motors Co 5.6% 10/15/2032 (d) | 4900000 | 5140762 |
| General Motors Co 5.625% 4/15/2030  | 10000000 | 10440547 |
| General Motors Co 5.95% 4/1/2049  | 5027000 | 4933030 |
| General Motors Co 6.6% 4/1/2036  | 8489000 | 9290813 |
| General Motors Co 6.75% 4/1/2046  | 5684000 | 6164312 |
| General Motors Co 6.8% 10/1/2027  | 10536000 | 10962363 |
| General Motors Financial Co Inc 2.35% 1/8/2031  | 2000000 | 1795626 |
| General Motors Financial Co Inc 2.4% 10/15/2028  | 1700000 | 1620326 |
| General Motors Financial Co Inc 2.4% 4/10/2028  | 2000000 | 1919138 |
| General Motors Financial Co Inc 3.85% 1/5/2028  | 5561000 | 5519014 |
| General Motors Financial Co Inc 4% 10/6/2026  | 2923000 | 2919682 |
| General Motors Financial Co Inc 4.35% 1/17/2027  | 6356000 | 6365100 |
| General Motors Financial Co Inc 5.45% 7/15/2030 (d) | 5000000 | 5202408 |
| General Motors Financial Co Inc 5.6% 6/18/2031  | 4220000 | 4404145 |
| General Motors Financial Co Inc 5.625% 4/4/2032 (d) | 6000000 | 6259319 |
| General Motors Financial Co Inc 5.65% 1/17/2029 (d) | 16996000 | 17629850 |
| General Motors Financial Co Inc 6.4% 1/9/2033 (d) | 10000000 | 10826156 |
|  |  | 185944223 |
| Broadline Retail - 0.2% |  |  |
| Amazon.com Inc 1.5% 6/3/2030 (d) | 15466000 | 13956545 |
| Amazon.com Inc 2.1% 5/12/2031  | 7251000 | 6563847 |
| Amazon.com Inc 2.5% 6/3/2050  | 5085000 | 3136964 |
| Amazon.com Inc 2.875% 5/12/2041  | 27600000 | 21327479 |
| Amazon.com Inc 3.1% 5/12/2051  | 5251000 | 3628071 |
| Amazon.com Inc 3.15% 8/22/2027  | 8309000 | 8235844 |
| Amazon.com Inc 3.6% 4/13/2032  | 2000000 | 1946243 |
| Amazon.com Inc 3.875% 8/22/2037 (d) | 8728000 | 8111683 |
| Amazon.com Inc 3.9% 11/20/2028  | 10000000 | 10038665 |
| Amazon.com Inc 4.05% 8/22/2047  | 15112000 | 12723765 |
| Amazon.com Inc 4.25% 8/22/2057  | 7208000 | 5967809 |
| Amazon.com Inc 4.55% 12/1/2027  | 10000000 | 10153946 |
| Amazon.com Inc 4.7% 12/1/2032 (d) | 28300000 | 29175663 |
| Amazon.com Inc 4.8% 12/5/2034 (d) | 6766000 | 7020307 |
| Amazon.com Inc 5.45% 11/20/2055  | 10000000 | 10085686 |
| eBay Inc 2.6% 5/10/2031 (d) | 2000000 | 1831884 |
| eBay Inc 2.7% 3/11/2030  | 2000000 | 1880343 |
| eBay Inc 4% 7/15/2042 (d) | 4200000 | 3497794 |
| eBay Inc 5.95% 11/22/2027 (d) | 8000000 | 8289188 |
|  |  | 167571726 |
| Distributors - 0.0% |  |  |
| Genuine Parts Co 2.75% 2/1/2032  | 2000000 | 1773081 |
| Diversified Consumer Services - 0.1% |  |  |
| American University/The 3.672% 4/1/2049  | 1903000 | 1473234 |
| Cornell University 4.169% 6/15/2030  | 1000000 | 1008212 |
| Cornell University 4.733% 6/15/2035  | 3000000 | 3041801 |
| Duke University 2.832% 10/1/2055  | 3714000 | 2376260 |
| George Washington University/The 4.126% 9/15/2048  | 5575000 | 4632779 |
| George Washington University/The 4.3% 9/15/2044  | 1589000 | 1386424 |
| Massachusetts Institute of Technology 2.989% 7/1/2050  | 3722000 | 2567717 |
| Massachusetts Institute of Technology 3.885% 7/1/2116  | 2248000 | 1595548 |
| Massachusetts Institute of Technology 3.959% 7/1/2038  | 3753000 | 3532899 |
| Northwestern University 3.662% 12/1/2057  | 4398000 | 3271484 |
| Northwestern University 4.643% 12/1/2044  | 2661000 | 2573689 |
| President and Fellows of Harvard College 3.15% 7/15/2046  | 3000000 | 2238248 |
| President and Fellows of Harvard College 3.3% 7/15/2056  | 3852000 | 2708628 |
| President and Fellows of Harvard College 3.619% 10/1/2037  | 795000 | 715042 |
| Trustees of Princeton University/The 5.7% 3/1/2039  | 795000 | 868846 |
| University of Chicago/The 3% 10/1/2052  | 5027000 | 3469045 |
| University of Notre Dame du Lac 3.438% 2/15/2045  | 2646000 | 2089467 |
| University of Southern California 2.945% 10/1/2051  | 9096000 | 6049590 |
| University of Southern California 5.25% 10/1/2111  | 1589000 | 1526181 |
| William Marsh Rice University 3.774% 5/15/2055  | 1510000 | 1178458 |
|  |  | 48303552 |
| Hotels, Restaurants & Leisure - 0.2% |  |  |
| Expedia Group Inc 2.95% 3/15/2031  | 2000000 | 1859792 |
| Expedia Group Inc 3.25% 2/15/2030 (d) | 6863000 | 6595247 |
| Expedia Group Inc 4.625% 8/1/2027 (d) | 2000000 | 2012899 |
| Marriott International Inc/MD 2.85% 4/15/2031  | 17100000 | 15862123 |
| Marriott International Inc/MD 4.2% 7/15/2027 (d) | 4000000 | 4011310 |
| Marriott International Inc/MD 4.875% 5/15/2029  | 6000000 | 6131604 |
| Marriott International Inc/MD 5.25% 10/15/2035 (d) | 4000000 | 4079746 |
| Marriott International Inc/MD 5.35% 3/15/2035  | 3450000 | 3571537 |
| Marriott International Inc/MD 5.5% 4/15/2037 (d) | 5110000 | 5277998 |
| McDonald's Corp 3.5% 7/1/2027  | 7617000 | 7564216 |
| McDonald's Corp 3.6% 7/1/2030  | 5684000 | 5579107 |
| McDonald's Corp 3.625% 9/1/2049  | 9831000 | 7371885 |
| McDonald's Corp 4.2% 4/1/2050  | 6666000 | 5488689 |
| McDonald's Corp 4.4% 2/12/2031 (d) | 7600000 | 7670022 |
| McDonald's Corp 4.45% 3/1/2047  | 4511000 | 3919775 |
| McDonald's Corp 4.875% 12/9/2045  | 4313000 | 4009972 |
| McDonald's Corp 6.3% 3/1/2038  | 5596000 | 6263346 |
| Metropolitan Museum of Art/The 3.4% 7/1/2045  | 2383000 | 1857760 |
| Starbucks Corp 2% 3/12/2027  | 9502000 | 9262473 |
| Starbucks Corp 2.45% 6/15/2026  | 7944000 | 7874834 |
| Starbucks Corp 3% 2/14/2032  | 4900000 | 4534752 |
| Starbucks Corp 3.5% 11/15/2050  | 3287000 | 2350070 |
| Starbucks Corp 4% 11/15/2028  | 5561000 | 5559237 |
| Starbucks Corp 4.5% 11/15/2048  | 3734000 | 3177854 |
| Starbucks Corp 5.4% 5/15/2035 (d) | 6390000 | 6682056 |
|  |  | 138568304 |
| Household Durables - 0.0% |  |  |
| DR Horton Inc 1.3% 10/15/2026  | 2000000 | 1954009 |
| DR Horton Inc 5% 10/15/2034 (d) | 3000000 | 3060480 |
| DR Horton Inc 5.5% 10/15/2035  | 1940000 | 2029644 |
| Lennar Corp 4.75% 11/29/2027  | 6283000 | 6332790 |
| Toll Brothers Finance Corp 4.35% 2/15/2028  | 1900000 | 1907197 |
|  |  | 15284120 |
| Leisure Products - 0.0% |  |  |
| Brunswick Corp/DE 5.1% 4/1/2052  | 206000 | 167169 |
| Hasbro Inc 3.9% 11/19/2029 (d) | 2000000 | 1964297 |
| Hasbro Inc 5.1% 5/15/2044  | 3400000 | 3036218 |
|  |  | 5167684 |
| Specialty Retail - 0.4% |  |  |
| AutoNation Inc 2.4% 8/1/2031  | 1000000 | 882767 |
| AutoNation Inc 3.85% 3/1/2032 (d) | 6090000 | 5732537 |
| AutoZone Inc 3.75% 6/1/2027  | 4611000 | 4589409 |
| AutoZone Inc 4% 4/15/2030 (d) | 9521000 | 9445186 |
| AutoZone Inc 5.1% 7/15/2029  | 1730000 | 1783910 |
| AutoZone Inc 5.165% 6/15/2030  | 2680000 | 2774034 |
| AutoZone Inc 5.4% 7/15/2034  | 1530000 | 1593800 |
| Home Depot Inc/The 2.375% 3/15/2051  | 13507000 | 7916899 |
| Home Depot Inc/The 2.5% 4/15/2027  | 9637000 | 9470717 |
| Home Depot Inc/The 2.8% 9/14/2027  | 3972000 | 3905943 |
| Home Depot Inc/The 2.95% 6/15/2029  | 16616000 | 16094076 |
| Home Depot Inc/The 3.125% 12/15/2049  | 5317000 | 3695399 |
| Home Depot Inc/The 3.3% 4/15/2040 (d) | 6833000 | 5655718 |
| Home Depot Inc/The 3.75% 9/15/2028  | 16000000 | 15996316 |
| Home Depot Inc/The 3.9% 12/6/2028  | 4575000 | 4588030 |
| Home Depot Inc/The 3.9% 6/15/2047  | 6813000 | 5501603 |
| Home Depot Inc/The 4.2% 4/1/2043  | 1251000 | 1099180 |
| Home Depot Inc/The 4.25% 4/1/2046  | 2606000 | 2248336 |
| Home Depot Inc/The 4.5% 12/6/2048  | 10434000 | 9164398 |
| Home Depot Inc/The 4.75% 6/25/2029  | 2000000 | 2051677 |
| Home Depot Inc/The 4.875% 2/15/2044  | 2283000 | 2163961 |
| Home Depot Inc/The 4.95% 6/25/2034  | 11600000 | 11938251 |
| Home Depot Inc/The 5.875% 12/16/2036 (d) | 13741000 | 15019539 |
| Lowe's Cos Inc 1.3% 4/15/2028  | 6380000 | 5996586 |
| Lowe's Cos Inc 1.7% 10/15/2030  | 9666000 | 8585316 |
| Lowe's Cos Inc 3.65% 4/5/2029 (d) | 10507000 | 10353918 |
| Lowe's Cos Inc 3.7% 4/15/2046  | 2780000 | 2131527 |
| Lowe's Cos Inc 3.75% 4/1/2032  | 32063000 | 30812942 |
| Lowe's Cos Inc 4.05% 5/3/2047 (d) | 9135000 | 7350487 |
| Lowe's Cos Inc 4.5% 4/15/2030  | 9618000 | 9745109 |
| Lowe's Cos Inc 4.8% 4/1/2026  | 8100000 | 8113984 |
| Lowe's Cos Inc 5.625% 4/15/2053 (d) | 13800000 | 13652915 |
| Lowe's Cos Inc 5.75% 7/1/2053 (d) | 4623000 | 4637473 |
| O'Reilly Automotive Inc 4.7% 6/15/2032  | 8100000 | 8194487 |
|  |  | 252886430 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| NIKE Inc 2.85% 3/27/2030 (d) | 4775000 | 4563130 |
| NIKE Inc 3.25% 3/27/2040  | 9666000 | 7895224 |
| NIKE Inc 3.375% 11/1/2046  | 3575000 | 2683828 |
| NIKE Inc 3.375% 3/27/2050 (d) | 4775000 | 3481803 |
| Tapestry Inc 3.05% 3/15/2032 (d) | 2320000 | 2110126 |
| Tapestry Inc 5.1% 3/11/2030  | 2000000 | 2053033 |
| Tapestry Inc 5.5% 3/11/2035  | 2000000 | 2050268 |
|  |  | 24837412 |
| TOTAL CONSUMER DISCRETIONARY |  | 850068412 |
| Consumer Staples - 1.2% |  |  |
| Beverages - 0.3% |  |  |
| Coca-Cola Co/The 1.375% 3/15/2031 (d) | 9666000 | 8493680 |
| Coca-Cola Co/The 1.45% 6/1/2027 (d) | 6650000 | 6434261 |
| Coca-Cola Co/The 1.65% 6/1/2030 (d) | 13650000 | 12374340 |
| Coca-Cola Co/The 2.5% 3/15/2051  | 4833000 | 2971254 |
| Coca-Cola Co/The 2.5% 6/1/2040 (d) | 6660000 | 5021567 |
| Coca-Cola Co/The 2.6% 6/1/2050  | 6660000 | 4231564 |
| Coca-Cola Co/The 2.75% 6/1/2060  | 6660000 | 4016532 |
| Coca-Cola Co/The 3.45% 3/25/2030  | 4000000 | 3930213 |
| Coca-Cola Co/The 5% 5/13/2034  | 6760000 | 7100665 |
| Coca-Cola Co/The 5.2% 1/14/2055  | 9790000 | 9654412 |
| Constellation Brands Inc 3.5% 5/9/2027  | 7944000 | 7882289 |
| Constellation Brands Inc 3.7% 12/6/2026  | 5997000 | 5980000 |
| Constellation Brands Inc 4.75% 5/9/2032  | 5000000 | 5049991 |
| Constellation Brands Inc 4.95% 11/1/2035  | 2400000 | 2382601 |
| Constellation Brands Inc 5.25% 11/15/2048  | 5751000 | 5392159 |
| Keurig Dr Pepper Inc 2.25% 3/15/2031  | 2000000 | 1782975 |
| Keurig Dr Pepper Inc 3.2% 5/1/2030  | 2000000 | 1897807 |
| Keurig Dr Pepper Inc 3.8% 5/1/2050  | 2513000 | 1848288 |
| Keurig Dr Pepper Inc 4.05% 4/15/2032  | 11200000 | 10790701 |
| Keurig Dr Pepper Inc 4.5% 4/15/2052  | 1000000 | 821143 |
| Keurig Dr Pepper Inc 4.6% 5/15/2030  | 7880000 | 7916992 |
| Keurig Dr Pepper Inc 5.15% 5/15/2035 (d) | 7080000 | 7122253 |
| Molson Coors Beverage Co 3% 7/15/2026 (d) | 13822000 | 13733579 |
| Molson Coors Beverage Co 4.2% 7/15/2046  | 10509000 | 8605616 |
| PepsiCo Inc 1.4% 2/25/2031 (d) | 12450000 | 10923719 |
| PepsiCo Inc 1.625% 5/1/2030 (d) | 34299000 | 31106218 |
| PepsiCo Inc 2.375% 10/6/2026  | 5362000 | 5298674 |
| PepsiCo Inc 3% 10/15/2027 (d) | 14466000 | 14288200 |
| PepsiCo Inc 3.6% 8/13/2042  | 2383000 | 1967925 |
| PepsiCo Inc 3.875% 3/19/2060  | 4833000 | 3750848 |
| PepsiCo Inc 4.25% 10/22/2044  | 4766000 | 4211856 |
| PepsiCo Inc 4.45% 4/14/2046 (d) | 4607000 | 4149188 |
| PepsiCo Inc 5% 2/7/2035 (d) | 4770000 | 4934454 |
| PepsiCo Inc 5% 7/23/2035 (d) | 11370000 | 11721932 |
|  |  | 237787896 |
| Consumer Staples Distribution & Retail - 0.2% |  |  |
| Costco Wholesale Corp 1.375% 6/20/2027  | 13997000 | 13526644 |
| Costco Wholesale Corp 1.6% 4/20/2030  | 2000000 | 1816574 |
| Costco Wholesale Corp 1.75% 4/20/2032 (d) | 2000000 | 1740766 |
| Dollar General Corp 5% 11/1/2032  | 9230000 | 9355898 |
| Dollar Tree Inc 4.2% 5/15/2028  | 8178000 | 8169161 |
| Kroger Co/The 1.7% 1/15/2031  | 5315000 | 4682138 |
| Kroger Co/The 2.2% 5/1/2030 (d) | 2780000 | 2561472 |
| Kroger Co/The 2.65% 10/15/2026  | 2264000 | 2237077 |
| Kroger Co/The 3.5% 2/1/2026  | 3177000 | 3171923 |
| Kroger Co/The 3.95% 1/15/2050 (d) | 2900000 | 2256703 |
| Kroger Co/The 5% 9/15/2034  | 4540000 | 4612763 |
| Kroger Co/The 5.15% 8/1/2043  | 2165000 | 2063003 |
| Kroger Co/The 5.4% 1/15/2049 (d) | 5171000 | 5011746 |
| Kroger Co/The 5.5% 9/15/2054  | 5170000 | 5040832 |
| Kroger Co/The 5.65% 9/15/2064  | 2660000 | 2592843 |
| Sysco Corp 3.3% 2/15/2050  | 11213000 | 7907994 |
| Sysco Corp 3.3% 7/15/2026  | 2606000 | 2594678 |
| Sysco Corp 6.6% 4/1/2040  | 7830000 | 8803318 |
| Target Corp 3.9% 11/15/2047  | 11736000 | 9374284 |
| Target Corp 4% 7/1/2042 (d) | 5561000 | 4756121 |
| Target Corp 4.4% 1/15/2033 (d) | 8300000 | 8318909 |
| Walmart Inc 2.95% 9/24/2049  | 5027000 | 3503881 |
| Walmart Inc 3.7% 6/26/2028  | 9771000 | 9795965 |
| Walmart Inc 3.9% 4/15/2028  | 7300000 | 7345947 |
| Walmart Inc 4.05% 6/29/2048  | 14433000 | 12278309 |
| Walmart Inc 4.1% 4/15/2033 (d) | 7300000 | 7326821 |
| Walmart Inc 4.3% 4/22/2044 (d) | 4766000 | 4331002 |
| Walmart Inc 5.625% 4/1/2040  | 1589000 | 1718060 |
| Walmart Inc 5.625% 4/15/2041 (d) | 3654000 | 3931429 |
| Walmart Inc 6.5% 8/15/2037 (d) | 6573000 | 7713088 |
|  |  | 168539349 |
| Food Products - 0.3% |  |  |
| Archer-Daniels-Midland Co 2.9% 3/1/2032 (d) | 2300000 | 2121194 |
| Archer-Daniels-Midland Co 4.5% 8/15/2033 (d) | 16900000 | 16998108 |
| Bunge Ltd Finance Corp 2.75% 5/14/2031  | 2000000 | 1844711 |
| Bunge Ltd Finance Corp 4.2% 9/17/2029  | 3260000 | 3260692 |
| Bunge Ltd Finance Corp 4.65% 9/17/2034  | 2540000 | 2513405 |
| Campbell's Company/The 4.8% 3/15/2048 (d) | 11120000 | 9908514 |
| Conagra Brands Inc 4.85% 11/1/2028  | 10827000 | 10976294 |
| Conagra Brands Inc 5.3% 11/1/2038  | 3936000 | 3800660 |
| Conagra Brands Inc 5.4% 11/1/2048 (d) | 7130000 | 6557522 |
| General Mills Inc 2.875% 4/15/2030  | 5778000 | 5473204 |
| General Mills Inc 3% 2/1/2051  | 4854000 | 3207316 |
| General Mills Inc 4.2% 4/17/2028  | 13662000 | 13703737 |
| General Mills Inc 4.875% 1/30/2030  | 2540000 | 2605337 |
| General Mills Inc 4.95% 3/29/2033  | 3670000 | 3742610 |
| JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co 5.5% 1/15/2036 (e) | 8600000 | 8802983 |
| JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co 6.25% 3/1/2056 (e) | 5400000 | 5471922 |
| Kellanova 3.25% 4/1/2026 (d) | 2955000 | 2946132 |
| Kellanova 4.3% 5/15/2028  | 4766000 | 4798261 |
| Kraft Heinz Foods Co 3.875% 5/15/2027  | 28999000 | 28890649 |
| Kraft Heinz Foods Co 4.375% 6/1/2046  | 14500000 | 12179145 |
| Kraft Heinz Foods Co 5% 6/4/2042  | 9800000 | 9091696 |
| Kraft Heinz Foods Co 5% 7/15/2035  | 1000000 | 1002313 |
| Kraft Heinz Foods Co 5.2% 7/15/2045  | 2000000 | 1865220 |
| Kraft Heinz Foods Co 6.875% 1/26/2039  | 2000000 | 2244893 |
| Tyson Foods Inc 4% 3/1/2026  | 5854000 | 5849541 |
| Tyson Foods Inc 4.35% 3/1/2029  | 7149000 | 7168883 |
| Tyson Foods Inc 5.1% 9/28/2048 (d) | 7408000 | 6867121 |
|  |  | 183892063 |
| Household Products - 0.1% |  |  |
| Colgate-Palmolive Co 3.25% 8/15/2032 (d) | 2000000 | 1897835 |
| Kimberly-Clark Corp 1.05% 9/15/2027  | 16774000 | 15999843 |
| Kimberly-Clark Corp 3.1% 3/26/2030  | 3346000 | 3222578 |
| Kimberly-Clark Corp 3.2% 7/30/2046  | 1986000 | 1448174 |
| Kimberly-Clark Corp 3.95% 11/1/2028  | 6766000 | 6796777 |
| Kimberly-Clark Corp 6.625% 8/1/2037  | 1200000 | 1402647 |
| Procter & Gamble Co/The 1.95% 4/23/2031 (d) | 14500000 | 13135339 |
| Procter & Gamble Co/The 2.3% 2/1/2032 (d) | 2000000 | 1835928 |
| Procter & Gamble Co/The 2.85% 8/11/2027  | 3575000 | 3531104 |
| Procter & Gamble Co/The 3% 3/25/2030 (d) | 9868000 | 9528210 |
| Procter & Gamble Co/The 4.35% 11/3/2035 (d) | 6500000 | 6482525 |
| Procter & Gamble Co/The 5.55% 3/5/2037 (d) | 2000000 | 2187170 |
|  |  | 67468130 |
| Personal Care Products - 0.1% |  |  |
| Estee Lauder Cos Inc/The 1.95% 3/15/2031 (d) | 13533000 | 12071951 |
| Estee Lauder Cos Inc/The 5% 2/14/2034 (d) | 2600000 | 2655436 |
| Estee Lauder Cos Inc/The 5.15% 5/15/2053 (d) | 4000000 | 3764075 |
| Kenvue Inc 4.9% 3/22/2033 (d) | 6173000 | 6330948 |
| Kenvue Inc 5.05% 3/22/2028  | 5583000 | 5711293 |
| Kenvue Inc 5.05% 3/22/2053 (d) | 6173000 | 5733889 |
|  |  | 36267592 |
| Tobacco - 0.2% |  |  |
| Altria Group Inc 3.4% 2/4/2041  | 10000000 | 7794130 |
| Altria Group Inc 3.875% 9/16/2046  | 7944000 | 6066872 |
| Altria Group Inc 4.25% 8/9/2042  | 7768000 | 6597759 |
| Altria Group Inc 4.8% 2/14/2029  | 10541000 | 10720025 |
| Altria Group Inc 5.8% 2/14/2039  | 7428000 | 7731659 |
| Altria Group Inc 5.95% 2/14/2049 (d) | 8261000 | 8427721 |
| Philip Morris International Inc 2.75% 2/25/2026  | 2979000 | 2969559 |
| Philip Morris International Inc 3.875% 10/27/2028  | 8000000 | 7978824 |
| Philip Morris International Inc 3.875% 8/21/2042  | 3833000 | 3198428 |
| Philip Morris International Inc 4.125% 3/4/2043  | 7944000 | 6838313 |
| Philip Morris International Inc 4.625% 10/29/2035  | 6000000 | 5906892 |
| Philip Morris International Inc 4.625% 11/1/2029 (d) | 5360000 | 5458560 |
| Philip Morris International Inc 4.875% 11/15/2043  | 4766000 | 4471768 |
| Philip Morris International Inc 4.875% 2/15/2028  | 6100000 | 6216440 |
| Philip Morris International Inc 4.9% 11/1/2034 (d) | 5660000 | 5739606 |
| Philip Morris International Inc 5.125% 11/17/2027 (d) | 8330000 | 8504433 |
| Philip Morris International Inc 5.375% 2/15/2033  | 6430000 | 6739761 |
| Philip Morris International Inc 5.75% 11/17/2032  | 5880000 | 6317550 |
| Philip Morris International Inc 6.375% 5/16/2038  | 1152000 | 1297246 |
|  |  | 118975546 |
| TOTAL CONSUMER STAPLES |  | 812930576 |
| Energy - 1.4% |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc 4.08% 12/15/2047 (d) | 19106000 | 15446863 |
| Baker Hughes Holdings LLC 5.125% 9/15/2040 (d) | 1589000 | 1573471 |
| Halliburton Co 2.92% 3/1/2030  | 7656000 | 7264561 |
| Halliburton Co 4.85% 11/15/2035 (d) | 9000000 | 8953287 |
| Halliburton Co 5% 11/15/2045  | 5989000 | 5464425 |
| Halliburton Co 7.45% 9/15/2039  | 1192000 | 1427751 |
|  |  | 40130358 |
| Oil, Gas & Consumable Fuels - 1.4% |  |  |
| APA Corp 6.1% 2/15/2035  | 6200000 | 6391577 |
| Boardwalk Pipelines LP 3.4% 2/15/2031  | 2000000 | 1880754 |
| BP Capital Markets PLC 3.279% 9/19/2027  | 10121000 | 10026610 |
| Cheniere Energy Inc 5.65% 4/15/2034  | 4400000 | 4588893 |
| Cheniere Energy Partners LP 5.75% 8/15/2034  | 11150000 | 11675481 |
| Chevron Corp 1.995% 5/11/2027  | 4949000 | 4827738 |
| Chevron Corp 2.236% 5/11/2030  | 5916000 | 5497414 |
| Chevron Corp 2.978% 5/11/2040  | 4949000 | 3926740 |
| Chevron Corp 3.078% 5/11/2050  | 5916000 | 4110016 |
| Chevron USA Inc 4.2% 10/15/2049  | 3480000 | 2896985 |
| Chevron USA Inc 4.95% 8/15/2047  | 10963000 | 10361527 |
| ConocoPhillips 6.5% 2/1/2039  | 5981000 | 6799665 |
| ConocoPhillips Co 4.7% 1/15/2030 (d) | 9380000 | 9583874 |
| ConocoPhillips Co 5% 1/15/2035 (d) | 6290000 | 6436182 |
| ConocoPhillips Co 5.05% 9/15/2033 (d) | 9450000 | 9797555 |
| ConocoPhillips Co 5.5% 1/15/2055  | 6540000 | 6393030 |
| ConocoPhillips Co 5.55% 3/15/2054 (d) | 9450000 | 9278390 |
| ConocoPhillips Co 5.95% 3/15/2046  | 4766000 | 5005462 |
| DCP Midstream Operating LP 3.25% 2/15/2032 (d) | 1000000 | 921281 |
| DCP Midstream Operating LP 8.125% 8/16/2030  | 2000000 | 2310302 |
| Devon Energy Corp 5% 6/15/2045 (d) | 13220000 | 11567025 |
| Devon Energy Corp 5.6% 7/15/2041  | 2283000 | 2227570 |
| Diamondback Energy Inc 5.15% 1/30/2030  | 3200000 | 3293150 |
| Diamondback Energy Inc 5.55% 4/1/2035  | 5200000 | 5376293 |
| Diamondback Energy Inc 5.9% 4/18/2064  | 7900000 | 7625186 |
| Diamondback Energy Inc 6.25% 3/15/2033  | 11200000 | 12123946 |
| Eastern Gas Transmission & Storage Inc 3.9% 11/15/2049  | 9666000 | 7121122 |
| Energy Transfer LP 3.75% 5/15/2030  | 13291000 | 12966371 |
| Energy Transfer LP 3.9% 7/15/2026  | 5974000 | 5965320 |
| Energy Transfer LP 4.95% 6/15/2028  | 7490000 | 7620041 |
| Energy Transfer LP 5% 5/15/2050  | 14074000 | 11967546 |
| Energy Transfer LP 5.15% 3/15/2045  | 6356000 | 5683010 |
| Energy Transfer LP 5.2% 4/1/2030 (d) | 6700000 | 6931853 |
| Energy Transfer LP 5.3% 4/1/2044 (d) | 4607000 | 4213929 |
| Energy Transfer LP 5.4% 10/1/2047  | 4369000 | 3978705 |
| Energy Transfer LP 5.7% 4/1/2035 (d) | 5000000 | 5199817 |
| Energy Transfer LP 5.8% 6/15/2038  | 6960000 | 7155672 |
| Energy Transfer LP 6% 6/15/2048  | 15589000 | 15304714 |
| Energy Transfer LP 6.25% 4/15/2049 (d) | 2315000 | 2326779 |
| Enterprise Products Operating LLC 3.3% 2/15/2053  | 3026000 | 2070514 |
| Enterprise Products Operating LLC 3.7% 2/15/2026  | 1405000 | 1403215 |
| Enterprise Products Operating LLC 3.95% 2/15/2027  | 20557000 | 20560767 |
| Enterprise Products Operating LLC 4.2% 1/31/2050  | 4727000 | 3880559 |
| Enterprise Products Operating LLC 4.25% 2/15/2048  | 15839000 | 13257636 |
| Enterprise Products Operating LLC 4.6% 1/15/2031  | 3000000 | 3043890 |
| Enterprise Products Operating LLC 4.8% 2/1/2049  | 5834000 | 5255561 |
| Enterprise Products Operating LLC 4.85% 3/15/2044  | 3972000 | 3688797 |
| Enterprise Products Operating LLC 4.85% 8/15/2042  | 1986000 | 1858167 |
| Enterprise Products Operating LLC 4.9% 5/15/2046  | 3400000 | 3135069 |
| Enterprise Products Operating LLC 4.95% 2/15/2035  | 2230000 | 2267877 |
| Enterprise Products Operating LLC 5.2% 1/15/2036  | 3500000 | 3591217 |
| Enterprise Products Operating LLC 5.35% 1/31/2033  | 7800000 | 8203458 |
| Enterprise Products Operating LLC 5.55% 2/16/2055 (d) | 2230000 | 2207999 |
| Enterprise Products Operating LLC 5.7% 2/15/2042  | 1589000 | 1635342 |
| Enterprise Products Operating LLC 7.55% 4/15/2038  | 1589000 | 1935287 |
| EOG Resources Inc 5% 7/15/2032  | 4150000 | 4261102 |
| EOG Resources Inc 5.35% 1/15/2036 (d) | 4800000 | 4978937 |
| EOG Resources Inc 5.65% 12/1/2054  | 3760000 | 3760789 |
| EQT Corp 5.7% 4/1/2028  | 6471000 | 6681874 |
| Exxon Mobil Corp 3.452% 4/15/2051  | 4616000 | 3392561 |
| Exxon Mobil Corp 3.482% 3/19/2030  | 19333000 | 18969380 |
| Exxon Mobil Corp 3.567% 3/6/2045  | 5282000 | 4203919 |
| Exxon Mobil Corp 4.227% 3/19/2040 (d) | 20900000 | 19408853 |
| Hess Corp 5.6% 2/15/2041  | 2701000 | 2828294 |
| Hess Corp 5.8% 4/1/2047  | 3383000 | 3529276 |
| Hess Corp 6% 1/15/2040  | 2000000 | 2189798 |
| Hess Corp 7.875% 10/1/2029  | 3300000 | 3752362 |
| HF Sinclair Corp 5.5% 9/1/2032  | 4800000 | 4905226 |
| Kinder Morgan Energy Partners LP 4.7% 11/1/2042  | 3019000 | 2676740 |
| Kinder Morgan Energy Partners LP 5% 3/1/2043  | 795000 | 733089 |
| Kinder Morgan Energy Partners LP 5.5% 3/1/2044  | 5558000 | 5416331 |
| Kinder Morgan Energy Partners LP 5.625% 9/1/2041  | 795000 | 793819 |
| Kinder Morgan Energy Partners LP 6.55% 9/15/2040  | 2383000 | 2610755 |
| Kinder Morgan Inc 4.3% 3/1/2028  | 7919000 | 7964184 |
| Kinder Morgan Inc 4.8% 2/1/2033  | 2000000 | 2016829 |
| Kinder Morgan Inc 5.2% 3/1/2048  | 6974000 | 6457949 |
| Kinder Morgan Inc 5.2% 6/1/2033 (d) | 5970000 | 6163950 |
| Kinder Morgan Inc 5.3% 12/1/2034  | 6792000 | 6961780 |
| Kinder Morgan Inc 5.55% 6/1/2045  | 12933000 | 12635191 |
| Marathon Petroleum Corp 4.5% 4/1/2048  | 4630000 | 3757510 |
| Marathon Petroleum Corp 5.15% 3/1/2030  | 5260000 | 5416531 |
| Marathon Petroleum Corp 5.7% 3/1/2035  | 8240000 | 8557694 |
| Marathon Petroleum Corp 6.5% 3/1/2041  | 795000 | 854952 |
| MPLX LP 4.125% 3/1/2027  | 7506000 | 7498741 |
| MPLX LP 4.7% 4/15/2048  | 15489000 | 13007579 |
| MPLX LP 4.8% 2/15/2029  | 7300000 | 7417118 |
| MPLX LP 4.8% 2/15/2031  | 5120000 | 5185496 |
| MPLX LP 5.2% 3/1/2047  | 4861000 | 4379298 |
| MPLX LP 5.4% 9/15/2035  | 10670000 | 10797657 |
| MPLX LP 5.5% 2/15/2049  | 6892000 | 6396255 |
| Occidental Petroleum Corp 6.6% 3/15/2046  | 19100000 | 19882393 |
| Occidental Petroleum Corp 6.625% 9/1/2030  | 2000000 | 2155432 |
| ONEOK Inc 3.1% 3/15/2030  | 2000000 | 1902271 |
| ONEOK Inc 3.4% 9/1/2029  | 1300000 | 1254647 |
| ONEOK Inc 4.25% 9/15/2046  | 4369000 | 3483983 |
| ONEOK Inc 4.25% 9/24/2027  | 1000000 | 1002352 |
| ONEOK Inc 4.35% 3/15/2029  | 2000000 | 2004313 |
| ONEOK Inc 4.4% 10/15/2029  | 7600000 | 7623670 |
| ONEOK Inc 4.45% 9/1/2049  | 4640000 | 3792000 |
| ONEOK Inc 4.5% 3/15/2050  | 1100000 | 904748 |
| ONEOK Inc 4.75% 10/15/2031  | 3460000 | 3476047 |
| ONEOK Inc 4.95% 10/15/2032  | 4000000 | 4027816 |
| ONEOK Inc 4.95% 7/13/2047 (d) | 4647000 | 4123001 |
| ONEOK Inc 5% 3/1/2026  | 2383000 | 2383000 |
| ONEOK Inc 5.05% 11/1/2034  | 2470000 | 2457453 |
| ONEOK Inc 5.2% 7/15/2048  | 2399000 | 2185304 |
| ONEOK Inc 5.65% 11/1/2028  | 3550000 | 3687455 |
| ONEOK Inc 5.7% 11/1/2054  | 2470000 | 2329045 |
| ONEOK Inc 5.85% 11/1/2064  | 6300000 | 6017378 |
| ONEOK Inc 6.1% 11/15/2032  | 8780000 | 9421296 |
| ONEOK Inc 6.625% 9/1/2053  | 6710000 | 7092356 |
| Ovintiv Inc 6.5% 2/1/2038  | 7055000 | 7442228 |
| Phillips 66 3.9% 3/15/2028  | 2000000 | 1990374 |
| Phillips 66 4.65% 11/15/2034  | 2000000 | 1969837 |
| Phillips 66 4.875% 11/15/2044  | 795000 | 707394 |
| Phillips 66 5.875% 5/1/2042  | 7547000 | 7664125 |
| Phillips 66 Co 4.95% 3/15/2035 (d) | 7530000 | 7526545 |
| Phillips 66 Co 5.5% 3/15/2055 (d) | 4340000 | 4044291 |
| Plains All American Pipeline LP / PAA Finance Corp 3.55% 12/15/2029  | 1000000 | 971033 |
| Plains All American Pipeline LP / PAA Finance Corp 4.9% 2/15/2045  | 1509000 | 1326447 |
| Plains All American Pipeline LP / PAA Finance Corp 5.6% 1/15/2036  | 6675000 | 6782122 |
| Plains All American Pipeline LP / PAA Finance Corp 6.65% 1/15/2037  | 4220000 | 4624749 |
| Sabine Pass Liquefaction LLC 4.5% 5/15/2030  | 15000000 | 15088907 |
| Shell Finance US Inc 2.375% 11/7/2029 (d) | 26293000 | 24797102 |
| Shell Finance US Inc 4% 5/10/2046  | 3177000 | 2626633 |
| Shell Finance US Inc 4.375% 5/11/2045  | 10565000 | 9256036 |
| Shell Finance US Inc 4.75% 1/6/2036 (d) | 8000000 | 8060023 |
| Shell International Finance BV 3.125% 11/7/2049  | 11116000 | 7678451 |
| Shell International Finance BV 3.875% 11/13/2028  | 6766000 | 6775232 |
| Shell International Finance BV 6.375% 12/15/2038  | 5337000 | 5961691 |
| Spectra Energy Partners LP 3.375% 10/15/2026  | 12956000 | 12880884 |
| Targa Resources Corp 4.35% 1/15/2029  | 2000000 | 2006728 |
| Targa Resources Corp 4.9% 9/15/2030  | 4070000 | 4151183 |
| Targa Resources Corp 4.95% 4/15/2052  | 6000000 | 5145437 |
| Targa Resources Corp 5.4% 7/30/2036  | 2400000 | 2421326 |
| Targa Resources Corp 6.125% 3/15/2033  | 9100000 | 9755818 |
| Targa Resources Corp 6.125% 5/15/2055  | 3640000 | 3659936 |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp 4% 1/15/2032  | 2000000 | 1910133 |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp 4.875% 2/1/2031  | 2000000 | 2009509 |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp 5% 1/15/2028  | 1300000 | 1300187 |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp 5.5% 3/1/2030  | 2000000 | 2035071 |
| Transcontinental Gas Pipe Line Co LLC 3.25% 5/15/2030  | 4640000 | 4440681 |
| Transcontinental Gas Pipe Line Co LLC 3.95% 5/15/2050  | 4640000 | 3636555 |
| Transcontinental Gas Pipe Line Co LLC 4.45% 8/1/2042  | 6157000 | 5451383 |
| Transcontinental Gas Pipe Line Co LLC 4.6% 3/15/2048  | 3177000 | 2783811 |
| Valero Energy Corp 4% 4/1/2029  | 7408000 | 7364277 |
| Valero Energy Corp 4% 6/1/2052  | 5100000 | 3829734 |
| Valero Energy Corp 6.625% 6/15/2037  | 7605000 | 8491297 |
| Western Gas Partners LP 4.05% 2/1/2030 (f) | 10100000 | 9932988 |
| Western Gas Partners LP 5.45% 11/15/2034  | 12000000 | 12098574 |
| Williams Cos Inc/The 3.75% 6/15/2027  | 18557000 | 18431437 |
| Williams Cos Inc/The 4.625% 6/30/2030  | 6000000 | 6068498 |
| Williams Cos Inc/The 4.85% 3/1/2048  | 6697000 | 5970473 |
| Williams Cos Inc/The 5.3% 9/30/2035  | 10000000 | 10241111 |
| Williams Cos Inc/The 5.4% 3/2/2026  | 3600000 | 3612541 |
| Williams Cos Inc/The 5.6% 3/15/2035  | 1000000 | 1045617 |
| Williams Cos Inc/The 5.65% 3/15/2033  | 2610000 | 2759610 |
| Williams Cos Inc/The 5.75% 6/24/2044  | 1509000 | 1526294 |
|  |  | 921374972 |
| TOTAL ENERGY |  | 961505330 |
| Financials - 6.5% |  |  |
| Banks - 2.8% |  |  |
| Bank of America Corp 1.658% 3/11/2027 (c) | 15408000 | 15297234 |
| Bank of America Corp 1.734% 7/22/2027 (c) | 19987000 | 19676001 |
| Bank of America Corp 2.087% 6/14/2029 (c) | 4543000 | 4331871 |
| Bank of America Corp 2.299% 7/21/2032 (c) | 7772000 | 6971787 |
| Bank of America Corp 2.482% 9/21/2036 (c) | 7000000 | 6161668 |
| Bank of America Corp 2.651% 3/11/2032 (c) | 14674000 | 13525711 |
| Bank of America Corp 2.676% 6/19/2041 (c) | 18560000 | 13963794 |
| Bank of America Corp 2.687% 4/22/2032 (c) | 7115000 | 6550499 |
| Bank of America Corp 2.831% 10/24/2051 (c) | 7984000 | 5206290 |
| Bank of America Corp 2.972% 7/21/2052 (c) | 7772000 | 5236506 |
| Bank of America Corp 3.194% 7/23/2030 (c)(d) | 38178000 | 36966138 |
| Bank of America Corp 3.248% 10/21/2027 (d) | 2979000 | 2947604 |
| Bank of America Corp 3.311% 4/22/2042 (c) | 15200000 | 12161411 |
| Bank of America Corp 3.419% 12/20/2028 (c) | 24064000 | 23766072 |
| Bank of America Corp 3.593% 7/21/2028 (c) | 8818000 | 8749570 |
| Bank of America Corp 3.705% 4/24/2028 (c) | 6991000 | 6954938 |
| Bank of America Corp 3.824% 1/20/2028 (c) | 17200000 | 17144001 |
| Bank of America Corp 3.846% 3/8/2037 (c) | 4603000 | 4352402 |
| Bank of America Corp 3.97% 3/5/2029 (c) | 17399000 | 17371474 |
| Bank of America Corp 3.974% 2/7/2030 (c) | 11231000 | 11181902 |
| Bank of America Corp 4.083% 3/20/2051 (c) | 5027000 | 4141948 |
| Bank of America Corp 4.183% 11/25/2027  | 12307000 | 12322918 |
| Bank of America Corp 4.244% 4/24/2038 (c) | 2000000 | 1889012 |
| Bank of America Corp 4.25% 10/22/2026  | 3177000 | 3183774 |
| Bank of America Corp 4.271% 7/23/2029 (c) | 14306000 | 14395620 |
| Bank of America Corp 4.33% 3/15/2050 (c) | 10398000 | 8933294 |
| Bank of America Corp 4.443% 1/20/2048 (c) | 12114000 | 10758715 |
| Bank of America Corp 4.45% 3/3/2026  | 10327000 | 10338906 |
| Bank of America Corp 4.623% 5/9/2029 (c) | 6000000 | 6081870 |
| Bank of America Corp 4.948% 7/22/2028 (c) | 5000000 | 5070327 |
| Bank of America Corp 5% 1/21/2044  | 4265000 | 4204977 |
| Bank of America Corp 5.015% 7/22/2033 (c) | 8900000 | 9157127 |
| Bank of America Corp 5.08% 1/20/2027 (c) | 22900000 | 22922389 |
| Bank of America Corp 5.288% 4/25/2034 (c) | 6160000 | 6418343 |
| Bank of America Corp 5.425% 8/15/2035 (c)(d) | 3410000 | 3514488 |
| Bank of America Corp 5.464% 5/9/2036 (c)(d) | 18000000 | 18978740 |
| Bank of America Corp 5.511% 1/24/2036 (c) | 19750000 | 20844767 |
| Bank of America Corp 5.518% 10/25/2035 (c) | 2100000 | 2169642 |
| Bank of America Corp 5.744% 2/12/2036 (c)(d) | 12060000 | 12675817 |
| Bank of America Corp 5.872% 9/15/2034 (c) | 1240000 | 1336641 |
| Bank of America Corp 5.875% 2/7/2042  | 2610000 | 2817141 |
| Bank of America Corp 6.11% 1/29/2037  | 6621000 | 7205832 |
| Bank of America Corp 6.204% 11/10/2028 (c) | 7700000 | 8007591 |
| Bank of America Corp 7.75% 5/14/2038  | 3317000 | 4074667 |
| Citibank NA 4.914% 5/29/2030  | 37000000 | 38160668 |
| Citigroup Inc 1.122% 1/28/2027 (c) | 14113000 | 14042437 |
| Citigroup Inc 2.561% 5/1/2032 (c)(d) | 11986000 | 10906219 |
| Citigroup Inc 2.904% 11/3/2042 (c)(d) | 9400000 | 7009102 |
| Citigroup Inc 3.52% 10/27/2028 (c) | 18312000 | 18122575 |
| Citigroup Inc 3.668% 7/24/2028 (c) | 32410000 | 32182305 |
| Citigroup Inc 3.785% 3/17/2033 (c)(d) | 7100000 | 6801278 |
| Citigroup Inc 3.887% 1/10/2028 (c) | 3575000 | 3565558 |
| Citigroup Inc 3.98% 3/20/2030 (c) | 28276000 | 28064320 |
| Citigroup Inc 4.125% 7/25/2028  | 17365000 | 17369013 |
| Citigroup Inc 4.412% 3/31/2031 (c) | 7733000 | 7757969 |
| Citigroup Inc 4.45% 9/29/2027 (d) | 28129000 | 28266965 |
| Citigroup Inc 4.503% 9/11/2031 (c)(d) | 15000000 | 15105197 |
| Citigroup Inc 4.643% 5/7/2028 (c) | 5500000 | 5539120 |
| Citigroup Inc 4.65% 7/23/2048  | 11261000 | 10119558 |
| Citigroup Inc 4.75% 5/18/2046  | 9151000 | 8156671 |
| Citigroup Inc 5.3% 5/6/2044  | 1589000 | 1550610 |
| Citigroup Inc 5.316% 3/26/2041 (c)(d) | 3000000 | 3038581 |
| Citigroup Inc 5.333% 3/27/2036 (c) | 12800000 | 13208921 |
| Citigroup Inc 5.411% 9/19/2039 (c) | 17720000 | 17893748 |
| Citigroup Inc 5.449% 6/11/2035 (c) | 12600000 | 13159682 |
| Citigroup Inc 5.875% 1/30/2042  | 4328000 | 4606490 |
| Citigroup Inc 8.125% 7/15/2039  | 6356000 | 8220564 |
| Citizens Financial Group Inc 2.638% 9/30/2032 (d) | 3302000 | 2847231 |
| Citizens Financial Group Inc 5.253% 3/5/2031 (c) | 6360000 | 6520839 |
| Citizens Financial Group Inc 5.718% 7/23/2032 (c) | 5800000 | 6083243 |
| Comerica Bank 5.332% 8/25/2033 (c)(d) | 1500000 | 1515393 |
| Comerica Inc 3.8% 7/22/2026  | 2899000 | 2887262 |
| Fifth Third Bancorp 2.55% 5/5/2027  | 11793000 | 11548175 |
| Fifth Third Bancorp 4.772% 7/28/2030 (c) | 6100000 | 6183300 |
| Fifth Third Bancorp 8.25% 3/1/2038  | 3651000 | 4522968 |
| First Citizens BancShares Inc/NC 6.254% 3/12/2040 (c) | 2250000 | 2295270 |
| Huntington Bancshares Inc/OH 2.487% 8/15/2036 (c) | 1850000 | 1602531 |
| Huntington Bancshares Inc/OH 4.443% 8/4/2028 (c) | 3100000 | 3115460 |
| Huntington Bancshares Inc/OH 5.272% 1/15/2031 (c) | 10000000 | 10323403 |
| Huntington Bancshares Inc/OH 6.208% 8/21/2029 (c)(d) | 7490000 | 7866142 |
| Huntington National Bank/The 4.552% 5/17/2028 (c) | 10000000 | 10057068 |
| JPMorgan Chase & Co 1.47% 9/22/2027 (c) | 23779000 | 23283188 |
| JPMorgan Chase & Co 1.953% 2/4/2032 (c) | 12760000 | 11372973 |
| JPMorgan Chase & Co 2.522% 4/22/2031 (c) | 9521000 | 8891672 |
| JPMorgan Chase & Co 2.545% 11/8/2032 (c) | 18588000 | 16828308 |
| JPMorgan Chase & Co 2.95% 10/1/2026  | 20041000 | 19881514 |
| JPMorgan Chase & Co 2.956% 5/13/2031 (c) | 9908000 | 9354412 |
| JPMorgan Chase & Co 3.109% 4/22/2051 (c) | 11841000 | 8260941 |
| JPMorgan Chase & Co 3.3% 4/1/2026  | 7149000 | 7130876 |
| JPMorgan Chase & Co 3.328% 4/22/2052 (c) | 5000000 | 3623286 |
| JPMorgan Chase & Co 3.509% 1/23/2029 (c) | 25133000 | 24872912 |
| JPMorgan Chase & Co 3.54% 5/1/2028 (c) | 13504000 | 13414447 |
| JPMorgan Chase & Co 3.882% 7/24/2038 (c)(d) | 13575000 | 12361274 |
| JPMorgan Chase & Co 3.96% 1/29/2027 (c)(d) | 9666000 | 9659841 |
| JPMorgan Chase & Co 3.964% 11/15/2048 (c) | 7466000 | 6152498 |
| JPMorgan Chase & Co 4.005% 4/23/2029 (c)(d) | 16311000 | 16295280 |
| JPMorgan Chase & Co 4.125% 12/15/2026  | 4667000 | 4673793 |
| JPMorgan Chase & Co 4.203% 7/23/2029 (c) | 34701000 | 34810054 |
| JPMorgan Chase & Co 4.452% 12/5/2029 (c) | 9705000 | 9812749 |
| JPMorgan Chase & Co 4.586% 4/26/2033 (c) | 9454000 | 9550440 |
| JPMorgan Chase & Co 4.603% 10/22/2030 (c) | 14550000 | 14787803 |
| JPMorgan Chase & Co 4.81% 10/22/2036 (c) | 14000000 | 14077625 |
| JPMorgan Chase & Co 4.85% 2/1/2044  | 3972000 | 3815092 |
| JPMorgan Chase & Co 4.912% 7/25/2033 (c) | 20900000 | 21459390 |
| JPMorgan Chase & Co 4.946% 10/22/2035 (c) | 9883000 | 10069175 |
| JPMorgan Chase & Co 4.95% 6/1/2045  | 7581000 | 7268409 |
| JPMorgan Chase & Co 4.995% 7/22/2030 (c) | 6050000 | 6225251 |
| JPMorgan Chase & Co 5.012% 1/23/2030 (c) | 12500000 | 12834250 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (c) | 8690000 | 9012302 |
| JPMorgan Chase & Co 5.294% 7/22/2035 (c) | 5350000 | 5577985 |
| JPMorgan Chase & Co 5.336% 1/23/2035 (c) | 15000000 | 15692014 |
| JPMorgan Chase & Co 5.35% 6/1/2034 (c) | 8400000 | 8818225 |
| JPMorgan Chase & Co 5.5% 10/15/2040  | 4528000 | 4781246 |
| JPMorgan Chase & Co 5.502% 1/24/2036 (c) | 7500000 | 7923046 |
| JPMorgan Chase & Co 5.572% 4/22/2036 (c) | 23700000 | 25175842 |
| JPMorgan Chase & Co 5.576% 7/23/2036 (c)(d) | 6400000 | 6695923 |
| JPMorgan Chase & Co 5.6% 7/15/2041  | 1192000 | 1259200 |
| JPMorgan Chase & Co 5.625% 8/16/2043  | 3972000 | 4142170 |
| JPMorgan Chase & Co 6.4% 5/15/2038  | 10000000 | 11447171 |
| KeyBank NA/Cleveland OH 3.4% 5/20/2026 (d) | 4289000 | 4267632 |
| KeyCorp 4.789% 6/1/2033 (c) | 7300000 | 7312802 |
| KeyCorp 5.121% 4/4/2031 (c) | 3830000 | 3938554 |
| M&T Bank Corp 5.053% 1/27/2034 (c) | 5000000 | 5045284 |
| M&T Bank Corp 5.179% 7/8/2031 (c) | 6400000 | 6565889 |
| Morgan Stanley Private Bank NA 4.465% 11/19/2031 (c) | 5700000 | 5731175 |
| Morgan Stanley Private Bank NA 4.466% 7/6/2028 (c) | 20000000 | 20122835 |
| Morgan Stanley Private Bank NA 4.734% 7/18/2031 (c) | 7000000 | 7120054 |
| PNC Financial Services Group Inc/The 1.15% 8/13/2026  | 10008000 | 9814966 |
| PNC Financial Services Group Inc/The 4.626% 6/6/2033 (c) | 5000000 | 4975575 |
| PNC Financial Services Group Inc/The 4.812% 10/21/2032 (c) | 14050000 | 14335414 |
| PNC Financial Services Group Inc/The 4.899% 5/13/2031 (c) | 4000000 | 4101511 |
| PNC Financial Services Group Inc/The 5.222% 1/29/2031 (c) | 3520000 | 3649968 |
| PNC Financial Services Group Inc/The 5.354% 12/2/2028 (c)(d) | 11710000 | 12000032 |
| PNC Financial Services Group Inc/The 5.373% 7/21/2036 (c) | 8100000 | 8391031 |
| PNC Financial Services Group Inc/The 5.575% 1/29/2036 (c) | 2100000 | 2208444 |
| PNC Financial Services Group Inc/The 5.582% 6/12/2029 (c) | 9650000 | 10004780 |
| PNC Financial Services Group Inc/The 5.676% 1/22/2035 (c) | 4700000 | 4977583 |
| PNC Financial Services Group Inc/The 5.939% 8/18/2034 (c) | 10750000 | 11609295 |
| Regions Financial Corp 5.502% 9/6/2035 (c)(d) | 4200000 | 4341521 |
| Santander Holdings USA Inc 2.49% 1/6/2028 (c)(d) | 2000000 | 1959227 |
| Santander Holdings USA Inc 4.4% 7/13/2027  | 4600000 | 4613468 |
| Santander Holdings USA Inc 5.741% 3/20/2031 (c)(d) | 2830000 | 2932058 |
| Santander Holdings USA Inc 6.342% 5/31/2035 (c)(d) | 5250000 | 5641770 |
| Santander Holdings USA Inc 6.565% 6/12/2029 (c) | 2900000 | 3034227 |
| Truist Financial Corp 1.267% 3/2/2027 (c)(d) | 26042000 | 25841791 |
| Truist Financial Corp 4.916% 7/28/2033 (c) | 4850000 | 4858756 |
| Truist Financial Corp 4.964% 10/23/2036 (c) | 3500000 | 3482242 |
| Truist Financial Corp 5.122% 1/26/2034 (c) | 7900000 | 8067919 |
| Truist Financial Corp 5.153% 8/5/2032 (c) | 3000000 | 3098988 |
| Truist Financial Corp 5.711% 1/24/2035 (c) | 4420000 | 4674114 |
| Truist Financial Corp 5.867% 6/8/2034 (c) | 3770000 | 4020593 |
| US Bancorp 1.375% 7/22/2030 (d) | 9666000 | 8562611 |
| US Bancorp 2.677% 1/27/2033 (c)(d) | 6900000 | 6237756 |
| US Bancorp 3% 7/30/2029 (d) | 8603000 | 8294210 |
| US Bancorp 3.1% 4/27/2026  | 7149000 | 7121746 |
| US Bancorp 4.653% 2/1/2029 (c) | 11310000 | 11450466 |
| US Bancorp 4.839% 2/1/2034 (c) | 12000000 | 12155688 |
| US Bancorp 5.046% 2/12/2031 (c) | 4820000 | 4964449 |
| US Bancorp 5.1% 7/23/2030 (c)(d) | 4100000 | 4229365 |
| US Bancorp 5.424% 2/12/2036 (c)(d) | 4250000 | 4443818 |
| US Bancorp 5.775% 6/12/2029 (c) | 8900000 | 9261282 |
| Wells Fargo & Co 2.572% 2/11/2031 (c)(d) | 18666000 | 17477841 |
| Wells Fargo & Co 3% 10/23/2026  | 16149000 | 15996433 |
| Wells Fargo & Co 3.068% 4/30/2041 (c) | 14113000 | 11144873 |
| Wells Fargo & Co 3.35% 3/2/2033 (c) | 4543000 | 4268528 |
| Wells Fargo & Co 3.526% 3/24/2028 (c) | 5000000 | 4963722 |
| Wells Fargo & Co 3.584% 5/22/2028 (c) | 8313000 | 8252190 |
| Wells Fargo & Co 3.9% 5/1/2045  | 3781000 | 3120641 |
| Wells Fargo & Co 4.1% 6/3/2026  | 2562000 | 2561698 |
| Wells Fargo & Co 4.4% 6/14/2046  | 5672000 | 4829767 |
| Wells Fargo & Co 4.611% 4/25/2053 (c) | 6390000 | 5632197 |
| Wells Fargo & Co 4.75% 12/7/2046  | 12709000 | 11358871 |
| Wells Fargo & Co 4.808% 7/25/2028 (c) | 16500000 | 16677677 |
| Wells Fargo & Co 4.892% 9/15/2036 (c)(d) | 3000000 | 3025779 |
| Wells Fargo & Co 4.897% 7/25/2033 (c) | 19800000 | 20254186 |
| Wells Fargo & Co 4.9% 11/17/2045  | 7663000 | 6992326 |
| Wells Fargo & Co 5.013% 4/4/2051 (c) | 4814000 | 4519350 |
| Wells Fargo & Co 5.15% 4/23/2031 (c)(d) | 10580000 | 10957117 |
| Wells Fargo & Co 5.198% 1/23/2030 (c) | 8500000 | 8769753 |
| Wells Fargo & Co 5.244% 1/24/2031 (c)(d) | 10000000 | 10390922 |
| Wells Fargo & Co 5.375% 11/2/2043 (d) | 5336000 | 5259670 |
| Wells Fargo & Co 5.389% 4/24/2034 (c) | 25070000 | 26281089 |
| Wells Fargo & Co 5.499% 1/23/2035 (c) | 9000000 | 9463713 |
| Wells Fargo & Co 5.557% 7/25/2034 (c) | 9000000 | 9532693 |
| Wells Fargo & Co 5.574% 7/25/2029 (c) | 12000000 | 12436894 |
| Wells Fargo & Co 5.605% 4/23/2036 (c) | 10900000 | 11560615 |
| Wells Fargo & Co 5.606% 1/15/2044  | 9040000 | 9113070 |
|  |  | 1825772336 |
| Capital Markets - 1.7% |  |  |
| Ameriprise Financial Inc 5.15% 5/15/2033  | 2900000 | 3021964 |
| Apollo Debt Solutions BDC 6.55% 3/15/2032 (e) | 5950000 | 6181480 |
| Ares Capital Corp 2.15% 7/15/2026 (d) | 20441000 | 20131861 |
| Ares Capital Corp 5.100% 1/15/2031  | 2500000 | 2471054 |
| Ares Capital Corp 5.5% 9/1/2030  | 4000000 | 4036084 |
| Ares Capital Corp 5.95% 7/15/2029  | 7200000 | 7404338 |
| Ares Strategic Income Fund 4.85% 1/15/2029 (e) | 2600000 | 2566860 |
| Ares Strategic Income Fund 5.6% 2/15/2030  | 9760000 | 9803171 |
| Ares Strategic Income Fund 6.2% 3/21/2032  | 2600000 | 2663883 |
| Bank of New York Mellon Corp/The 1.8% 7/28/2031  | 16619000 | 14696134 |
| Bank of New York Mellon Corp/The 2.8% 5/4/2026  | 4472000 | 4447655 |
| Bank of New York Mellon Corp/The 4.543% 2/1/2029 (c) | 7200000 | 7286178 |
| Bank of New York Mellon Corp/The 4.942% 2/11/2031 (c) | 14090000 | 14516572 |
| Bank of New York Mellon Corp/The 4.975% 3/14/2030 (c)(d) | 9000000 | 9280140 |
| Bank of New York Mellon Corp/The 5.188% 3/14/2035 (c) | 9740000 | 10108510 |
| Bank of New York Mellon Corp/The 5.316% 6/6/2036 (c) | 4000000 | 4173627 |
| BlackRock Funding Inc 4.6% 7/26/2027  | 4530000 | 4587277 |
| BlackRock Funding Inc 4.9% 1/8/2035  | 5700000 | 5860326 |
| BlackRock Funding Inc 5.35% 1/8/2055 (d) | 5390000 | 5355337 |
| Blackrock Inc 2.1% 2/25/2032  | 11503000 | 10170232 |
| Blackstone Private Credit Fund 5.05% 9/10/2030  | 2600000 | 2563155 |
| Blackstone Private Credit Fund 5.25% 4/1/2030  | 2590000 | 2580575 |
| Blackstone Private Credit Fund 5.95% 7/16/2029  | 7400000 | 7566753 |
| Blackstone Private Credit Fund 6% 1/29/2032 (d) | 2260000 | 2309149 |
| Blackstone Private Credit Fund 6% 11/22/2034 (d) | 2100000 | 2131239 |
| Blackstone Secured Lending Fund 5.3% 6/30/2030 (d) | 2200000 | 2205440 |
| Blackstone Secured Lending Fund 5.35% 4/13/2028  | 5340000 | 5392973 |
| Blue Owl Capital Corp 2.875% 6/11/2028  | 6800000 | 6409732 |
| Blue Owl Capital Corp 5.95% 3/15/2029  | 2850000 | 2885836 |
| Charles Schwab Corp/The 2% 3/20/2028  | 16771000 | 16105499 |
| Charles Schwab Corp/The 2.45% 3/3/2027  | 19333000 | 18976546 |
| Charles Schwab Corp/The 2.9% 3/3/2032  | 7200000 | 6617211 |
| Charles Schwab Corp/The 4.343% 11/14/2031 (c) | 4000000 | 4010371 |
| Charles Schwab Corp/The 4.914% 11/14/2036 (c) | 3000000 | 3005436 |
| Charles Schwab Corp/The 6.136% 8/24/2034 (c) | 7950000 | 8701512 |
| CME Group Inc 2.65% 3/15/2032  | 2803000 | 2564721 |
| CME Group Inc 5.3% 9/15/2043  | 4930000 | 5010442 |
| Franklin Resources Inc 1.6% 10/30/2030  | 2000000 | 1766510 |
| GE Capital Funding LLC 4.4% 5/15/2030  | 5000000 | 5002971 |
| Goldman Sachs Group Inc/The 1.093% 12/9/2026 (c) | 33156000 | 33131052 |
| Goldman Sachs Group Inc/The 2.383% 7/21/2032 (c) | 22445000 | 20182942 |
| Goldman Sachs Group Inc/The 2.6% 2/7/2030  | 9666000 | 9080973 |
| Goldman Sachs Group Inc/The 2.615% 4/22/2032 (c) | 24562000 | 22464244 |
| Goldman Sachs Group Inc/The 2.65% 10/21/2032 (c)(d) | 12566000 | 11387400 |
| Goldman Sachs Group Inc/The 3.102% 2/24/2033 (c) | 5000000 | 4627695 |
| Goldman Sachs Group Inc/The 3.436% 2/24/2043 (c) | 5063000 | 4008445 |
| Goldman Sachs Group Inc/The 3.691% 6/5/2028 (c) | 14113000 | 14017217 |
| Goldman Sachs Group Inc/The 3.85% 1/26/2027  | 24021000 | 23974247 |
| Goldman Sachs Group Inc/The 4.017% 10/31/2038 (c) | 1000000 | 908689 |
| Goldman Sachs Group Inc/The 4.153% 10/21/2029 (c) | 15600000 | 15611243 |
| Goldman Sachs Group Inc/The 4.411% 4/23/2039 (c) | 5770000 | 5410633 |
| Goldman Sachs Group Inc/The 4.75% 10/21/2045  | 12534000 | 11550444 |
| Goldman Sachs Group Inc/The 4.937% 4/23/2028 (c)(d) | 9600000 | 9705288 |
| Goldman Sachs Group Inc/The 4.939% 10/21/2036 (c) | 7700000 | 7728677 |
| Goldman Sachs Group Inc/The 5.049% 7/23/2030 (c) | 20500000 | 21059559 |
| Goldman Sachs Group Inc/The 5.207% 1/28/2031 (c) | 5550000 | 5750145 |
| Goldman Sachs Group Inc/The 5.33% 7/23/2035 (c)(d) | 13150000 | 13646966 |
| Goldman Sachs Group Inc/The 5.536% 1/28/2036 (c)(d) | 6950000 | 7282787 |
| Goldman Sachs Group Inc/The 5.561% 11/19/2045 (c) | 9800000 | 9987603 |
| Goldman Sachs Group Inc/The 5.734% 1/28/2056 (c)(d) | 7150000 | 7428759 |
| Goldman Sachs Group Inc/The 5.95% 1/15/2027  | 11915000 | 12170994 |
| Goldman Sachs Group Inc/The 6.25% 2/1/2041  | 5900000 | 6520686 |
| Goldman Sachs Group Inc/The 6.75% 10/1/2037  | 20049000 | 22582491 |
| Golub Capital BDC Inc 6% 7/15/2029 (d) | 2550000 | 2600028 |
| HPS Corporate Lending Fund 5.45% 11/15/2030 (e) | 3330000 | 3310631 |
| HPS Corporate Lending Fund 5.85% 6/5/2030 (e) | 2900000 | 2933950 |
| HPS Corporate Lending Fund 6.25% 9/30/2029 (d) | 4100000 | 4219687 |
| Intercontinental Exchange Inc 1.85% 9/15/2032  | 8990000 | 7678444 |
| Intercontinental Exchange Inc 2.65% 9/15/2040  | 10990000 | 8202734 |
| Intercontinental Exchange Inc 3.75% 12/1/2025  | 4567000 | 4567000 |
| Intercontinental Exchange Inc 3.75% 9/21/2028  | 7411000 | 7370316 |
| Intercontinental Exchange Inc 4% 9/15/2027  | 11200000 | 11215866 |
| Intercontinental Exchange Inc 4.25% 9/21/2048  | 8390000 | 7061839 |
| Intercontinental Exchange Inc 4.35% 6/15/2029  | 1000000 | 1010494 |
| Intercontinental Exchange Inc 4.6% 3/15/2033  | 4600000 | 4648166 |
| Intercontinental Exchange Inc 4.95% 6/15/2052  | 2420000 | 2240679 |
| Intercontinental Exchange Inc 5.25% 6/15/2031  | 5030000 | 5268255 |
| Jefferies Financial Group Inc 2.625% 10/15/2031 (d) | 1933000 | 1705608 |
| Jefferies Financial Group Inc 4.15% 1/23/2030  | 11213000 | 11018392 |
| Jefferies Financial Group Inc 6.2% 4/14/2034 (d) | 5370000 | 5689057 |
| LPL Holdings Inc 5.15% 6/15/2030  | 4110000 | 4199970 |
| LPL Holdings Inc 5.65% 3/15/2035  | 3400000 | 3485457 |
| Moody's Corp 2% 8/19/2031 (d) | 1400000 | 1243235 |
| Moody's Corp 3.25% 1/15/2028  | 12663000 | 12469311 |
| Moody's Corp 4.25% 8/8/2032  | 1000000 | 989492 |
| Moody's Corp 4.875% 12/17/2048  | 8233000 | 7448202 |
| Morgan Stanley 1.512% 7/20/2027 (c) | 7810000 | 7680317 |
| Morgan Stanley 1.593% 5/4/2027 (c) | 11397000 | 11272503 |
| Morgan Stanley 2.239% 7/21/2032 (c) | 21895000 | 19527521 |
| Morgan Stanley 2.475% 1/21/2028 (c) | 2000000 | 1962926 |
| Morgan Stanley 2.484% 9/16/2036 (c)(d) | 1600000 | 1408629 |
| Morgan Stanley 2.511% 10/20/2032 (c) | 3963000 | 3568629 |
| Morgan Stanley 3.125% 7/27/2026  | 4448000 | 4422908 |
| Morgan Stanley 3.217% 4/22/2042 (c) | 14442000 | 11414751 |
| Morgan Stanley 3.591% 7/22/2028 (c) | 47701000 | 47260280 |
| Morgan Stanley 3.772% 1/24/2029 (c) | 9753000 | 9688476 |
| Morgan Stanley 3.875% 1/27/2026  | 6171000 | 6168009 |
| Morgan Stanley 3.95% 4/23/2027  | 27155000 | 27152894 |
| Morgan Stanley 3.971% 7/22/2038 (c) | 18965000 | 17248993 |
| Morgan Stanley 4.133% 10/18/2029 (c) | 10000000 | 9998929 |
| Morgan Stanley 4.3% 1/27/2045  | 1589000 | 1393372 |
| Morgan Stanley 4.356% 10/22/2031 (c) | 2000000 | 2002155 |
| Morgan Stanley 4.375% 1/22/2047  | 8818000 | 7761289 |
| Morgan Stanley 4.457% 4/22/2039 (c) | 6005000 | 5697291 |
| Morgan Stanley 4.654% 10/18/2030 (c) | 15300000 | 15525780 |
| Morgan Stanley 4.892% 10/22/2036 (c)(d) | 13000000 | 13042124 |
| Morgan Stanley 5.042% 7/19/2030 (c) | 8300000 | 8532360 |
| Morgan Stanley 5.123% 2/1/2029 (c) | 14400000 | 14707339 |
| Morgan Stanley 5.192% 4/17/2031 (c) | 4340000 | 4491900 |
| Morgan Stanley 5.297% 4/20/2037 (c) | 7300000 | 7482633 |
| Morgan Stanley 5.32% 7/19/2035 (c) | 8400000 | 8723749 |
| Morgan Stanley 5.587% 1/18/2036 (c) | 24850000 | 26231014 |
| Morgan Stanley 5.597% 3/24/2051 (c) | 10295000 | 10521326 |
| Morgan Stanley 5.664% 4/17/2036 (c) | 4540000 | 4819607 |
| Morgan Stanley 5.948% 1/19/2038 (c) | 8870000 | 9374571 |
| Morgan Stanley 6.296% 10/18/2028 (c) | 24000000 | 24943595 |
| Morgan Stanley 6.375% 7/24/2042  | 2303000 | 2602877 |
| Morgan Stanley 7.25% 4/1/2032  | 795000 | 922840 |
| MSCI Inc 5.25% 9/1/2035  | 4620000 | 4671654 |
| Nasdaq Inc 2.5% 12/21/2040  | 2000000 | 1440511 |
| Nasdaq Inc 5.35% 6/28/2028  | 4280000 | 4414826 |
| Nasdaq Inc 5.55% 2/15/2034  | 3920000 | 4142420 |
| Nasdaq Inc 5.95% 8/15/2053 (d) | 1232000 | 1287059 |
| Nasdaq Inc 6.1% 6/28/2063  | 4600000 | 4837052 |
| Northern Trust Corp 1.95% 5/1/2030  | 17158000 | 15730007 |
| Raymond James Financial Inc 4.9% 9/11/2035  | 2300000 | 2290972 |
| Raymond James Financial Inc 5.65% 9/11/2055  | 4050000 | 4010032 |
| S&P Global Inc 2.9% 3/1/2032  | 34219000 | 31686760 |
| S&P Global Inc 2.95% 1/22/2027  | 4833000 | 4782944 |
| Sixth Street Specialty Lending Inc 5.625% 8/15/2030  | 2700000 | 2732948 |
| State Street Corp 1.684% 11/18/2027 (c) | 15869000 | 15523527 |
| State Street Corp 2.65% 5/19/2026 (d) | 5997000 | 5961971 |
| State Street Corp 4.729% 2/28/2030  | 7000000 | 7179695 |
| State Street Corp 4.784% 10/23/2036 (c) | 2000000 | 2006698 |
| State Street Corp 4.821% 1/26/2034 (c) | 5200000 | 5303390 |
| State Street Corp 4.834% 4/24/2030  | 4760000 | 4908786 |
| State Street Corp 5.146% 2/28/2036 (c) | 7000000 | 7218085 |
|  |  | 1153045670 |
| Consumer Finance - 0.6% |  |  |
| Ally Financial Inc 2.2% 11/2/2028 (d) | 11270000 | 10589669 |
| Ally Financial Inc 6.184% 7/26/2035 (c) | 6930000 | 7180127 |
| Ally Financial Inc 6.848% 1/3/2030 (c)(d) | 2900000 | 3066237 |
| Ally Financial Inc 6.992% 6/13/2029 (c) | 2870000 | 3022576 |
| Ally Financial Inc 8% 11/1/2031  | 2000000 | 2275964 |
| American Express Co 4.05% 12/3/2042  | 5541000 | 4807848 |
| American Express Co 4.351% 7/20/2029 (c) | 20000000 | 20163545 |
| American Express Co 4.804% 10/24/2036 (c)(d) | 8000000 | 7959895 |
| American Express Co 4.918% 7/20/2033 (c) | 2000000 | 2048834 |
| American Express Co 5.282% 7/27/2029 (c) | 12000000 | 12377584 |
| American Express Co 5.284% 7/26/2035 (c) | 10480000 | 10877066 |
| American Express Co 5.442% 1/30/2036 (c) | 4700000 | 4915109 |
| Capital One Financial Corp 2.359% 7/29/2032 (c)(d) | 3300000 | 2884274 |
| Capital One Financial Corp 3.75% 3/9/2027  | 28095000 | 27974881 |
| Capital One Financial Corp 3.75% 7/28/2026  | 7746000 | 7721529 |
| Capital One Financial Corp 3.8% 1/31/2028 (d) | 10327000 | 10271885 |
| Capital One Financial Corp 4.493% 9/11/2031 (c) | 5000000 | 4996805 |
| Capital One Financial Corp 4.5% 1/30/2026 (d) | 14948000 | 14948000 |
| Capital One Financial Corp 5.197% 9/11/2036 (c) | 7200000 | 7187298 |
| Capital One Financial Corp 5.247% 7/26/2030 (c)(d) | 5600000 | 5771003 |
| Capital One Financial Corp 5.817% 2/1/2034 (c) | 3450000 | 3632061 |
| Capital One Financial Corp 5.884% 7/26/2035 (c) | 3450000 | 3644577 |
| Capital One Financial Corp 6.051% 2/1/2035 (c) | 6850000 | 7317118 |
| Capital One Financial Corp 6.183% 1/30/2036 (c) | 3950000 | 4143264 |
| Capital One Financial Corp 6.377% 6/8/2034 (c) | 3470000 | 3771131 |
| Ford Motor Credit Co LLC 5.85% 5/17/2027  | 9000000 | 9124740 |
| Ford Motor Credit Co LLC 5.918% 3/20/2028  | 4680000 | 4784743 |
| Ford Motor Credit Co LLC 6.125% 3/8/2034 (d) | 5000000 | 5086330 |
| Ford Motor Credit Co LLC 6.5% 2/7/2035 (d) | 3750000 | 3902455 |
| Ford Motor Credit Co LLC 6.798% 11/7/2028 (d) | 10510000 | 11003653 |
| Ford Motor Credit Co LLC 6.8% 5/12/2028 (d) | 23835000 | 24825958 |
| Ford Motor Credit Co LLC 7.122% 11/7/2033 (d) | 11340000 | 12221133 |
| John Deere Capital Corp 2.65% 6/10/2026  | 3972000 | 3945304 |
| John Deere Capital Corp 2.8% 9/8/2027  | 5561000 | 5469735 |
| John Deere Capital Corp 3.45% 3/7/2029 (d) | 15887000 | 15688835 |
| John Deere Capital Corp 4.375% 10/15/2030  | 17000000 | 17228911 |
| John Deere Capital Corp 4.75% 1/20/2028  | 5000000 | 5099791 |
| John Deere Capital Corp 5.05% 6/12/2034  | 6740000 | 7007021 |
| Synchrony Financial 3.7% 8/4/2026  | 3752000 | 3736252 |
| Synchrony Financial 5.15% 3/19/2029  | 21635000 | 21982105 |
| Toyota Motor Credit Corp 1.15% 8/13/2027  | 16723000 | 15988721 |
| Toyota Motor Credit Corp 1.9% 1/13/2027  | 8796000 | 8608572 |
| Toyota Motor Credit Corp 3.05% 3/22/2027  | 11570000 | 11445213 |
| Toyota Motor Credit Corp 4.45% 6/29/2029  | 2000000 | 2028165 |
| Toyota Motor Credit Corp 4.55% 8/9/2029  | 17190000 | 17511723 |
| Toyota Motor Credit Corp 4.6% 10/10/2031  | 4270000 | 4343277 |
| Toyota Motor Credit Corp 4.65% 9/3/2032  | 2500000 | 2535754 |
|  |  | 407116671 |
| Financial Services - 0.7% |  |  |
| Aon Corp / Aon Global Holdings PLC 2.6% 12/2/2031  | 15853000 | 14338113 |
| Apollo Global Management Inc 5.15% 8/12/2035 (d) | 11300000 | 11322731 |
| Berkshire Hathaway Inc 4.5% 2/11/2043  | 1589000 | 1512836 |
| Blackstone Reg Finance Co LLC 4.3% 11/3/2030 (d) | 2000000 | 2001203 |
| Blackstone Reg Finance Co LLC 4.95% 2/15/2036  | 3000000 | 2989770 |
| Blue Owl Credit Income Corp 5.8% 3/15/2030  | 6935000 | 6921555 |
| Blue Owl Credit Income Corp 6.6% 9/15/2029  | 6921000 | 7115750 |
| BP Capital Markets America Inc 2.721% 1/12/2032  | 28999000 | 26505872 |
| BP Capital Markets America Inc 3% 2/24/2050  | 11116000 | 7423456 |
| BP Capital Markets America Inc 3.017% 1/16/2027  | 7547000 | 7473436 |
| BP Capital Markets America Inc 3.06% 6/17/2041  | 6766000 | 5209329 |
| BP Capital Markets America Inc 4.812% 2/13/2033  | 5950000 | 6054514 |
| BP Capital Markets America Inc 5.017% 11/17/2027  | 4820000 | 4919459 |
| BP Capital Markets America Inc 5.227% 11/17/2034  | 7410000 | 7716208 |
| CNH Industrial Capital LLC 4.75% 3/21/2028  | 5320000 | 5390578 |
| Corebridge Financial Inc 3.9% 4/5/2032  | 4549000 | 4324218 |
| Corebridge Financial Inc 4.35% 4/5/2042  | 4800000 | 4133730 |
| Corebridge Financial Inc 6.875% 12/15/2052 (c)(d) | 5300000 | 5414439 |
| CRH SMW Finance DAC 5.125% 1/9/2030  | 5700000 | 5877573 |
| DH Europe Finance II Sarl 2.6% 11/15/2029  | 7675000 | 7281467 |
| DH Europe Finance II Sarl 3.4% 11/15/2049  | 8313000 | 6159756 |
| Equitable Holdings Inc 4.35% 4/20/2028 (d) | 2162000 | 2170083 |
| Equitable Holdings Inc 5% 4/20/2048 (d) | 2000000 | 1811183 |
| Equitable Holdings Inc 5.594% 1/11/2033 (d) | 2700000 | 2827137 |
| Equitable Holdings Inc 6.7% 3/28/2055 (c)(d) | 1500000 | 1563638 |
| Fidelity National Information Services Inc 1.15% 3/1/2026 (d) | 16937000 | 16810108 |
| Fidelity National Information Services Inc 2.25% 3/1/2031  | 16065000 | 14363487 |
| Fiserv Inc 3.5% 7/1/2029  | 8797000 | 8511452 |
| Fiserv Inc 4.4% 7/1/2049  | 14614000 | 11643853 |
| Fiserv Inc 4.55% 2/15/2031  | 1450000 | 1439188 |
| Global Payments Inc 1.2% 3/1/2026 (d) | 23465000 | 23280977 |
| Global Payments Inc 2.15% 1/15/2027  | 10000000 | 9766078 |
| Global Payments Inc 2.9% 5/15/2030  | 2000000 | 1853003 |
| Global Payments Inc 4.45% 6/1/2028  | 2000000 | 2004040 |
| Global Payments Inc 4.875% 11/15/2030  | 5000000 | 5011725 |
| Global Payments Inc 5.2% 11/15/2032  | 8000000 | 8027276 |
| Global Payments Inc 5.95% 8/15/2052 (d) | 5500000 | 5284584 |
| Goldman Sachs Private Credit Corp 5.875% 5/6/2028 (d)(e) | 2730000 | 2774960 |
| Golub Capital Private Credit Fund 5.875% 5/1/2030  | 3010000 | 3051368 |
| HA Sustainable Infrastructure Capital Inc 6.75% 7/15/2035  | 4690000 | 4860123 |
| Jackson Financial Inc 5.17% 6/8/2027  | 9500000 | 9606375 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3% 5/15/2032  | 8000000 | 7235155 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 5.75% 4/1/2033  | 19650000 | 20593102 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 6.75% 3/15/2034  | 8400000 | 9323160 |
| Mastercard Inc 3.3% 3/26/2027  | 5744000 | 5709601 |
| Mastercard Inc 3.35% 3/26/2030 (d) | 7992000 | 7818188 |
| Mastercard Inc 3.8% 11/21/2046  | 3019000 | 2471718 |
| Mastercard Inc 3.85% 3/26/2050  | 14152000 | 11351505 |
| National Rural Utilities Cooperative Finance Corp 4.15% 12/15/2032  | 14810000 | 14569605 |
| National Rural Utilities Cooperative Finance Corp 5.8% 1/15/2033  | 5500000 | 5918158 |
| PayPal Holdings Inc 2.3% 6/1/2030  | 12566000 | 11636021 |
| PayPal Holdings Inc 4.4% 6/1/2032 (d) | 10000000 | 10022986 |
| PayPal Holdings Inc 5.1% 4/1/2035 (d) | 8900000 | 9106579 |
| Sixth Street Lending Partners 6.125% 7/15/2030 (e) | 1900000 | 1951934 |
| Sixth Street Lending Partners 6.5% 3/11/2029  | 3790000 | 3939944 |
| Visa Inc 1.1% 2/15/2031  | 16240000 | 14157291 |
| Visa Inc 1.9% 4/15/2027  | 11387000 | 11118944 |
| Visa Inc 2.05% 4/15/2030 (d) | 16761000 | 15529173 |
| Visa Inc 2.7% 4/15/2040  | 9473000 | 7368780 |
| Visa Inc 2.75% 9/15/2027  | 9468000 | 9318981 |
| Visa Inc 4.3% 12/14/2045  | 5275000 | 4669885 |
| Voya Financial Inc 3.65% 6/15/2026  | 12542000 | 12512121 |
| Voya Financial Inc 5.7% 7/15/2043  | 2979000 | 3005706 |
|  |  | 486075168 |
| Insurance - 0.7% |  |  |
| AFLAC Inc 3.6% 4/1/2030  | 4833000 | 4753983 |
| AFLAC Inc 4% 10/15/2046  | 3003000 | 2445937 |
| Allstate Corp/The 1.45% 12/15/2030  | 3300000 | 2881406 |
| Allstate Corp/The 3.28% 12/15/2026 (d) | 3750000 | 3723710 |
| Allstate Corp/The 4.2% 12/15/2046  | 10005000 | 8396918 |
| American International Group Inc 3.875% 1/15/2035 (d) | 2145000 | 2019174 |
| American International Group Inc 4.375% 6/30/2050  | 4543000 | 3833842 |
| American International Group Inc 4.5% 7/16/2044  | 7050000 | 6281421 |
| American International Group Inc 4.75% 4/1/2048  | 7808000 | 7014648 |
| Aon Corp 3.75% 5/2/2029  | 1800000 | 1777815 |
| Aon Global Ltd 4.6% 6/14/2044  | 1271000 | 1124818 |
| Aon Global Ltd 4.75% 5/15/2045  | 4671000 | 4204987 |
| Aon North America Inc 5.45% 3/1/2034  | 5950000 | 6222482 |
| Aon North America Inc 5.75% 3/1/2054  | 6200000 | 6284986 |
| Arthur J Gallagher & Co 3.5% 5/20/2051  | 1200000 | 853302 |
| Arthur J Gallagher & Co 4.85% 12/15/2029  | 4910000 | 5017600 |
| Arthur J Gallagher & Co 5.15% 2/15/2035  | 10640000 | 10803514 |
| Arthur J Gallagher & Co 5.55% 2/15/2055  | 4949000 | 4816828 |
| Arthur J Gallagher & Co 5.75% 3/2/2053  | 4060000 | 4047652 |
| Assurant Inc 4.9% 3/27/2028  | 3900000 | 3949799 |
| Athene Holding Ltd 3.5% 1/15/2031  | 5413000 | 5122246 |
| Athene Holding Ltd 3.95% 5/25/2051 (d) | 2000000 | 1416904 |
| Athene Holding Ltd 4.125% 1/12/2028  | 2000000 | 1994300 |
| Athene Holding Ltd 5.875% 1/15/2034 (d) | 9850000 | 10213587 |
| Athene Holding Ltd 6.625% 10/15/2054 (c) | 2940000 | 2877233 |
| Athene Holding Ltd 6.625% 5/19/2055  | 1750000 | 1814575 |
| Baylor Scott & White Holdings 2.839% 11/15/2050  | 14016000 | 9149682 |
| Baylor Scott & White Holdings 3.967% 11/15/2046  | 1986000 | 1630440 |
| Berkshire Hathaway Fin Corp 1.45% 10/15/2030  | 7588000 | 6759949 |
| Berkshire Hathaway Fin Corp 2.85% 10/15/2050  | 10633000 | 7000374 |
| Berkshire Hathaway Fin Corp 2.875% 3/15/2032 (d) | 2000000 | 1878579 |
| Berkshire Hathaway Fin Corp 3.85% 3/15/2052  | 3660000 | 2885111 |
| Berkshire Hathaway Fin Corp 4.2% 8/15/2048  | 9429000 | 8047390 |
| Berkshire Hathaway Fin Corp 5.75% 1/15/2040  | 11222000 | 12313087 |
| Brighthouse Financial Inc 3.85% 12/22/2051  | 7600000 | 4728445 |
| Brown & Brown Inc 4.2% 3/17/2032 (d) | 6283000 | 6082920 |
| Brown & Brown Inc 4.7% 6/23/2028  | 4630000 | 4674808 |
| Brown & Brown Inc 5.55% 6/23/2035  | 3080000 | 3166065 |
| Brown & Brown Inc 6.25% 6/23/2055  | 3450000 | 3614490 |
| Chubb Corp/The 6.5% 5/15/2038  | 2788000 | 3168156 |
| Chubb INA Holdings LLC 1.375% 9/15/2030  | 21411000 | 18869131 |
| Chubb INA Holdings LLC 4.35% 11/3/2045  | 3177000 | 2815408 |
| Chubb INA Holdings LLC 4.9% 8/15/2035  | 7700000 | 7790604 |
| Chubb INA Holdings LLC 5% 3/15/2034  | 3100000 | 3188289 |
| CNA Financial Corp 5.2% 8/15/2035  | 1400000 | 1414073 |
| CNA Financial Corp 5.5% 6/15/2033  | 3100000 | 3223059 |
| First American Financial Corp 5.45% 9/30/2034  | 3050000 | 3087743 |
| Hartford Insurance Group Inc/The 2.8% 8/19/2029 (d) | 5649000 | 5391140 |
| Hartford Insurance Group Inc/The 3.6% 8/19/2049  | 6760000 | 5114723 |
| Hartford Insurance Group Inc/The 4.4% 3/15/2048  | 7713000 | 6665256 |
| Lincoln National Corp 3.625% 12/12/2026  | 4766000 | 4743799 |
| Lincoln National Corp 5.35% 11/15/2035  | 6600000 | 6622001 |
| Markel Group Inc 3.35% 9/17/2029  | 4833000 | 4667030 |
| Markel Group Inc 3.5% 11/1/2027  | 4000000 | 3951983 |
| Markel Group Inc 6% 5/16/2054  | 5200000 | 5353949 |
| Marsh & McLennan Cos Inc 4.2% 3/1/2048  | 3868000 | 3249401 |
| Marsh & McLennan Cos Inc 4.35% 1/30/2047  | 2224000 | 1914914 |
| Marsh & McLennan Cos Inc 4.375% 3/15/2029  | 6116000 | 6184243 |
| Marsh & McLennan Cos Inc 4.65% 3/15/2030 (d) | 4930000 | 5027231 |
| Marsh & McLennan Cos Inc 4.85% 11/15/2031  | 5430000 | 5573481 |
| Marsh & McLennan Cos Inc 4.9% 3/15/2049  | 7388000 | 6776705 |
| Marsh & McLennan Cos Inc 5% 3/15/2035  | 5500000 | 5592764 |
| Marsh & McLennan Cos Inc 5.35% 11/15/2044  | 4170000 | 4135401 |
| Marsh & McLennan Cos Inc 5.4% 3/15/2055  | 5520000 | 5406840 |
| MetLife Inc 4.125% 8/13/2042  | 6959000 | 5998211 |
| MetLife Inc 4.55% 3/23/2030 (d) | 8990000 | 9183536 |
| MetLife Inc 4.6% 5/13/2046  | 3589000 | 3255755 |
| MetLife Inc 4.721% 12/15/2044 (c) | 3972000 | 3636201 |
| MetLife Inc 5.25% 1/15/2054 (d) | 2600000 | 2512648 |
| MetLife Inc 5.375% 7/15/2033  | 5845000 | 6172395 |
| MetLife Inc 5.875% 2/6/2041  | 2059000 | 2176206 |
| MetLife Inc 6.35% 3/15/2055 (c) | 593000 | 626403 |
| MetLife Inc 6.375% 6/15/2034  | 2000000 | 2249271 |
| MetLife Inc 6.4% 12/15/2066 (c) | 6050000 | 6357261 |
| Principal Financial Group Inc 4.3% 11/15/2046  | 6356000 | 5477337 |
| Principal Financial Group Inc 5.375% 3/15/2033  | 1200000 | 1248367 |
| Progressive Corp/The 2.45% 1/15/2027  | 3765000 | 3706994 |
| Progressive Corp/The 2.5% 3/15/2027  | 7346000 | 7221403 |
| Progressive Corp/The 3% 3/15/2032  | 13862000 | 12851976 |
| Progressive Corp/The 4.2% 3/15/2048  | 4398000 | 3737073 |
| Prudential Financial Inc 3.878% 3/27/2028  | 3305000 | 3302483 |
| Prudential Financial Inc 3.905% 12/7/2047  | 437000 | 349383 |
| Prudential Financial Inc 3.935% 12/7/2049  | 8515000 | 6729754 |
| Prudential Financial Inc 4.35% 2/25/2050  | 9924000 | 8392297 |
| Prudential Financial Inc 4.418% 3/27/2048  | 5044000 | 4341010 |
| Prudential Financial Inc 5.125% 3/1/2052 (c) | 3335000 | 3306268 |
| Prudential Financial Inc 5.7% 12/14/2036  | 302000 | 323363 |
| Prudential Financial Inc 6% 9/1/2052 (c)(d) | 7060000 | 7316617 |
| Prudential Financial Inc 6.75% 3/1/2053 (c)(d) | 1800000 | 1915376 |
| Reinsurance Group of America Inc 6.65% 9/15/2055 (c)(d) | 1950000 | 2012164 |
| Selective Insurance Group Inc 5.9% 4/15/2035  | 982000 | 1031244 |
| Travelers Companies Inc/The 4.1% 3/4/2049  | 4833000 | 3992539 |
| Travelers Companies Inc/The 4.3% 8/25/2045  | 1159000 | 1006563 |
| Travelers Companies Inc/The 5.45% 5/25/2053  | 2300000 | 2308206 |
| Travelers Companies Inc/The 5.7% 7/24/2055  | 2000000 | 2078468 |
| Travelers Companies Inc/The 6.25% 6/15/2037  | 6633000 | 7442724 |
| Travelers Companies Inc/The 6.75% 6/20/2036  | 4500000 | 5222224 |
| Unum Group 6% 6/15/2054  | 4580000 | 4560693 |
| Willis North America Inc 4.65% 6/15/2027 (d) | 5827000 | 5867768 |
| Willis North America Inc 5.35% 5/15/2033  | 6000000 | 6230498 |
| Willis North America Inc 5.9% 3/5/2054  | 3000000 | 3044801 |
|  |  | 472937811 |
| TOTAL FINANCIALS |  | 4344947656 |
| Health Care - 2.8% |  |  |
| Biotechnology - 0.5% |  |  |
| AbbVie Inc 2.95% 11/21/2026  | 8990000 | 8905994 |
| AbbVie Inc 3.2% 11/21/2029 (d) | 15370000 | 14907887 |
| AbbVie Inc 4.05% 11/21/2039  | 8990000 | 8134024 |
| AbbVie Inc 4.25% 11/14/2028 (d) | 6585000 | 6654411 |
| AbbVie Inc 4.25% 11/21/2049  | 14886000 | 12566620 |
| AbbVie Inc 4.3% 5/14/2036 (d) | 4972000 | 4820348 |
| AbbVie Inc 4.4% 11/6/2042  | 3793000 | 3445784 |
| AbbVie Inc 4.45% 5/14/2046  | 5561000 | 4933924 |
| AbbVie Inc 4.5% 5/14/2035  | 10000000 | 9922568 |
| AbbVie Inc 4.55% 3/15/2035  | 5282000 | 5260924 |
| AbbVie Inc 4.7% 5/14/2045  | 10467000 | 9642182 |
| AbbVie Inc 4.75% 3/15/2045  | 5028000 | 4666095 |
| AbbVie Inc 4.8% 3/15/2029  | 6500000 | 6671027 |
| AbbVie Inc 4.875% 11/14/2048  | 4630000 | 4310770 |
| AbbVie Inc 5.05% 3/15/2034  | 9930000 | 10298915 |
| AbbVie Inc 5.4% 3/15/2054  | 6500000 | 6479235 |
| Amgen Inc 1.65% 8/15/2028 (d) | 15418000 | 14505340 |
| Amgen Inc 2.3% 2/25/2031  | 16400000 | 14885758 |
| Amgen Inc 2.6% 8/19/2026  | 8340000 | 8263615 |
| Amgen Inc 2.8% 8/15/2041  | 15756000 | 11681902 |
| Amgen Inc 3.35% 2/22/2032 (d) | 5640000 | 5334777 |
| Amgen Inc 3.375% 2/21/2050  | 8893000 | 6468282 |
| Amgen Inc 4.4% 5/1/2045  | 7888000 | 6882460 |
| Amgen Inc 4.663% 6/15/2051  | 9908000 | 8683973 |
| Amgen Inc 4.875% 3/1/2053  | 8280000 | 7444165 |
| Amgen Inc 5.15% 3/2/2028  | 12880000 | 13183356 |
| Amgen Inc 5.25% 3/2/2033 (d) | 10530000 | 10974960 |
| Amgen Inc 5.6% 3/2/2043  | 10000000 | 10217319 |
| Amgen Inc 5.65% 3/2/2053  | 11643000 | 11697359 |
| Biogen Inc 2.25% 5/1/2030 (d) | 1600000 | 1472564 |
| Biogen Inc 6.45% 5/15/2055  | 8050000 | 8640838 |
| Gilead Sciences Inc 1.65% 10/1/2030  | 11928000 | 10682216 |
| Gilead Sciences Inc 2.8% 10/1/2050  | 11832000 | 7674828 |
| Gilead Sciences Inc 3.65% 3/1/2026 (d) | 4909000 | 4902904 |
| Gilead Sciences Inc 4.15% 3/1/2047  | 9882000 | 8362453 |
| Gilead Sciences Inc 4.75% 3/1/2046  | 8737000 | 8088043 |
| Gilead Sciences Inc 4.8% 11/15/2029 (d) | 4900000 | 5050034 |
| Gilead Sciences Inc 5.5% 11/15/2054  | 4500000 | 4544654 |
| Regeneron Pharmaceuticals Inc 1.75% 9/15/2030  | 2000000 | 1785645 |
|  |  | 313048153 |
| Health Care Equipment & Supplies - 0.3% |  |  |
| Abbott Laboratories 3.75% 11/30/2026  | 5539000 | 5537286 |
| Abbott Laboratories 4.75% 11/30/2036  | 11975000 | 12175373 |
| Abbott Laboratories 4.9% 11/30/2046  | 8261000 | 7903647 |
| Baxter International Inc 1.915% 2/1/2027  | 11725000 | 11423568 |
| Baxter International Inc 2.539% 2/1/2032  | 12914000 | 11289100 |
| Becton Dickinson & Co 2.823% 5/20/2030  | 6989000 | 6593557 |
| Becton Dickinson & Co 3.7% 6/6/2027  | 22048000 | 21921021 |
| Becton Dickinson & Co 4.685% 12/15/2044 (d) | 8630000 | 7736229 |
| Becton Dickinson & Co 5.081% 6/7/2029  | 6000000 | 6174052 |
| Boston Scientific Corp 4% 3/1/2029  | 8579000 | 8564704 |
| Boston Scientific Corp 4.7% 3/1/2049  | 13845000 | 12701015 |
| GE HealthCare Technologies Inc 5.5% 6/15/2035  | 5700000 | 5952831 |
| GE HealthCare Technologies Inc 5.65% 11/15/2027  | 5180000 | 5329413 |
| GE HealthCare Technologies Inc 5.905% 11/22/2032  | 10170000 | 10987169 |
| Medtronic Inc 4.625% 3/15/2045  | 10267000 | 9525373 |
| Solventum Corp 5.6% 3/23/2034  | 16050000 | 16772722 |
| Stryker Corp 1.95% 6/15/2030  | 7395000 | 6728809 |
| Stryker Corp 2.9% 6/15/2050  | 7395000 | 4962491 |
| Stryker Corp 4.25% 9/11/2029  | 4400000 | 4436437 |
| Stryker Corp 4.625% 9/11/2034  | 2000000 | 2006347 |
| Stryker Corp 4.85% 2/10/2030 (d) | 4880000 | 5022707 |
| Zimmer Biomet Holdings Inc 5.05% 2/19/2030 (d) | 3800000 | 3918826 |
| Zimmer Biomet Holdings Inc 5.5% 2/19/2035  | 4000000 | 4180874 |
|  |  | 191843551 |
| Health Care Providers & Services - 1.2% |  |  |
| Allina Health System 3.887% 4/15/2049  | 5269000 | 4182614 |
| Ascension Health 4.078% 11/15/2028  | 2727000 | 2743426 |
| Ascension Health 4.294% 11/15/2030  | 3182000 | 3204812 |
| Ascension Health 4.923% 11/15/2035  | 1394000 | 1416065 |
| Banner Health 2.907% 1/1/2042  | 1305000 | 978904 |
| Banner Health 2.913% 1/1/2051  | 10923000 | 7070955 |
| Baptist Healthcare System Obligated Group 3.54% 8/15/2050  | 10657000 | 7769916 |
| Cardinal Health Inc 4.368% 6/15/2047 (d) | 11033000 | 9326842 |
| Cencora Inc 4.85% 12/15/2029  | 5700000 | 5845277 |
| Cencora Inc 5.15% 2/15/2035  | 5500000 | 5662970 |
| Centene Corp 2.5% 3/1/2031  | 2000000 | 1724285 |
| Centene Corp 2.625% 8/1/2031  | 14500000 | 12424490 |
| Centene Corp 3.375% 2/15/2030  | 16200000 | 14876167 |
| Children's Hospital Medical Center/Cincinnati OH 4.268% 5/15/2044  | 2637000 | 2349229 |
| Children's Hospital of Philadelphia/The 2.704% 7/1/2050  | 8032000 | 5111197 |
| Cigna Group/The 4.375% 10/15/2028  | 21090000 | 21299816 |
| Cigna Group/The 4.5% 2/25/2026  | 9262000 | 9261760 |
| Cigna Group/The 4.5% 9/15/2030  | 3690000 | 3718297 |
| Cigna Group/The 4.8% 7/15/2046  | 6037000 | 5438125 |
| Cigna Group/The 4.8% 8/15/2038 (d) | 18723000 | 18125937 |
| Cigna Group/The 4.9% 12/15/2048 (d) | 6764000 | 6135074 |
| Cigna Group/The 5.25% 2/15/2034  | 5000000 | 5177857 |
| Cigna Group/The 6% 1/15/2056  | 4750000 | 4955715 |
| Cigna Group/The 6.125% 11/15/2041  | 2383000 | 2547087 |
| CommonSpirit Health 3.91% 10/1/2050  | 15300000 | 11556154 |
| CommonSpirit Health 4.35% 11/1/2042  | 1589000 | 1385837 |
| CommonSpirit Health 4.352% 9/1/2030  | 2485000 | 2488067 |
| CommonSpirit Health 4.975% 9/1/2035  | 776000 | 774991 |
| CommonSpirit Health 5.205% 12/1/2031  | 6000000 | 6229731 |
| CommonSpirit Health 5.662% 9/1/2055  | 406000 | 401769 |
| CVS Health Corp 2.875% 6/1/2026  | 5958000 | 5919189 |
| CVS Health Corp 3% 8/15/2026  | 13153000 | 13046931 |
| CVS Health Corp 3.25% 8/15/2029 (d) | 13963000 | 13485554 |
| CVS Health Corp 4.3% 3/25/2028  | 18985000 | 19037640 |
| CVS Health Corp 4.875% 7/20/2035  | 2462000 | 2438289 |
| CVS Health Corp 5% 1/30/2029  | 19800000 | 20257826 |
| CVS Health Corp 5.05% 3/25/2048  | 21765000 | 19527875 |
| CVS Health Corp 5.125% 7/20/2045  | 6997000 | 6408774 |
| CVS Health Corp 5.3% 12/5/2043  | 3489000 | 3310223 |
| CVS Health Corp 5.3% 6/1/2033  | 15530000 | 16069583 |
| CVS Health Corp 5.45% 9/15/2035  | 12300000 | 12696168 |
| CVS Health Corp 5.625% 2/21/2053  | 3100000 | 2959924 |
| CVS Health Corp 5.7% 6/1/2034 (d) | 6850000 | 7215995 |
| CVS Health Corp 6% 6/1/2063  | 3900000 | 3847699 |
| CVS Health Corp 6.05% 6/1/2054 (d) | 6650000 | 6739973 |
| CVS Health Corp 6.2% 9/15/2055 (d) | 2040000 | 2113599 |
| Elevance Health Inc 2.55% 3/15/2031 (d) | 1100000 | 1005911 |
| Elevance Health Inc 3.125% 5/15/2050  | 6766000 | 4498273 |
| Elevance Health Inc 3.65% 12/1/2027  | 27589000 | 27398209 |
| Elevance Health Inc 4.1% 5/15/2032 (d) | 9100000 | 8886539 |
| Elevance Health Inc 4.375% 12/1/2047  | 8311000 | 6974674 |
| Elevance Health Inc 4.55% 3/1/2048 (d) | 3741000 | 3226993 |
| Elevance Health Inc 4.625% 5/15/2042  | 2065000 | 1871057 |
| Elevance Health Inc 4.65% 1/15/2043  | 1589000 | 1438015 |
| Elevance Health Inc 4.75% 2/15/2030  | 1000000 | 1021318 |
| Elevance Health Inc 4.75% 2/15/2033  | 10000000 | 10079946 |
| Elevance Health Inc 5.2% 2/15/2035  | 1000000 | 1025521 |
| Elevance Health Inc 5.7% 2/15/2055  | 7340000 | 7270035 |
| Elevance Health Inc 5.7% 9/15/2055 (d) | 5300000 | 5263624 |
| Franciscan Missionaries of Our Lady Health System Inc 3.914% 7/1/2049  | 8468000 | 6596033 |
| HCA Inc 3.5% 9/1/2030  | 6500000 | 6256673 |
| HCA Inc 3.625% 3/15/2032 (d) | 2000000 | 1897123 |
| HCA Inc 4.125% 6/15/2029 (d) | 11900000 | 11873591 |
| HCA Inc 4.3% 11/15/2030  | 3600000 | 3589847 |
| HCA Inc 4.375% 3/15/2042  | 10000000 | 8686579 |
| HCA Inc 5.25% 3/1/2030  | 7430000 | 7693627 |
| HCA Inc 5.25% 6/15/2049  | 18865000 | 17386186 |
| HCA Inc 5.6% 4/1/2034  | 10000000 | 10483957 |
| HCA Inc 5.7% 11/15/2055  | 2600000 | 2537101 |
| HCA Inc 5.75% 3/1/2035  | 9020000 | 9524681 |
| HCA Inc 6.2% 3/1/2055 (d) | 7440000 | 7753001 |
| Humana Inc 1.35% 2/3/2027  | 10039000 | 9717796 |
| Humana Inc 2.15% 2/3/2032 (d) | 11863000 | 10299162 |
| Humana Inc 3.125% 8/15/2029  | 6457000 | 6204221 |
| Humana Inc 4.95% 10/1/2044  | 1986000 | 1775596 |
| Humana Inc 5.95% 3/15/2034  | 10850000 | 11462942 |
| Humana Inc 6% 5/1/2055  | 3260000 | 3234236 |
| Icon Investments Six DAC 5.849% 5/8/2029  | 3056000 | 3191198 |
| Integris Baptist Medical Center Inc 3.875% 8/15/2050  | 9083000 | 6696718 |
| Kaiser Foundation Hospitals 2.81% 6/1/2041  | 2500000 | 1879161 |
| Kaiser Foundation Hospitals 3.002% 6/1/2051  | 1500000 | 1005434 |
| Kaiser Foundation Hospitals 3.266% 11/1/2049  | 7259000 | 5188766 |
| Kaiser Foundation Hospitals 4.15% 5/1/2047  | 5204000 | 4406578 |
| Kaiser Foundation Hospitals 4.875% 4/1/2042  | 1430000 | 1374769 |
| Mass General Brigham Inc 3.342% 7/1/2060  | 2000000 | 1350381 |
| Mass General Brigham Inc 4.117% 7/1/2055  | 2780000 | 2313726 |
| McKesson Corp 4.65% 5/30/2030  | 2200000 | 2243741 |
| McKesson Corp 5.25% 5/30/2035  | 4290000 | 4472759 |
| Memorial Sloan-Kettering Cancer Center 4.2% 7/1/2055  | 2383000 | 1988995 |
| MyMichigan Health 3.409% 6/1/2050  | 3730000 | 2658082 |
| New York and Presbyterian Hospital/The 4.024% 8/1/2045  | 2780000 | 2350160 |
| New York and Presbyterian Hospital/The 4.063% 8/1/2056  | 2089000 | 1666749 |
| Novant Health Inc 3.168% 11/1/2051  | 6588000 | 4517021 |
| NYU Langone Hospitals 4.784% 7/1/2044  | 6037000 | 5609376 |
| Orlando Health Obligated Group 3.327% 10/1/2050  | 6016000 | 4349254 |
| PeaceHealth Obligated Group 4.335% 11/15/2028  | 780000 | 784490 |
| PeaceHealth Obligated Group 4.855% 11/15/2032  | 1100000 | 1114324 |
| Piedmont Healthcare Inc 2.719% 1/1/2042  | 1208000 | 866909 |
| Providence St Joseph Health Obligated Group 2.7% 10/1/2051  | 2136000 | 1286807 |
| Providence St Joseph Health Obligated Group 5.369% 10/1/2032  | 7860000 | 8176917 |
| Sabra Health Care LP 3.2% 12/1/2031  | 2000000 | 1829558 |
| Sutter Health 3.361% 8/15/2050  | 14596000 | 10517230 |
| Sutter Health 5.537% 8/15/2035  | 460000 | 486756 |
| Trinity Health Corp 2.632% 12/1/2040  | 3512000 | 2609667 |
| UnitedHealth Group Inc 1.25% 1/15/2026  | 6254000 | 6230377 |
| UnitedHealth Group Inc 2% 5/15/2030 (d) | 2900000 | 2653292 |
| UnitedHealth Group Inc 2.3% 5/15/2031 (d) | 2662000 | 2408295 |
| UnitedHealth Group Inc 2.9% 5/15/2050  | 6273000 | 4076480 |
| UnitedHealth Group Inc 3.05% 5/15/2041  | 16300000 | 12540174 |
| UnitedHealth Group Inc 3.25% 5/15/2051  | 3045000 | 2101391 |
| UnitedHealth Group Inc 3.375% 4/15/2027 (d) | 4289000 | 4258827 |
| UnitedHealth Group Inc 3.7% 8/15/2049  | 8334000 | 6313610 |
| UnitedHealth Group Inc 3.75% 10/15/2047  | 7594000 | 5903483 |
| UnitedHealth Group Inc 3.85% 6/15/2028  | 9222000 | 9210244 |
| UnitedHealth Group Inc 3.875% 12/15/2028  | 11908000 | 11888713 |
| UnitedHealth Group Inc 3.875% 8/15/2059  | 9958000 | 7361314 |
| UnitedHealth Group Inc 4.2% 1/15/2047  | 2859000 | 2383303 |
| UnitedHealth Group Inc 4.375% 3/15/2042  | 9373000 | 8383980 |
| UnitedHealth Group Inc 4.625% 7/15/2035 (d) | 7300000 | 7267956 |
| UnitedHealth Group Inc 4.65% 1/15/2031  | 6500000 | 6616956 |
| UnitedHealth Group Inc 4.75% 7/15/2045  | 1327000 | 1214212 |
| UnitedHealth Group Inc 4.95% 1/15/2032 (d) | 23450000 | 24165414 |
| UnitedHealth Group Inc 4.95% 5/15/2062  | 4700000 | 4143973 |
| UnitedHealth Group Inc 5.15% 7/15/2034  | 7200000 | 7445951 |
| UnitedHealth Group Inc 5.25% 2/15/2028 (d) | 8360000 | 8593216 |
| UnitedHealth Group Inc 5.35% 2/15/2033  | 7610000 | 7978545 |
| UnitedHealth Group Inc 5.625% 7/15/2054 (d) | 18470000 | 18503356 |
| UnitedHealth Group Inc 5.8% 3/15/2036  | 1000000 | 1076000 |
| UnitedHealth Group Inc 5.875% 2/15/2053  | 7600000 | 7836996 |
| UnitedHealth Group Inc 6.625% 11/15/2037  | 2000000 | 2287555 |
| UnitedHealth Group Inc 6.875% 2/15/2038 (d) | 1300000 | 1516820 |
| Universal Health Services Inc 2.65% 10/15/2030  | 4000000 | 3648367 |
| West Virginia United Health System Obligated Group 3.129% 6/1/2050  | 4940000 | 3187589 |
|  |  | 832322990 |
| Life Sciences Tools & Services - 0.0% |  |  |
| Agilent Technologies Inc 4.2% 9/9/2027  | 3810000 | 3820593 |
| Agilent Technologies Inc 4.75% 9/9/2034  | 3550000 | 3566504 |
| Danaher Corp 4.375% 9/15/2045  | 1883000 | 1678466 |
| Revvity Inc 2.25% 9/15/2031 (d) | 5519000 | 4872268 |
| Thermo Fisher Scientific Inc 2.6% 10/1/2029  | 12965000 | 12329157 |
| Thermo Fisher Scientific Inc 4.794% 10/7/2035  | 6300000 | 6363285 |
| Thermo Fisher Scientific Inc 5.086% 8/10/2033  | 2820000 | 2943926 |
| Thermo Fisher Scientific Inc 5.3% 2/1/2044  | 4622000 | 4646082 |
|  |  | 40220281 |
| Pharmaceuticals - 0.8% |  |  |
| Bristol-Myers Squibb Co 3.25% 8/1/2042  | 2224000 | 1739003 |
| Bristol-Myers Squibb Co 3.55% 3/15/2042  | 18866000 | 15426135 |
| Bristol-Myers Squibb Co 4.125% 6/15/2039  | 3769000 | 3473464 |
| Bristol-Myers Squibb Co 4.25% 10/26/2049  | 9631000 | 8060671 |
| Bristol-Myers Squibb Co 4.35% 11/15/2047  | 5317000 | 4598728 |
| Bristol-Myers Squibb Co 4.55% 2/20/2048  | 11255000 | 9933570 |
| Bristol-Myers Squibb Co 5.2% 2/22/2034  | 24270000 | 25470139 |
| Bristol-Myers Squibb Co 5.55% 2/22/2054  | 8543000 | 8631127 |
| Eli Lilly & Co 2.25% 5/15/2050  | 17138000 | 10132578 |
| Eli Lilly & Co 4% 10/15/2028  | 10000000 | 10067839 |
| Eli Lilly & Co 4.2% 8/14/2029  | 6460000 | 6535739 |
| Eli Lilly & Co 4.6% 8/14/2034  | 5440000 | 5508663 |
| Eli Lilly & Co 4.75% 2/12/2030  | 3250000 | 3347774 |
| Eli Lilly & Co 4.875% 2/27/2053  | 4640000 | 4353993 |
| Eli Lilly & Co 4.9% 10/15/2035  | 14500000 | 14899777 |
| Eli Lilly & Co 4.95% 2/27/2063  | 3300000 | 3072685 |
| Eli Lilly & Co 5.05% 8/14/2054  | 7780000 | 7457292 |
| Eli Lilly & Co 5.1% 2/12/2035  | 3000000 | 3133400 |
| Eli Lilly & Co 5.5% 2/12/2055  | 2820000 | 2896369 |
| Eli Lilly & Co 5.6% 2/12/2065  | 3000000 | 3087487 |
| GlaxoSmithKline Capital Inc 6.375% 5/15/2038  | 5734000 | 6525231 |
| Haleon US Capital LLC 3.375% 3/24/2027  | 14422000 | 14291427 |
| Haleon US Capital LLC 3.625% 3/24/2032 (d) | 14451000 | 13779185 |
| Johnson & Johnson 2.1% 9/1/2040  | 7409000 | 5301429 |
| Johnson & Johnson 2.45% 9/1/2060  | 7409000 | 4218842 |
| Johnson & Johnson 3.4% 1/15/2038  | 7411000 | 6599235 |
| Johnson & Johnson 3.5% 1/15/2048  | 4766000 | 3758038 |
| Johnson & Johnson 3.625% 3/3/2037  | 3177000 | 2911683 |
| Johnson & Johnson 4.375% 12/5/2033 (d) | 2600000 | 2658678 |
| Johnson & Johnson 4.5% 12/5/2043  | 5262000 | 4954876 |
| Johnson & Johnson 4.5% 9/1/2040 (d) | 1800000 | 1764750 |
| Johnson & Johnson 4.85% 5/15/2041  | 3383000 | 3388413 |
| Johnson & Johnson 4.9% 6/1/2031  | 5000000 | 5242852 |
| Johnson & Johnson 5% 3/1/2035 (d) | 2000000 | 2099162 |
| Merck & Co Inc 2.35% 6/24/2040  | 10000000 | 7327174 |
| Merck & Co Inc 2.45% 6/24/2050  | 4418000 | 2668946 |
| Merck & Co Inc 3.6% 9/15/2042  | 1589000 | 1303577 |
| Merck & Co Inc 3.7% 2/10/2045  | 5084000 | 4129167 |
| Merck & Co Inc 3.850% 9/15/2027  | 15230000 | 15272761 |
| Merck & Co Inc 3.9% 3/7/2039  | 11666000 | 10546186 |
| Merck & Co Inc 4.05% 5/17/2028  | 7500000 | 7553429 |
| Merck & Co Inc 4.5% 5/17/2033 (d) | 11325000 | 11506487 |
| Merck & Co Inc 5% 5/17/2053 (d) | 11000000 | 10410649 |
| Merck & Co Inc 5.700% 9/15/2055  | 2900000 | 3004569 |
| Mylan Inc 5.2% 4/15/2048  | 2383000 | 1947066 |
| Novartis Capital Corp 2.75% 8/14/2050  | 10923000 | 7179021 |
| Novartis Capital Corp 3.1% 5/17/2027  | 4679000 | 4640516 |
| Novartis Capital Corp 3.7% 9/21/2042  | 2244000 | 1888157 |
| Novartis Capital Corp 3.9% 11/5/2028  | 10800000 | 10845209 |
| Novartis Capital Corp 4% 11/20/2045  | 4162000 | 3538525 |
| Novartis Capital Corp 4.1% 11/5/2030  | 6200000 | 6223911 |
| Novartis Capital Corp 4.6% 11/5/2035 (d) | 8600000 | 8604757 |
| Pfizer Inc 2.55% 5/28/2040  | 7297000 | 5433759 |
| Pfizer Inc 2.7% 5/28/2050  | 3596000 | 2301610 |
| Pfizer Inc 3% 12/15/2026  | 5321000 | 5280534 |
| Pfizer Inc 3.45% 3/15/2029  | 6618000 | 6545122 |
| Pfizer Inc 3.9% 3/15/2039  | 5004000 | 4491894 |
| Pfizer Inc 4% 12/15/2036 (d) | 9447000 | 8947040 |
| Pfizer Inc 4.1% 9/15/2038 (d) | 2000000 | 1847357 |
| Pfizer Inc 4.125% 12/15/2046  | 2613000 | 2195183 |
| Pfizer Inc 4.2% 9/15/2048  | 6196000 | 5235806 |
| Pfizer Inc 4.4% 5/15/2044  | 3328000 | 3018443 |
| Pfizer Inc 4.875% 11/15/2035  | 5000000 | 5059789 |
| Pfizer Inc 5.6% 11/15/2055  | 2000000 | 2024205 |
| Pfizer Inc 7.2% 3/15/2039  | 4289000 | 5194421 |
| Pfizer Investment Enterprises Pte Ltd 4.45% 5/19/2028  | 20080000 | 20321879 |
| Pfizer Investment Enterprises Pte Ltd 4.65% 5/19/2030  | 9923000 | 10160202 |
| Pfizer Investment Enterprises Pte Ltd 4.75% 5/19/2033  | 6140000 | 6260085 |
| Pfizer Investment Enterprises Pte Ltd 5.11% 5/19/2043  | 10390000 | 10128021 |
| Pfizer Investment Enterprises Pte Ltd 5.34% 5/19/2063  | 17600000 | 16701693 |
| Royalty Pharma PLC 3.35% 9/2/2051  | 8800000 | 5954608 |
| Royalty Pharma PLC 4.450% 3/25/2031  | 9600000 | 9581012 |
| Royalty Pharma PLC 5.200% 9/25/2035  | 1920000 | 1941030 |
| Utah Acquisition Sub Inc 3.95% 6/15/2026  | 1355000 | 1350270 |
| Utah Acquisition Sub Inc 5.25% 6/15/2046  | 2622000 | 2171656 |
| Viatris Inc 2.7% 6/22/2030  | 12760000 | 11625593 |
| Viatris Inc 4% 6/22/2050  | 8750000 | 5867158 |
| Wyeth LLC 5.95% 4/1/2037  | 2000000 | 2182699 |
| Zoetis Inc 3.95% 9/12/2047  | 1589000 | 1296436 |
| Zoetis Inc 4.7% 2/1/2043  | 1032000 | 959477 |
| Zoetis Inc 5% 8/17/2035 (d) | 7600000 | 7732891 |
|  |  | 519720214 |
| TOTAL HEALTH CARE |  | 1897155189 |
| Industrials - 1.6% |  |  |
| Aerospace & Defense - 0.5% |  |  |
| Boeing Co 2.7% 2/1/2027  | 6297000 | 6192619 |
| Boeing Co 2.95% 2/1/2030  | 8056000 | 7627460 |
| Boeing Co 3.625% 3/1/2048  | 3177000 | 2302415 |
| Boeing Co 3.65% 3/1/2047  | 2192000 | 1616805 |
| Boeing Co 3.75% 2/1/2050  | 12276000 | 9107519 |
| Boeing Co 5.15% 5/1/2030 (d) | 9666000 | 9962557 |
| Boeing Co 5.705% 5/1/2040  | 31541000 | 32403305 |
| Boeing Co 5.805% 5/1/2050  | 14268000 | 14208822 |
| Boeing Co 6.298% 5/1/2029 (d) | 5180000 | 5509197 |
| Boeing Co 6.528% 5/1/2034  | 5200000 | 5782288 |
| Boeing Co 6.858% 5/1/2054  | 3130000 | 3565914 |
| Boeing Co 6.875% 3/15/2039  | 2622000 | 2978909 |
| GE Aerospace 3.625% 5/1/2030  | 9492000 | 9247977 |
| GE Aerospace 4.9% 1/29/2036 (d) | 9000000 | 9234969 |
| GE Aerospace 6.875% 1/10/2039  | 119000 | 141903 |
| General Dynamics Corp 3.75% 5/15/2028  | 7466000 | 7479514 |
| General Dynamics Corp 4.25% 4/1/2050  | 3867000 | 3352672 |
| General Dynamics Corp 4.95% 8/15/2035 (d) | 4440000 | 4562090 |
| Huntington Ingalls Industries Inc 4.2% 5/1/2030  | 2000000 | 1981299 |
| L3Harris Technologies Inc 2.9% 12/15/2029  | 1000000 | 952088 |
| L3Harris Technologies Inc 5.05% 6/1/2029  | 9560000 | 9844483 |
| L3Harris Technologies Inc 5.4% 7/31/2033  | 7000000 | 7355131 |
| L3Harris Technologies Inc 5.5% 8/15/2054  | 3950000 | 3938980 |
| Lockheed Martin Corp 4.09% 9/15/2052  | 12077000 | 9820466 |
| Lockheed Martin Corp 4.7% 12/15/2031 (d) | 7790000 | 8008928 |
| Lockheed Martin Corp 5% 8/15/2035  | 2500000 | 2567573 |
| Lockheed Martin Corp 5.2% 2/15/2055 (d) | 8200000 | 7870132 |
| Lockheed Martin Corp 5.25% 1/15/2033 (d) | 10000000 | 10566397 |
| Lockheed Martin Corp 5.7% 11/15/2054  | 5000000 | 5156971 |
| Northrop Grumman Corp 3.25% 1/15/2028  | 6673000 | 6576568 |
| Northrop Grumman Corp 3.85% 4/15/2045  | 1489000 | 1215464 |
| Northrop Grumman Corp 4.03% 10/15/2047  | 14958000 | 12266595 |
| Northrop Grumman Corp 4.4% 5/1/2030  | 5000000 | 5057525 |
| Northrop Grumman Corp 4.75% 6/1/2043  | 3177000 | 2962230 |
| Northrop Grumman Corp 5.2% 6/1/2054  | 3000000 | 2868049 |
| RTX Corp 1.9% 9/1/2031  | 9570000 | 8424315 |
| RTX Corp 3.75% 11/1/2046  | 5929000 | 4669028 |
| RTX Corp 4.05% 5/4/2047  | 1851000 | 1524612 |
| RTX Corp 4.125% 11/16/2028  | 11685000 | 11723207 |
| RTX Corp 4.35% 4/15/2047  | 5243000 | 4522157 |
| RTX Corp 4.45% 11/16/2038  | 12715000 | 12085319 |
| RTX Corp 4.5% 6/1/2042  | 5863000 | 5349923 |
| RTX Corp 4.625% 11/16/2048  | 10491000 | 9331302 |
| RTX Corp 4.875% 10/15/2040  | 795000 | 780023 |
| RTX Corp 5.15% 2/27/2033  | 9600000 | 10016269 |
| RTX Corp 5.4% 5/1/2035  | 1800000 | 1907357 |
| RTX Corp 5.7% 4/15/2040  | 1589000 | 1688259 |
| RTX Corp 6.1% 3/15/2034  | 1020000 | 1125556 |
|  |  | 307433141 |
| Air Freight & Logistics - 0.1% |  |  |
| FedEx Corp 2.4% 5/15/2031 (d) | 6900000 | 6248671 |
| FedEx Corp 3.1% 8/5/2029  | 5027000 | 4840474 |
| FedEx Corp 4.05% 2/15/2048  | 2900000 | 2238365 |
| FedEx Corp 4.4% 1/15/2047  | 6356000 | 5227858 |
| FedEx Corp 4.55% 4/1/2046  | 1192000 | 969547 |
| FedEx Corp 4.95% 10/17/2048  | 6273000 | 5508621 |
| FedEx Corp 5.25% 5/15/2050  | 3383000 | 3066458 |
| United Parcel Service Inc 3.4% 11/15/2046  | 2104000 | 1584083 |
| United Parcel Service Inc 3.625% 10/1/2042  | 1100000 | 895459 |
| United Parcel Service Inc 3.75% 11/15/2047  | 6842000 | 5382952 |
| United Parcel Service Inc 4.25% 3/15/2049  | 3190000 | 2684418 |
| United Parcel Service Inc 4.45% 4/1/2030 (d) | 4833000 | 4929528 |
| United Parcel Service Inc 5.25% 5/14/2035 (d) | 5220000 | 5458677 |
| United Parcel Service Inc 5.5% 5/22/2054  | 3600000 | 3578327 |
| United Parcel Service Inc 5.95% 5/14/2055  | 4300000 | 4525875 |
| United Parcel Service Inc 6.2% 1/15/2038  | 6986000 | 7780524 |
|  |  | 64919837 |
| Building Products - 0.1% |  |  |
| Carrier Global Corp 2.493% 2/15/2027  | 7105000 | 6976087 |
| Carrier Global Corp 2.722% 2/15/2030  | 12373000 | 11649555 |
| Carrier Global Corp 3.377% 4/5/2040  | 4959000 | 4049168 |
| Carrier Global Corp 3.577% 4/5/2050  | 11213000 | 8419204 |
| Johnson Controls International plc / Tyco Fire & Security Finance SCA 4.9% 12/1/2032  | 11850000 | 12139427 |
| Masco Corp 2% 2/15/2031 (d) | 7383000 | 6552267 |
| Masco Corp 3.125% 2/15/2051  | 3735000 | 2499253 |
| Owens Corning 3.95% 8/15/2029  | 8413000 | 8350069 |
| Owens Corning 5.95% 6/15/2054 (d) | 4330000 | 4441547 |
| Trane Technologies Holdco Inc 3.75% 8/21/2028  | 3694000 | 3677840 |
| Trane Technologies Holdco Inc 4.3% 2/21/2048  | 3948000 | 3374812 |
|  |  | 72129229 |
| Commercial Services & Supplies - 0.1% |  |  |
| Republic Services Inc 1.45% 2/15/2031 (d) | 17786000 | 15560524 |
| Republic Services Inc 3.95% 5/15/2028  | 8340000 | 8358497 |
| Republic Services Inc 5.2% 11/15/2034  | 4520000 | 4716564 |
| Waste Management Inc 4.15% 7/15/2049  | 10186000 | 8550956 |
| Waste Management Inc 4.65% 3/15/2030 (d) | 2700000 | 2763678 |
| Waste Management Inc 4.95% 3/15/2035  | 2700000 | 2767181 |
| Waste Management Inc 4.95% 7/3/2027  | 1920000 | 1951300 |
| Waste Management Inc 4.95% 7/3/2031  | 1860000 | 1932936 |
| Waste Management Inc 5.35% 10/15/2054  | 2700000 | 2680541 |
|  |  | 49282177 |
| Electrical Equipment - 0.0% |  |  |
| Emerson Electric Co 1.95% 10/15/2030  | 3200000 | 2912742 |
| Emerson Electric Co 5% 3/15/2035 (d) | 5000000 | 5176720 |
|  |  | 8089462 |
| Ground Transportation - 0.4% |  |  |
| Burlington Northern Santa Fe LLC 3.05% 2/15/2051  | 3499000 | 2368262 |
| Burlington Northern Santa Fe LLC 3.25% 6/15/2027  | 5958000 | 5915664 |
| Burlington Northern Santa Fe LLC 3.55% 2/15/2050  | 4833000 | 3615341 |
| Burlington Northern Santa Fe LLC 3.9% 8/1/2046  | 3686000 | 2997914 |
| Burlington Northern Santa Fe LLC 4.05% 6/15/2048  | 13373000 | 11019346 |
| Burlington Northern Santa Fe LLC 4.125% 6/15/2047  | 2264000 | 1895095 |
| Burlington Northern Santa Fe LLC 4.15% 4/1/2045  | 1350000 | 1153499 |
| Burlington Northern Santa Fe LLC 4.375% 9/1/2042  | 3575000 | 3227374 |
| Burlington Northern Santa Fe LLC 4.45% 3/15/2043  | 2000000 | 1807072 |
| Burlington Northern Santa Fe LLC 4.55% 9/1/2044  | 2383000 | 2157644 |
| Burlington Northern Santa Fe LLC 4.9% 4/1/2044  | 3177000 | 3039174 |
| Burlington Northern Santa Fe LLC 5.2% 4/15/2054  | 2400000 | 2311044 |
| Burlington Northern Santa Fe LLC 5.8% 3/15/2056  | 2000000 | 2093843 |
| Burlington Northern Santa Fe LLC 6.15% 5/1/2037  | 2000000 | 2250876 |
| CSX Corp 3.25% 6/1/2027  | 3972000 | 3935474 |
| CSX Corp 3.8% 11/1/2046  | 4544000 | 3632808 |
| CSX Corp 3.95% 5/1/2050  | 2840000 | 2253277 |
| CSX Corp 4.1% 11/15/2032 (d) | 13500000 | 13326557 |
| CSX Corp 4.1% 3/15/2044  | 5382000 | 4575004 |
| CSX Corp 4.5% 3/15/2049  | 10963000 | 9543909 |
| CSX Corp 4.75% 11/15/2048  | 4599000 | 4178402 |
| Norfolk Southern Corp 3% 3/15/2032  | 4000000 | 3706959 |
| Norfolk Southern Corp 3.8% 8/1/2028  | 9444000 | 9410385 |
| Norfolk Southern Corp 3.95% 10/1/2042  | 1509000 | 1276214 |
| Norfolk Southern Corp 4.05% 8/15/2052  | 6859000 | 5461129 |
| Norfolk Southern Corp 4.45% 3/1/2033  | 22050000 | 22099937 |
| Norfolk Southern Corp 4.65% 1/15/2046  | 2589000 | 2334336 |
| Norfolk Southern Corp 5.1% 5/1/2035  | 6130000 | 6305352 |
| Ryder System Inc 4.85% 6/15/2030 (d) | 10230000 | 10458945 |
| Uber Technologies Inc 4.15% 1/15/2031  | 6600000 | 6571086 |
| Uber Technologies Inc 4.3% 1/15/2030  | 2980000 | 2995207 |
| Uber Technologies Inc 4.8% 9/15/2034  | 2980000 | 2996688 |
| Uber Technologies Inc 4.8% 9/15/2035  | 5240000 | 5237622 |
| Uber Technologies Inc 5.35% 9/15/2054 (d) | 2980000 | 2884760 |
| Union Pacific Corp 2.15% 2/5/2027  | 7153000 | 7015644 |
| Union Pacific Corp 2.375% 5/20/2031 (d) | 2000000 | 1839887 |
| Union Pacific Corp 2.4% 2/5/2030  | 2000000 | 1875762 |
| Union Pacific Corp 2.8% 2/14/2032  | 11666000 | 10744676 |
| Union Pacific Corp 2.891% 4/6/2036  | 7292000 | 6204529 |
| Union Pacific Corp 3% 4/15/2027  | 3972000 | 3927187 |
| Union Pacific Corp 3.25% 2/5/2050  | 10720000 | 7572360 |
| Union Pacific Corp 3.35% 8/15/2046  | 3750000 | 2788638 |
| Union Pacific Corp 3.375% 2/14/2042  | 4000000 | 3199414 |
| Union Pacific Corp 3.6% 9/15/2037 (d) | 2622000 | 2354471 |
| Union Pacific Corp 3.799% 10/1/2051  | 2224000 | 1717848 |
| Union Pacific Corp 3.839% 3/20/2060  | 11170000 | 8279468 |
| Union Pacific Corp 3.95% 9/10/2028  | 2000000 | 2002930 |
| Union Pacific Corp 4.95% 5/15/2053  | 3730000 | 3480604 |
| Union Pacific Corp 5.1% 2/20/2035 (d) | 3370000 | 3502533 |
| Union Pacific Corp 5.6% 12/1/2054  | 3370000 | 3425893 |
|  |  | 238968043 |
| Industrial Conglomerates - 0.1% |  |  |
| 3M Co 2.375% 8/26/2029 (d) | 8822000 | 8313074 |
| 3M Co 2.875% 10/15/2027 (d) | 3177000 | 3118058 |
| 3M Co 3.05% 4/15/2030  | 2912000 | 2788549 |
| 3M Co 3.125% 9/19/2046  | 2192000 | 1551389 |
| 3M Co 3.25% 8/26/2049  | 6797000 | 4782878 |
| 3M Co 3.7% 4/15/2050  | 3595000 | 2730603 |
| 3M Co 5.7% 3/15/2037  | 1900000 | 2033383 |
| Honeywell International Inc 1.95% 6/1/2030  | 8796000 | 8036623 |
| Honeywell International Inc 2.5% 11/1/2026  | 5688000 | 5617421 |
| Honeywell International Inc 3.812% 11/21/2047  | 1113000 | 892086 |
| Honeywell International Inc 4.7% 2/1/2030  | 11540000 | 11818226 |
| Honeywell International Inc 4.875% 9/1/2029 (d) | 4580000 | 4722634 |
| Honeywell International Inc 4.95% 9/1/2031  | 1800000 | 1874955 |
| Honeywell International Inc 5% 3/1/2035 (d) | 6720000 | 6898353 |
| Honeywell International Inc 5.25% 3/1/2054  | 10680000 | 10343533 |
| Trane Technologies Financing Ltd 3.8% 3/21/2029  | 11400000 | 11317735 |
| Trane Technologies Financing Ltd 4.65% 11/1/2044  | 4766000 | 4377767 |
|  |  | 91217267 |
| Machinery - 0.2% |  |  |
| Caterpillar Financial Services Corp 1.1% 9/14/2027  | 11416000 | 10900005 |
| Caterpillar Financial Services Corp 2.4% 8/9/2026  | 2264000 | 2241354 |
| Caterpillar Financial Services Corp 4.1% 8/15/2028  | 10000000 | 10069737 |
| Caterpillar Inc 3.25% 9/19/2049  | 13214000 | 9598069 |
| Caterpillar Inc 3.803% 8/15/2042  | 1986000 | 1688209 |
| Caterpillar Inc 5.2% 5/15/2035  | 9530000 | 9977532 |
| Caterpillar Inc 5.3% 9/15/2035  | 5561000 | 5881507 |
| Cummins Inc 1.5% 9/1/2030 (d) | 4833000 | 4322053 |
| Cummins Inc 5.3% 5/9/2035  | 10000000 | 10433103 |
| Deere & Co 2.875% 9/7/2049  | 9579000 | 6543186 |
| Deere & Co 3.9% 6/9/2042 (d) | 7000000 | 6104915 |
| Deere & Co 5.375% 10/16/2029  | 795000 | 838595 |
| Deere & Co 5.45% 1/16/2035 (d) | 2000000 | 2127270 |
| Eaton Corp 4% 11/2/2032  | 1509000 | 1487579 |
| Eaton Corp 4.15% 11/2/2042  | 1509000 | 1334397 |
| Eaton Corp 4.7% 8/23/2052  | 5800000 | 5285454 |
| Ingersoll Rand Inc 5.45% 6/15/2034  | 8100000 | 8479573 |
| Otis Worldwide Corp 2.565% 2/15/2030  | 10633000 | 9957925 |
| Otis Worldwide Corp 3.362% 2/15/2050  | 8091000 | 5795804 |
| Parker-Hannifin Corp 3.25% 3/1/2027 (d) | 4488000 | 4452548 |
| Parker-Hannifin Corp 4% 6/14/2049  | 4727000 | 3855005 |
| Parker-Hannifin Corp 4.1% 3/1/2047  | 4496000 | 3786267 |
| Parker-Hannifin Corp 4.5% 9/15/2029 (d) | 2000000 | 2032187 |
| Stanley Black & Decker Inc 4.25% 11/15/2028 (d) | 4000000 | 4003889 |
| Stanley Black & Decker Inc 5.2% 9/1/2040  | 7100000 | 7021412 |
| Westinghouse Air Brake Technologies Corp 5.5% 5/29/2035  | 4000000 | 4190946 |
|  |  | 142408521 |
| Passenger Airlines - 0.0% |  |  |
| American Airlines 2016-2 Class AA Pass Through Trust equipment trust certificate 3.2% 12/15/2029  | 3760972 | 3658641 |
| American Airlines 2021-1 Class A Pass Through Trust equipment trust certificate 2.875% 1/11/2036  | 5531547 | 5067453 |
| Southwest Airlines Co 2.625% 2/10/2030 (d) | 2000000 | 1852996 |
| Southwest Airlines Co 5.125% 6/15/2027  | 8833000 | 8932200 |
| Southwest Airlines Co 5.25% 11/15/2035  | 1460000 | 1429947 |
| United Airlines 2015-1 Class AA Pass Through Trust 3.45% 6/1/2029  | 317431 | 312449 |
| United Airlines 2016-1 Class AA Pass Through Trust equipment trust certificate 3.1% 1/7/2030  | 7186428 | 7012369 |
| United Airlines 2023-1 Class A Pass Through Trust equipment trust certificate 5.8% 7/15/2037  | 7277174 | 7680599 |
|  |  | 35946654 |
| Professional Services - 0.0% |  |  |
| Leidos Inc 2.3% 2/15/2031  | 1300000 | 1170599 |
| Paychex Inc 5.1% 4/15/2030 (d) | 6050000 | 6217442 |
| Paychex Inc 5.6% 4/15/2035 (d) | 8265000 | 8682367 |
| Verisk Analytics Inc 4.5% 8/15/2030  | 3660000 | 3689645 |
| Verisk Analytics Inc 5.125% 2/15/2036 (d) | 4030000 | 4087730 |
| Verisk Analytics Inc 5.25% 3/15/2035  | 5830000 | 5964608 |
|  |  | 29812391 |
| Trading Companies & Distributors - 0.1% |  |  |
| Air Lease Corp 2.2% 1/15/2027  | 6863000 | 6705125 |
| Air Lease Corp 3% 2/1/2030  | 1900000 | 1778061 |
| Air Lease Corp 3.125% 12/1/2030  | 9666000 | 8972867 |
| Air Lease Corp 3.625% 12/1/2027  | 7593000 | 7488719 |
| Air Lease Corp 5.2% 7/15/2031  | 2600000 | 2651565 |
| Ferguson Enterprises Inc 4.35% 3/15/2031  | 4730000 | 4727341 |
| GATX Corp 5.45% 9/15/2033  | 6450000 | 6720282 |
| WW Grainger Inc 4.45% 9/15/2034  | 7480000 | 7472579 |
|  |  | 46516539 |
| TOTAL INDUSTRIALS |  | 1086723261 |
| Information Technology - 1.9% |  |  |
| Communications Equipment - 0.1% |  |  |
| Cisco Systems Inc 4.75% 2/24/2030 (d) | 7550000 | 7769228 |
| Cisco Systems Inc 4.85% 2/26/2029 (d) | 7570000 | 7779643 |
| Cisco Systems Inc 5.05% 2/26/2034  | 7300000 | 7575819 |
| Cisco Systems Inc 5.1% 2/24/2035  | 7680000 | 7974320 |
| Cisco Systems Inc 5.3% 2/26/2054  | 3650000 | 3577093 |
| Cisco Systems Inc 5.5% 2/24/2055 (d) | 4110000 | 4150359 |
| Cisco Systems Inc 5.9% 2/15/2039  | 9863000 | 10766328 |
| Motorola Solutions Inc 5.2% 8/15/2032  | 14200000 | 14669180 |
|  |  | 64261970 |
| Electronic Equipment, Instruments & Components - 0.1% |  |  |
| Amphenol Corp 3.8% 11/15/2027 (d) | 8000000 | 7990345 |
| Amphenol Corp 4.125% 11/15/2030  | 4000000 | 3992038 |
| Amphenol Corp 4.625% 2/15/2036  | 5000000 | 4952861 |
| Amphenol Corp 5.25% 4/5/2034  | 5710000 | 5981164 |
| Amphenol Corp 5.3% 11/15/2055  | 2600000 | 2532775 |
| Amphenol Corp 5.375% 11/15/2054  | 3098000 | 3069852 |
| Corning Inc 3.9% 11/15/2049  | 4833000 | 3814652 |
| Corning Inc 4.75% 3/15/2042  | 3972000 | 3691277 |
| Dell International LLC / EMC Corp 4.9% 10/1/2026  | 7506000 | 7546225 |
| Dell International LLC / EMC Corp 5.3% 10/1/2029  | 19994000 | 20650228 |
| Dell International LLC / EMC Corp 8.1% 7/15/2036  | 8303000 | 10124347 |
| Dell International LLC / EMC Corp 8.35% 7/15/2046  | 9542000 | 12314422 |
| Flex Ltd 5.25% 1/15/2032  | 5200000 | 5312240 |
| Vontier Corp 2.95% 4/1/2031  | 3500000 | 3201807 |
|  |  | 95174233 |
| IT Services - 0.1% |  |  |
| CDW LLC / CDW Finance Corp 2.67% 12/1/2026  | 11406000 | 11220554 |
| CDW LLC / CDW Finance Corp 5.1% 3/1/2030 (d) | 3300000 | 3370790 |
| CDW LLC / CDW Finance Corp 5.55% 8/22/2034  | 3740000 | 3847629 |
| IBM Corporation 1.95% 5/15/2030  | 11102000 | 10125191 |
| IBM Corporation 2.95% 5/15/2050  | 11005000 | 7189866 |
| IBM Corporation 3.3% 5/15/2026  | 9666000 | 9635677 |
| IBM Corporation 3.5% 5/15/2029 (d) | 13474000 | 13242943 |
| IBM Corporation 4.25% 5/15/2049  | 8612000 | 7121942 |
| IBM Corporation 4.4% 7/27/2032 (d) | 8100000 | 8132216 |
| IBM Corporation 4.7% 2/19/2046  | 3932000 | 3532214 |
| IBM Corporation 4.8% 2/10/2030  | 5380000 | 5525102 |
| IBM Corporation 5.2% 2/10/2035 (d) | 5720000 | 5924901 |
| IBM Corporation 5.6% 11/30/2039  | 6500000 | 6828129 |
| IBM Corporation 5.7% 2/10/2055 (d) | 5500000 | 5559330 |
|  |  | 101256484 |
| Semiconductors & Semiconductor Equipment - 0.6% |  |  |
| Analog Devices Inc 2.8% 10/1/2041  | 11812000 | 8818055 |
| Analog Devices Inc 3.5% 12/5/2026  | 1700000 | 1694070 |
| Applied Materials Inc 4.35% 4/1/2047  | 10263000 | 9034143 |
| Broadcom Corp / Broadcom Cayman Finance Ltd 3.5% 1/15/2028  | 5561000 | 5513727 |
| Broadcom Inc 2.45% 2/15/2031  | 28182000 | 25905972 |
| Broadcom Inc 2.6% 2/15/2033  | 9400000 | 8356595 |
| Broadcom Inc 3.187% 11/15/2036 (e) | 1000000 | 863594 |
| Broadcom Inc 3.419% 4/15/2033  | 11000000 | 10308172 |
| Broadcom Inc 3.469% 4/15/2034  | 3391000 | 3128252 |
| Broadcom Inc 3.75% 2/15/2051  | 17216000 | 13368375 |
| Broadcom Inc 4.2% 10/15/2030 (d) | 19000000 | 19068359 |
| Broadcom Inc 4.3% 11/15/2032  | 9956000 | 9903133 |
| Broadcom Inc 4.55% 2/15/2032  | 8980000 | 9086238 |
| Broadcom Inc 4.6% 7/15/2030 (d) | 11080000 | 11291408 |
| Broadcom Inc 4.75% 4/15/2029 (d) | 13584000 | 13874555 |
| Broadcom Inc 4.8% 10/15/2034  | 8980000 | 9105317 |
| Broadcom Inc 4.8% 2/15/2036  | 6310000 | 6324834 |
| Intel Corp 2% 8/12/2031 (d) | 7124000 | 6273890 |
| Intel Corp 2.45% 11/15/2029  | 10216000 | 9544094 |
| Intel Corp 2.8% 8/12/2041  | 10000000 | 7094827 |
| Intel Corp 3.05% 8/12/2051  | 7124000 | 4501992 |
| Intel Corp 3.25% 11/15/2049  | 8313000 | 5470899 |
| Intel Corp 3.734% 12/8/2047  | 2594000 | 1896843 |
| Intel Corp 3.9% 3/25/2030  | 10668000 | 10484192 |
| Intel Corp 4% 8/5/2029  | 2000000 | 1981666 |
| Intel Corp 4.1% 5/11/2047  | 1906000 | 1475521 |
| Intel Corp 4.1% 5/19/2046  | 5561000 | 4359402 |
| Intel Corp 4.15% 8/5/2032 (d) | 2000000 | 1942641 |
| Intel Corp 4.6% 3/25/2040  | 2000000 | 1812193 |
| Intel Corp 4.75% 3/25/2050  | 9512000 | 8016483 |
| Intel Corp 4.875% 2/10/2028 (d) | 10180000 | 10335905 |
| Intel Corp 5.625% 2/10/2043 (d) | 5000000 | 4918360 |
| Intel Corp 5.7% 2/10/2053  | 8000000 | 7668809 |
| Intel Corp 5.9% 2/10/2063  | 1600000 | 1545868 |
| Lam Research Corp 2.875% 6/15/2050  | 11648000 | 7751471 |
| Marvell Technology Inc 2.95% 4/15/2031  | 2000000 | 1856019 |
| Marvell Technology Inc 4.75% 7/15/2030  | 7015000 | 7119259 |
| Micron Technology Inc 2.703% 4/15/2032  | 8400000 | 7532174 |
| Micron Technology Inc 4.663% 2/15/2030  | 6573000 | 6657036 |
| Micron Technology Inc 5.65% 11/1/2032  | 2810000 | 2957607 |
| Micron Technology Inc 5.8% 1/15/2035  | 4310000 | 4559690 |
| Micron Technology Inc 6.05% 11/1/2035  | 3300000 | 3541569 |
| NVIDIA Corp 2% 6/15/2031 (d) | 20182000 | 18244430 |
| NVIDIA Corp 2.85% 4/1/2030 (d) | 8603000 | 8246161 |
| NVIDIA Corp 3.5% 4/1/2050 (d) | 4785000 | 3649691 |
| QUALCOMM Inc 1.65% 5/20/2032 (d) | 14000000 | 12006367 |
| QUALCOMM Inc 4.3% 5/20/2047  | 8023000 | 6868147 |
| QUALCOMM Inc 4.5% 5/20/2030  | 2720000 | 2768916 |
| QUALCOMM Inc 4.8% 5/20/2045  | 2000000 | 1864516 |
| QUALCOMM Inc 5% 5/20/2035 (d) | 3290000 | 3394033 |
| QUALCOMM Inc 5.4% 5/20/2033 (d) | 18000000 | 19182239 |
| Texas Instruments Inc 1.9% 9/15/2031 (d) | 2000000 | 1781301 |
| Texas Instruments Inc 3.65% 8/16/2032  | 2000000 | 1929041 |
| Texas Instruments Inc 4.15% 5/15/2048  | 5526000 | 4643559 |
| Texas Instruments Inc 4.5% 5/23/2030  | 3810000 | 3888465 |
| Texas Instruments Inc 4.6% 2/15/2028  | 10000000 | 10161451 |
| Texas Instruments Inc 5.05% 5/18/2063  | 7000000 | 6437200 |
| Texas Instruments Inc 5.1% 5/23/2035  | 3610000 | 3739992 |
|  |  | 405748718 |
| Software - 0.7% |  |  |
| AppLovin Corp 5.125% 12/1/2029  | 3730000 | 3815465 |
| AppLovin Corp 5.5% 12/1/2034  | 7170000 | 7421434 |
| Cadence Design Systems Inc 4.3% 9/10/2029  | 4300000 | 4321799 |
| Cadence Design Systems Inc 4.7% 9/10/2034  | 2470000 | 2485328 |
| Fortinet Inc 2.2% 3/15/2031  | 2000000 | 1794502 |
| Intuit Inc 5.2% 9/15/2033 (d) | 3200000 | 3360793 |
| Intuit Inc 5.5% 9/15/2053 (d) | 2950000 | 2965957 |
| Microsoft Corp 2.525% 6/1/2050  | 32153000 | 20325701 |
| Microsoft Corp 2.675% 6/1/2060  | 5334000 | 3177352 |
| Microsoft Corp 2.921% 3/17/2052  | 36922000 | 25099162 |
| Microsoft Corp 3.041% 3/17/2062  | 3278000 | 2124134 |
| Microsoft Corp 3.45% 8/8/2036 (d) | 2307000 | 2138116 |
| Microsoft Corp 4.2% 11/3/2035  | 1700000 | 1720830 |
| Oracle Corp 2.65% 7/15/2026  | 7149000 | 7083149 |
| Oracle Corp 2.875% 3/25/2031  | 11675000 | 10586086 |
| Oracle Corp 2.95% 4/1/2030 (d) | 12477000 | 11605709 |
| Oracle Corp 3.25% 11/15/2027 (d) | 13584000 | 13301285 |
| Oracle Corp 3.6% 4/1/2040 (d) | 13600000 | 10489594 |
| Oracle Corp 3.6% 4/1/2050  | 12383000 | 8191215 |
| Oracle Corp 3.85% 4/1/2060  | 14393000 | 9389508 |
| Oracle Corp 3.85% 7/15/2036  | 13797000 | 11880645 |
| Oracle Corp 3.95% 3/25/2051  | 10575000 | 7359001 |
| Oracle Corp 4% 11/15/2047  | 13899000 | 10103167 |
| Oracle Corp 4% 7/15/2046  | 7785000 | 5684203 |
| Oracle Corp 4.125% 5/15/2045  | 2383000 | 1797198 |
| Oracle Corp 4.2% 9/27/2029 (d) | 10770000 | 10627362 |
| Oracle Corp 4.3% 7/8/2034  | 3078000 | 2845568 |
| Oracle Corp 4.45% 9/26/2030 (d) | 10500000 | 10346411 |
| Oracle Corp 4.7% 9/27/2034  | 3160000 | 2993505 |
| Oracle Corp 4.9% 2/6/2033  | 15000000 | 14667690 |
| Oracle Corp 5.2% 9/26/2035  | 16000000 | 15678243 |
| Oracle Corp 5.375% 7/15/2040  | 19029000 | 17762123 |
| Oracle Corp 5.375% 9/27/2054  | 2780000 | 2374663 |
| Oracle Corp 5.5% 8/3/2035  | 4000000 | 4007693 |
| Oracle Corp 5.875% 9/26/2045  | 7000000 | 6600414 |
| Oracle Corp 5.95% 9/26/2055 (d) | 6000000 | 5622216 |
| Oracle Corp 6% 8/3/2055  | 8100000 | 7525638 |
| Oracle Corp 6.125% 7/8/2039  | 1800000 | 1818058 |
| Roper Technologies Inc 1.4% 9/15/2027 (d) | 7250000 | 6925580 |
| Roper Technologies Inc 1.75% 2/15/2031 (d) | 7250000 | 6358544 |
| Roper Technologies Inc 2% 6/30/2030  | 14306000 | 12932895 |
| Roper Technologies Inc 3.8% 12/15/2026  | 6752000 | 6735472 |
| Roper Technologies Inc 5.1% 9/15/2035  | 2080000 | 2111156 |
| Salesforce Inc 1.95% 7/15/2031 (d) | 10300000 | 9204784 |
| Salesforce Inc 2.7% 7/15/2041 (d) | 12000000 | 8817903 |
| Synopsys Inc 4.65% 4/1/2028  | 14440000 | 14633068 |
| Synopsys Inc 4.85% 4/1/2030  | 3700000 | 3779824 |
| Synopsys Inc 5% 4/1/2032  | 6440000 | 6607023 |
| Synopsys Inc 5.15% 4/1/2035 (d) | 7540000 | 7707936 |
| Synopsys Inc 5.7% 4/1/2055  | 5840000 | 5854206 |
| VMware LLC 1.4% 8/15/2026  | 22344000 | 21950773 |
| VMware LLC 4.7% 5/15/2030  | 2000000 | 2033609 |
|  |  | 406743690 |
| Technology Hardware, Storage & Peripherals - 0.3% |  |  |
| Apple Inc 1.2% 2/8/2028 (d) | 10000000 | 9484467 |
| Apple Inc 1.25% 8/20/2030 (d) | 13098000 | 11656599 |
| Apple Inc 1.7% 8/5/2031 (d) | 7886000 | 7016792 |
| Apple Inc 2.375% 2/8/2041 (d) | 13368000 | 9738426 |
| Apple Inc 2.55% 8/20/2060  | 5162000 | 2997802 |
| Apple Inc 2.65% 5/11/2050  | 4157000 | 2676181 |
| Apple Inc 2.85% 8/5/2061  | 7887000 | 4821398 |
| Apple Inc 2.9% 9/12/2027 (d) | 11161000 | 11016499 |
| Apple Inc 2.95% 9/11/2049  | 21247000 | 14649708 |
| Apple Inc 3% 11/13/2027 (d) | 7944000 | 7862489 |
| Apple Inc 3.2% 5/11/2027 (d) | 13008000 | 12926319 |
| Apple Inc 3.35% 8/8/2032 (d) | 7000000 | 6743885 |
| Apple Inc 3.75% 11/13/2047  | 5541000 | 4491755 |
| Apple Inc 3.75% 9/12/2047  | 4833000 | 3909746 |
| Apple Inc 3.85% 5/4/2043  | 10327000 | 8885471 |
| Apple Inc 4% 5/10/2028 (d) | 3300000 | 3325994 |
| Apple Inc 4.25% 2/9/2047  | 1986000 | 1743561 |
| Apple Inc 4.3% 5/10/2033 (d) | 3300000 | 3364465 |
| Apple Inc 4.375% 5/13/2045  | 3725000 | 3385815 |
| Apple Inc 4.5% 2/23/2036 (d) | 7355000 | 7516485 |
| Apple Inc 4.65% 2/23/2046  | 14788000 | 13873565 |
| Hewlett Packard Enterprise Co 4.4% 10/15/2030  | 14000000 | 13965464 |
| Hewlett Packard Enterprise Co 4.55% 10/15/2029  | 4530000 | 4561725 |
| Hewlett Packard Enterprise Co 5% 10/15/2034  | 4240000 | 4218805 |
| Hewlett Packard Enterprise Co 5.6% 10/15/2054  | 2140000 | 2002906 |
| Hewlett Packard Enterprise Co 6.2% 10/15/2035 (c)(d) | 6390000 | 6926286 |
| Hewlett Packard Enterprise Co 6.35% 10/15/2045 (c) | 1493000 | 1546213 |
| HP Inc 4.2% 4/15/2032  | 6450000 | 6290739 |
| HP Inc 5.4% 4/25/2030  | 2700000 | 2805252 |
| HP Inc 5.5% 1/15/2033 (d) | 2000000 | 2073955 |
| HP Inc 6% 9/15/2041 (d) | 3192000 | 3278898 |
|  |  | 199757665 |
| TOTAL INFORMATION TECHNOLOGY |  | 1272942760 |
| Materials - 0.4% |  |  |
| Chemicals - 0.2% |  |  |
| Air Products and Chemicals Inc 2.05% 5/15/2030  | 5220000 | 4806620 |
| Air Products and Chemicals Inc 2.7% 5/15/2040  | 4495000 | 3413850 |
| Air Products and Chemicals Inc 2.8% 5/15/2050  | 5346000 | 3499688 |
| CF Industries Inc 4.95% 6/1/2043 (d) | 5900000 | 5351502 |
| Dow Chemical Co/The 2.1% 11/15/2030 (d) | 6863000 | 6071069 |
| Dow Chemical Co/The 3.6% 11/15/2050  | 7056000 | 4699835 |
| Dow Chemical Co/The 4.375% 11/15/2042  | 3872000 | 3126909 |
| Dow Chemical Co/The 4.8% 11/30/2028 (d) | 6792000 | 6886558 |
| Dow Chemical Co/The 4.8% 5/15/2049 (d) | 6112000 | 4932372 |
| Dow Chemical Co/The 5.65% 3/15/2036 (d) | 4100000 | 4117641 |
| Dow Chemical Co/The 9.4% 5/15/2039 (d) | 2383000 | 3109655 |
| Eastman Chemical Co 4.65% 10/15/2044 (d) | 2383000 | 2042982 |
| Eastman Chemical Co 5% 8/1/2029 (d) | 3000000 | 3057411 |
| Eastman Chemical Co 5.625% 2/20/2034 (d) | 3600000 | 3719652 |
| Ecolab Inc 1.3% 1/30/2031  | 6356000 | 5525182 |
| Ecolab Inc 2.7% 11/1/2026  | 5243000 | 5187356 |
| Ecolab Inc 2.75% 8/18/2055  | 8768000 | 5394691 |
| Huntsman Intl LLC 5.7% 10/15/2034 (d) | 2400000 | 2154904 |
| Linde Inc/CT 3.2% 1/30/2026  | 5036000 | 5027990 |
| Linde Inc/CT 3.55% 11/7/2042  | 1589000 | 1290897 |
| LYB International Finance BV 4.875% 3/15/2044  | 4647000 | 3908131 |
| LYB International Finance II BV 3.5% 3/2/2027  | 19438000 | 19325368 |
| LYB International Finance III LLC 3.375% 10/1/2040  | 7366000 | 5435729 |
| LYB International Finance III LLC 3.625% 4/1/2051  | 7366000 | 4842759 |
| LyondellBasell Industries NV 4.625% 2/26/2055  | 2970000 | 2285763 |
| Mosaic Co/The 4.05% 11/15/2027  | 4575000 | 4573497 |
| Mosaic Co/The 5.625% 11/15/2043  | 2979000 | 2894969 |
| Sherwin-Williams Co/The 2.95% 8/15/2029  | 2000000 | 1917941 |
| Sherwin-Williams Co/The 3.45% 6/1/2027 (d) | 17609000 | 17451730 |
| Sherwin-Williams Co/The 3.8% 8/15/2049  | 2919000 | 2235325 |
| Sherwin-Williams Co/The 4.5% 6/1/2047  | 6776000 | 5880675 |
| Westlake Corp 3.125% 8/15/2051  | 6500000 | 4008555 |
| Westlake Corp 5% 8/15/2046 (d) | 1589000 | 1366916 |
| Westlake Corp 5.55% 11/15/2035 (d) | 2770000 | 2787572 |
|  |  | 162331694 |
| Construction Materials - 0.1% |  |  |
| Amrize Finance US LLC 4.7% 4/7/2028 (e) | 15050000 | 15236127 |
| CRH America Finance Inc 5.4% 5/21/2034 (d) | 4800000 | 5009826 |
| CRH America Finance Inc 5.5% 1/9/2035  | 5300000 | 5562438 |
| CRH America Finance Inc 5.6% 2/9/2056  | 2100000 | 2105046 |
| Martin Marietta Materials Inc 2.4% 7/15/2031 (d) | 2000000 | 1809912 |
| Martin Marietta Materials Inc 3.5% 12/15/2027 (d) | 2000000 | 1980489 |
| Martin Marietta Materials Inc 5.15% 12/1/2034 (d) | 3800000 | 3903934 |
| Martin Marietta Materials Inc 5.5% 12/1/2054  | 4400000 | 4377281 |
| Vulcan Materials Co 5.35% 12/1/2034  | 7110000 | 7400445 |
|  |  | 47385498 |
| Containers & Packaging - 0.0% |  |  |
| Amcor Flexibles North America Inc 5.5% 3/17/2035 (d) | 1870000 | 1939229 |
| Amcor Group Finance PLC 5.45% 5/23/2029  | 13600000 | 14072062 |
| International Paper Co 4.4% 8/15/2047  | 6908000 | 5775233 |
| International Paper Co 5.15% 5/15/2046  | 1438000 | 1340229 |
| Packaging Corp of America 5.2% 8/15/2035  | 5000000 | 5124587 |
| WestRock MWV LLC 8.2% 1/15/2030  | 1580000 | 1807519 |
| WRKCo Inc 3% 6/15/2033 (d) | 2000000 | 1789736 |
| WRKCo Inc 3.375% 9/15/2027  | 2000000 | 1999779 |
| WRKCo Inc 4.2% 6/1/2032 (d) | 4833000 | 4715140 |
|  |  | 38563514 |
| Metals & Mining - 0.1% |  |  |
| Freeport-McMoRan Inc 4.625% 8/1/2030 (d) | 32382000 | 32556728 |
| Freeport-McMoRan Inc 5.45% 3/15/2043  | 1000000 | 973703 |
| Newmont Corp 5.45% 6/9/2044  | 5093000 | 5136225 |
| Nucor Corp 2.7% 6/1/2030 (d) | 3900000 | 3668237 |
| Nucor Corp 2.979% 12/15/2055  | 3177000 | 2008596 |
| Nucor Corp 6.4% 12/1/2037  | 4833000 | 5442760 |
|  |  | 49786249 |
| TOTAL MATERIALS |  | 298066955 |
| Real Estate - 0.9% |  |  |
| Diversified REITs - 0.1% |  |  |
| Equinix Europe 2 Financing Corp LLC 4.6% 11/15/2030  | 3400000 | 3422315 |
| Equinix Europe 2 Financing Corp LLC 5.5% 6/15/2034  | 12510000 | 13018739 |
| GLP Capital LP / GLP Financing II Inc 5.25% 2/15/2033  | 5400000 | 5420558 |
| GLP Capital LP / GLP Financing II Inc 5.625% 9/15/2034 (d) | 9020000 | 9135672 |
| Piedmont Operating Partnership LP 9.25% 7/20/2028  | 3850000 | 4264035 |
| Safehold GL Holdings LLC 5.65% 1/15/2035  | 3100000 | 3193596 |
| VICI Properties LP 4.75% 2/15/2028  | 11117000 | 11230161 |
| VICI Properties LP 4.95% 2/15/2030  | 1800000 | 1821480 |
| VICI Properties LP 5.125% 5/15/2032  | 5838000 | 5888294 |
| VICI Properties LP 5.625% 4/1/2035  | 4060000 | 4155468 |
| VICI Properties LP 6.125% 4/1/2054  | 3000000 | 3005911 |
| Vornado Realty LP 3.4% 6/1/2031  | 2000000 | 1809131 |
| WP Carey Inc 2.45% 2/1/2032  | 2000000 | 1767839 |
|  |  | 68133199 |
| Health Care REITs - 0.1% |  |  |
| Alexandria Real Estate Equities Inc 2% 5/18/2032  | 7371000 | 6249683 |
| Alexandria Real Estate Equities Inc 3% 5/18/2051  | 5582000 | 3444385 |
| Alexandria Real Estate Equities Inc 4.85% 4/15/2049  | 9154000 | 7852421 |
| Healthpeak OP LLC 3% 1/15/2030 (d) | 9937000 | 9423755 |
| Healthpeak OP LLC 4.75% 1/15/2033  | 1750000 | 1748636 |
| Healthpeak OP LLC 5.25% 12/15/2032  | 3000000 | 3097750 |
| Omega Healthcare Investors Inc 3.375% 2/1/2031  | 3093000 | 2887604 |
| Omega Healthcare Investors Inc 4.5% 4/1/2027 (d) | 7547000 | 7572687 |
| Omega Healthcare Investors Inc 5.2% 7/1/2030  | 1700000 | 1732275 |
| Ventas Realty LP 3.25% 10/15/2026  | 2780000 | 2760834 |
| Ventas Realty LP 3.85% 4/1/2027  | 7547000 | 7523561 |
| Ventas Realty LP 4% 3/1/2028  | 17202000 | 17159483 |
| Ventas Realty LP 4.125% 1/15/2026  | 1152000 | 1151272 |
| Ventas Realty LP 4.375% 2/1/2045  | 2383000 | 2029553 |
| Ventas Realty LP 4.875% 4/15/2049  | 2262000 | 2004024 |
| Welltower OP LLC 4.95% 9/1/2048  | 7944000 | 7522500 |
| Welltower OP LLC 6.5% 3/15/2041  | 1100000 | 1235134 |
|  |  | 85395557 |
| Industrial REITs - 0.1% |  |  |
| LXP Industrial Trust 2.375% 10/1/2031  | 2417000 | 2112580 |
| Prologis LP 1.625% 3/15/2031 (d) | 11425000 | 10008953 |
| Prologis LP 1.75% 2/1/2031  | 23383000 | 20679097 |
| Prologis LP 2.125% 4/15/2027  | 9502000 | 9279959 |
| Prologis LP 3.25% 10/1/2026 (d) | 3701000 | 3679886 |
| Prologis LP 4.875% 6/15/2028  | 2700000 | 2764039 |
| Prologis LP 5.25% 3/15/2054  | 4520000 | 4368567 |
| Prologis LP 5.25% 6/15/2053 (d) | 3300000 | 3187021 |
|  |  | 56080102 |
| Office REITs - 0.1% |  |  |
| Boston Properties LP 2.55% 4/1/2032  | 1100000 | 958798 |
| Boston Properties LP 2.75% 10/1/2026  | 5561000 | 5493196 |
| Boston Properties LP 2.9% 3/15/2030 (d) | 1400000 | 1313145 |
| Boston Properties LP 3.25% 1/30/2031 (d) | 15176000 | 14223465 |
| Boston Properties LP 3.4% 6/21/2029  | 2300000 | 2221525 |
| COPT Defense Properties LP 2.75% 4/15/2031 (d) | 4000000 | 3639698 |
| Highwoods Realty LP 7.65% 2/1/2034  | 2800000 | 3195745 |
| Kilroy Realty LP 2.5% 11/15/2032  | 2100000 | 1760261 |
| Kilroy Realty LP 2.65% 11/15/2033  | 1700000 | 1399466 |
| Kilroy Realty LP 5.875% 10/15/2035  | 2018000 | 2047126 |
|  |  | 36252425 |
| Real Estate Management & Development - 0.1% |  |  |
| Americold Realty Operating Partnership LP 5.6% 5/15/2032  | 3150000 | 3203555 |
| CBRE Services Inc 5.1% 6/15/2030  | 3230000 | 3288713 |
| CBRE Services Inc 5.95% 8/15/2034  | 4070000 | 4384988 |
| Digital Realty Trust LP 3.7% 8/15/2027  | 8356000 | 8298437 |
| Digital Realty Trust LP 4.45% 7/15/2028  | 2000000 | 2015908 |
| Essex Portfolio LP 1.65% 1/15/2031 (d) | 2000000 | 1745822 |
| Essex Portfolio LP 1.7% 3/1/2028 (d) | 2000000 | 1896557 |
| Essex Portfolio LP 2.55% 6/15/2031 (d) | 2000000 | 1813602 |
| Essex Portfolio LP 3% 1/15/2030  | 1477000 | 1404515 |
| Essex Portfolio LP 3.375% 4/15/2026  | 2000000 | 1992709 |
| Essex Portfolio LP 4% 3/1/2029  | 4833000 | 4804583 |
| Essex Portfolio LP 5.375% 4/1/2035  | 3720000 | 3870679 |
| Extra Space Storage LP 4.95% 1/15/2033  | 1500000 | 1518108 |
| Extra Space Storage LP 5.35% 1/15/2035  | 9180000 | 9421164 |
| Extra Space Storage LP 5.4% 6/15/2035  | 1030000 | 1061010 |
| Mid-America Apartments LP 1.1% 9/15/2026  | 2000000 | 1955376 |
| Mid-America Apartments LP 3.95% 3/15/2029  | 5510000 | 5488579 |
| Tanger Properties LP 3.875% 7/15/2027  | 4925000 | 4894767 |
|  |  | 63059072 |
| Residential REITs - 0.1% |  |  |
| American Homes 4 Rent LP 4.25% 2/15/2028  | 7636000 | 7650835 |
| American Homes 4 Rent LP 5.5% 7/15/2034 (d) | 3900000 | 4052729 |
| AvalonBay Communities Inc 2.05% 1/15/2032  | 2000000 | 1761454 |
| AvalonBay Communities Inc 2.3% 3/1/2030  | 4833000 | 4485474 |
| AvalonBay Communities Inc 5% 2/15/2033  | 3800000 | 3908379 |
| Camden Property Trust 4.1% 10/15/2028 (d) | 2000000 | 2009226 |
| ERP Operating LP 1.85% 8/1/2031 (d) | 14500000 | 12776277 |
| ERP Operating LP 3.25% 8/1/2027  | 10314000 | 10198821 |
| ERP Operating LP 4.95% 6/15/2032  | 2360000 | 2423181 |
| Invitation Homes Operating Partnership LP 4.15% 4/15/2032  | 6186000 | 6007609 |
| Invitation Homes Operating Partnership LP 4.95% 1/15/2033 (d) | 2300000 | 2327877 |
| UDR Inc 2.1% 6/15/2033  | 12929000 | 10828162 |
|  |  | 68430024 |
| Retail REITs - 0.2% |  |  |
| Agree LP 5.625% 6/15/2034  | 4500000 | 4728135 |
| Brixmor Operating Partnership LP 3.9% 3/15/2027  | 4480000 | 4467261 |
| Brixmor Operating Partnership LP 4.05% 7/1/2030  | 4868000 | 4804399 |
| Brixmor Operating Partnership LP 4.125% 5/15/2029  | 5363000 | 5336695 |
| Brixmor Operating Partnership LP 4.125% 6/15/2026  | 5997000 | 5992865 |
| Brixmor Operating Partnership LP 4.85% 2/15/2033  | 1000000 | 1003214 |
| Kimco Realty OP LLC 1.9% 3/1/2028  | 8216000 | 7840464 |
| Kimco Realty OP LLC 3.8% 4/1/2027  | 3177000 | 3171027 |
| Kimco Realty OP LLC 4.125% 12/1/2046  | 7944000 | 6610991 |
| Kimco Realty OP LLC 4.45% 9/1/2047  | 4114000 | 3558933 |
| Kite Realty Group LP 5.2% 8/15/2032 (d) | 3300000 | 3379608 |
| NNN REIT Inc 3% 4/15/2052  | 6766000 | 4305103 |
| Phillips Edison Grocery Center Operating Partnership I LP 5.25% 8/15/2032  | 4280000 | 4386538 |
| Realty Income Corp 3.4% 1/15/2030  | 2000000 | 1946839 |
| Realty Income Corp 3.95% 8/15/2027  | 6200000 | 6196225 |
| Realty Income Corp 4.5% 2/1/2033  | 8000000 | 7959934 |
| Realty Income Corp 4.7% 12/15/2028  | 4500000 | 4583946 |
| Realty Income Corp 4.85% 3/15/2030 (d) | 15000000 | 15427449 |
| Realty Income Corp 4.9% 7/15/2033  | 6450000 | 6568229 |
| Regency Centers LP 5% 7/15/2032  | 7500000 | 7714946 |
| Simon Property Group LP 2.2% 2/1/2031  | 21169000 | 19155475 |
| Simon Property Group LP 3.25% 9/13/2049  | 9260000 | 6490083 |
| Simon Property Group LP 3.375% 12/1/2027 (d) | 17551000 | 17372034 |
| Simon Property Group LP 4.75% 9/26/2034  | 3730000 | 3731579 |
| Simon Property Group LP 5.125% 10/1/2035  | 4600000 | 4692098 |
|  |  | 161424070 |
| Specialized REITs - 0.1% |  |  |
| American Tower Corp 2.1% 6/15/2030  | 12189000 | 11074558 |
| American Tower Corp 3.1% 6/15/2050  | 4456000 | 2991114 |
| American Tower Corp 3.55% 7/15/2027  | 6792000 | 6727475 |
| American Tower Corp 3.7% 10/15/2049  | 4833000 | 3627554 |
| American Tower Corp 4.9% 3/15/2030  | 11264000 | 11526352 |
| Crown Castle Inc 2.25% 1/15/2031  | 5771000 | 5165084 |
| Crown Castle Inc 3.25% 1/15/2051  | 5220000 | 3497516 |
| Crown Castle Inc 5.1% 5/1/2033  | 12860000 | 13037536 |
| EPR Properties 4.5% 6/1/2027  | 2000000 | 2001124 |
| EPR Properties 4.95% 4/15/2028  | 4000000 | 4032998 |
| Equinix Inc 3.9% 4/15/2032  | 6400000 | 6170493 |
| Public Storage Operating Co 4.375% 7/1/2030 (d) | 3780000 | 3824217 |
| Public Storage Operating Co 5% 7/1/2035  | 7040000 | 7192378 |
| Weyerhaeuser Co 4% 4/15/2030  | 12223000 | 12078373 |
|  |  | 92946772 |
| TOTAL REAL ESTATE |  | 631721221 |
| Utilities - 2.5% |  |  |
| Electric Utilities - 1.9% |  |  |
| AEP Texas Inc 2.1% 7/1/2030 (d) | 3020000 | 2752965 |
| AEP Texas Inc 3.8% 10/1/2047  | 3383000 | 2534333 |
| AEP Texas Inc 3.95% 6/1/2028  | 10450000 | 10391777 |
| AEP Texas Inc 4.7% 5/15/2032 (d) | 4000000 | 4026357 |
| AEP Texas Inc 5.85% 10/15/2055  | 1800000 | 1794092 |
| AEP Transmission Co LLC 2.75% 8/15/2051  | 5703000 | 3590198 |
| AEP Transmission Co LLC 4% 12/1/2046  | 3000000 | 2457213 |
| AEP Transmission Co LLC 5.4% 3/15/2053 (d) | 3440000 | 3409622 |
| Alabama Power Co 1.45% 9/15/2030  | 14500000 | 12857627 |
| Alabama Power Co 3.7% 12/1/2047  | 4679000 | 3625825 |
| Alabama Power Co 3.75% 3/1/2045  | 795000 | 635564 |
| Alabama Power Co 4.15% 8/15/2044  | 3694000 | 3141296 |
| Alabama Power Co 4.3% 7/15/2048  | 4671000 | 3955737 |
| Alabama Power Co 5.2% 6/1/2041 (d) | 3058000 | 3035482 |
| American Electric Power Co Inc 3.25% 3/1/2050  | 2494000 | 1679373 |
| American Electric Power Co Inc 4.3% 12/1/2028  | 13893000 | 13985700 |
| American Electric Power Co Inc 5.8% 3/15/2056 (c) | 5500000 | 5461817 |
| American Electric Power Co Inc 6.95% 12/15/2054 (c) | 3300000 | 3564119 |
| Appalachian Power Co 4.45% 6/1/2045 (d) | 4766000 | 4063902 |
| Appalachian Power Co 4.5% 3/1/2049  | 7259000 | 6094097 |
| Arizona Public Service Co 2.95% 9/15/2027  | 5861000 | 5765350 |
| Arizona Public Service Co 5.55% 8/1/2033  | 8900000 | 9353693 |
| Arizona Public Service Co 5.9% 8/15/2055  | 3000000 | 3084273 |
| Arizona Public Service Co 6.35% 12/15/2032  | 4000000 | 4390124 |
| Baltimore Gas and Electric Co 2.25% 6/15/2031 (d) | 2000000 | 1810592 |
| Baltimore Gas and Electric Co 2.9% 6/15/2050  | 6360000 | 4158448 |
| Baltimore Gas and Electric Co 3.5% 8/15/2046  | 1986000 | 1495606 |
| Baltimore Gas and Electric Co 5.4% 6/1/2053  | 2300000 | 2254097 |
| CenterPoint Energy Houston Electric LLC 3.35% 4/1/2051  | 9077000 | 6506843 |
| CenterPoint Energy Houston Electric LLC 3.55% 8/1/2042  | 1509000 | 1218096 |
| CenterPoint Energy Houston Electric LLC 4.8% 3/15/2030  | 3350000 | 3438025 |
| CenterPoint Energy Houston Electric LLC 4.95% 4/1/2033  | 4500000 | 4610599 |
| Cleco Corporate Holdings LLC 3.743% 5/1/2026  | 4496000 | 4479077 |
| Commonwealth Edison Co 3.2% 11/15/2049  | 13533000 | 9355218 |
| Commonwealth Edison Co 3.65% 6/15/2046  | 2272000 | 1773244 |
| Commonwealth Edison Co 3.7% 3/1/2045  | 2462000 | 1958821 |
| Commonwealth Edison Co 3.75% 8/15/2047  | 4885000 | 3815713 |
| Commonwealth Edison Co 4% 3/1/2048  | 5426000 | 4394003 |
| Commonwealth Edison Co 4% 3/1/2049  | 4762000 | 3795819 |
| Connecticut Light and Power Co/The 5.25% 1/15/2053  | 4200000 | 4040554 |
| Consolidated Edison Co of New York Inc 3.875% 6/15/2047  | 2272000 | 1805059 |
| Consolidated Edison Co of New York Inc 4.45% 3/15/2044  | 6356000 | 5622004 |
| Consolidated Edison Co of New York Inc 4.5% 5/15/2058  | 7530000 | 6291566 |
| Consolidated Edison Co of New York Inc 4.65% 12/1/2048  | 8317000 | 7374805 |
| Consolidated Edison Co of New York Inc 5.2% 3/1/2033  | 30000000 | 31439611 |
| Consolidated Edison Co of New York Inc 5.5% 12/1/2039  | 1986000 | 2047975 |
| Consolidated Edison Co of New York Inc 5.5% 3/15/2055  | 3900000 | 3863522 |
| Consolidated Edison Co of New York Inc 5.75% 11/15/2055  | 3300000 | 3375129 |
| Dayton Power & Light Co/The 3.95% 6/15/2049  | 1400000 | 1057057 |
| Dominion Energy South Carolina Inc 5.3% 1/15/2035  | 12850000 | 13413558 |
| DTE Electric Co 1.9% 4/1/2028 (d) | 7800000 | 7460417 |
| DTE Electric Co 3.95% 3/1/2049  | 2900000 | 2343272 |
| DTE Electric Co 5.2% 3/1/2034 (d) | 5700000 | 5932688 |
| DTE Electric Co 5.25% 5/15/2035  | 2000000 | 2071009 |
| DTE Electric Co 5.4% 4/1/2053 (d) | 4690000 | 4661138 |
| DTE Electric Co 5.85% 5/15/2055  | 2200000 | 2312476 |
| Duke Energy Carolinas LLC 2.85% 3/15/2032  | 2417000 | 2220858 |
| Duke Energy Carolinas LLC 2.95% 12/1/2026  | 4766000 | 4727950 |
| Duke Energy Carolinas LLC 3.2% 8/15/2049  | 6345000 | 4406221 |
| Duke Energy Carolinas LLC 3.75% 6/1/2045  | 1589000 | 1270393 |
| Duke Energy Carolinas LLC 3.875% 3/15/2046  | 3097000 | 2500253 |
| Duke Energy Carolinas LLC 4% 9/30/2042  | 2979000 | 2541729 |
| Duke Energy Carolinas LLC 4.95% 1/15/2033 (d) | 8000000 | 8284684 |
| Duke Energy Carolinas LLC 5.4% 1/15/2054  | 4800000 | 4766994 |
| Duke Energy Carolinas LLC 6% 1/15/2038  | 1800000 | 1957621 |
| Duke Energy Corp 2.45% 6/1/2030 (d) | 5220000 | 4841012 |
| Duke Energy Corp 2.65% 9/1/2026  | 10605000 | 10493530 |
| Duke Energy Corp 3.75% 9/1/2046  | 7253000 | 5601349 |
| Duke Energy Corp 4.2% 6/15/2049  | 7520000 | 6041603 |
| Duke Energy Corp 4.5% 8/15/2032  | 1000000 | 1000679 |
| Duke Energy Corp 4.8% 12/15/2045  | 2216000 | 1995718 |
| Duke Energy Corp 4.95% 9/15/2035  | 5400000 | 5397407 |
| Duke Energy Corp 5% 8/15/2052  | 1600000 | 1443642 |
| Duke Energy Corp 5.45% 6/15/2034 (d) | 8340000 | 8737749 |
| Duke Energy Corp 5.7% 9/15/2055  | 2700000 | 2694474 |
| Duke Energy Corp 6.45% 9/1/2054 (c)(d) | 3500000 | 3675655 |
| Duke Energy Florida LLC 3.4% 10/1/2046  | 1986000 | 1477817 |
| Duke Energy Florida LLC 6.2% 11/15/2053  | 4060000 | 4440627 |
| Duke Energy Indiana LLC 5.9% 5/15/2055  | 4850000 | 5073898 |
| Duke Energy Ohio Inc 4.3% 2/1/2049  | 21562000 | 17977045 |
| Duke Energy Progress LLC 3.4% 4/1/2032  | 9666000 | 9179964 |
| Duke Energy Progress LLC 4.15% 12/1/2044  | 1430000 | 1211831 |
| Duke Energy Progress LLC 4.375% 3/30/2044  | 1589000 | 1387653 |
| Duke Energy Progress LLC 5.35% 3/15/2053  | 7000000 | 6833407 |
| Edison International 4.125% 3/15/2028  | 2000000 | 1976740 |
| Edison International 5.45% 6/15/2029  | 8400000 | 8537395 |
| Edison International 5.75% 6/15/2027  | 897000 | 912249 |
| Entergy Arkansas LLC 5.15% 1/15/2033  | 3100000 | 3219751 |
| Entergy Arkansas LLC 5.3% 9/15/2033  | 5730000 | 5994429 |
| Entergy Corp 2.95% 9/1/2026  | 3734000 | 3701090 |
| Entergy Corp 3.75% 6/15/2050  | 3287000 | 2428381 |
| Entergy Corp 7.125% 12/1/2054 (c)(d) | 3300000 | 3470627 |
| Entergy Louisiana LLC 2.35% 6/15/2032  | 18700000 | 16513042 |
| Entergy Louisiana LLC 3.12% 9/1/2027  | 1600000 | 1577786 |
| Entergy Louisiana LLC 4.2% 9/1/2048  | 2526000 | 2080322 |
| Entergy Louisiana LLC 5.8% 3/15/2055  | 4170000 | 4288131 |
| Entergy Mississippi LLC 5.8% 4/15/2055  | 1400000 | 1440216 |
| Entergy Mississippi LLC 5.85% 6/1/2054  | 3120000 | 3217372 |
| Entergy Tex Inc 3.55% 9/30/2049  | 3211000 | 2339593 |
| Entergy Tex Inc 4% 3/30/2029 (d) | 14040000 | 14013249 |
| Entergy Tex Inc 5.25% 4/15/2035  | 3170000 | 3275735 |
| Evergy Inc 6.65% 6/1/2055 (c) | 1650000 | 1680904 |
| Evergy Kansas Central Inc 5.25% 3/15/2035  | 8760000 | 8988078 |
| Evergy Metro Inc 5.125% 8/15/2035  | 1600000 | 1627521 |
| Eversource Energy 2.55% 3/15/2031  | 12735000 | 11509046 |
| Eversource Energy 3.35% 3/15/2026  | 5251000 | 5232972 |
| Eversource Energy 3.45% 1/15/2050  | 3548000 | 2548923 |
| Exelon Corp 4.05% 4/15/2030  | 2000000 | 1984537 |
| Exelon Corp 5.1% 6/15/2045  | 874000 | 821220 |
| Exelon Corp 5.3% 3/15/2033  | 12280000 | 12811399 |
| Exelon Corp 5.875% 3/15/2055  | 8930000 | 9144122 |
| FirstEnergy Corp 1.6% 1/15/2026 (d) | 9970000 | 9928701 |
| FirstEnergy Corp 2.25% 9/1/2030  | 10730000 | 9724824 |
| FirstEnergy Corp 3.4% 3/1/2050  | 2900000 | 2034343 |
| FirstEnergy Corp 3.9% 7/15/2027 (f) | 6752000 | 6716680 |
| FirstEnergy Corp 4.85% 7/15/2047 (f) | 3732000 | 3311826 |
| Florida Power & Light Co 2.45% 2/3/2032 (d) | 2000000 | 1812073 |
| Florida Power & Light Co 3.125% 12/1/2025  | 4051000 | 4051000 |
| Florida Power & Light Co 3.15% 10/1/2049  | 5556000 | 3890328 |
| Florida Power & Light Co 3.8% 12/15/2042  | 8900000 | 7425614 |
| Florida Power & Light Co 4.05% 10/1/2044  | 4304000 | 3611874 |
| Florida Power & Light Co 4.125% 6/1/2048  | 9771000 | 8122101 |
| Florida Power & Light Co 5.1% 4/1/2033 (d) | 7400000 | 7702327 |
| Florida Power & Light Co 5.3% 6/15/2034  | 9012000 | 9480982 |
| Florida Power & Light Co 5.7% 3/15/2055  | 1400000 | 1454548 |
| Georgia Power Co 3.25% 3/30/2027  | 6781000 | 6726335 |
| Georgia Power Co 4.65% 5/16/2028  | 4830000 | 4906746 |
| Georgia Power Co 4.7% 5/15/2032  | 4000000 | 4072714 |
| Georgia Power Co 4.95% 5/17/2033  | 10160000 | 10402726 |
| Georgia Power Co 5.2% 3/15/2035  | 7030000 | 7257519 |
| Georgia Power Co 5.25% 3/15/2034  | 5700000 | 5916454 |
| Georgia Power Co 5.5% 10/1/2055  | 2000000 | 1983373 |
| Indiana Michigan Power Co 3.25% 5/1/2051  | 3867000 | 2636394 |
| Interstate Power and Light Co 2.3% 6/1/2030  | 11051000 | 10153143 |
| Interstate Power and Light Co 5.7% 10/15/2033  | 5100000 | 5397543 |
| IPALCO Enterprises Inc 5.75% 4/1/2034  | 4000000 | 4093380 |
| ITC Holdings Corp 3.35% 11/15/2027  | 2000000 | 1971281 |
| Jersey Central Power & Light Co 4.4% 1/15/2031 (e) | 1000000 | 997520 |
| Jersey Central Power & Light Co 5.1% 1/15/2035  | 2960000 | 3006799 |
| Kentucky Utilities Co 5.85% 8/15/2055  | 3470000 | 3576025 |
| Louisville Gas and Electric Co 5.85% 8/15/2055  | 1970000 | 2023515 |
| MidAmerican Energy Co 3.15% 4/15/2050  | 7100000 | 4913792 |
| Nevada Power Co 3.125% 8/1/2050  | 5300000 | 3534353 |
| NextEra Energy Capital Holdings Inc 1.875% 1/15/2027  | 13726000 | 13397400 |
| NextEra Energy Capital Holdings Inc 1.9% 6/15/2028 (d) | 9666000 | 9190945 |
| NextEra Energy Capital Holdings Inc 2.44% 1/15/2032  | 13630000 | 12143779 |
| NextEra Energy Capital Holdings Inc 5% 7/15/2032 (d) | 8800000 | 9050392 |
| NextEra Energy Capital Holdings Inc 5.05% 2/28/2033  | 9100000 | 9350715 |
| NextEra Energy Capital Holdings Inc 5.9% 3/15/2055  | 4320000 | 4444416 |
| NextEra Energy Capital Holdings Inc 6.75% 6/15/2054 (c) | 7350000 | 7887351 |
| Northern States Power Co/MN 2.6% 6/1/2051  | 6500000 | 4067977 |
| Northern States Power Co/MN 2.9% 3/1/2050  | 9483000 | 6390764 |
| Northern States Power Co/MN 3.4% 8/15/2042  | 1589000 | 1261158 |
| Northern States Power Co/MN 4.125% 5/15/2044  | 3575000 | 3061348 |
| Northern States Power Co/MN 5.05% 5/15/2035  | 4450000 | 4576882 |
| NSTAR Electric Co 3.2% 5/15/2027  | 6076000 | 6011254 |
| NSTAR Electric Co 4.95% 9/15/2052  | 3710000 | 3409235 |
| NSTAR Electric Co 5.2% 3/1/2035  | 9050000 | 9285692 |
| Oglethorpe Power Corp 4.5% 4/1/2047  | 2500000 | 2117712 |
| Oglethorpe Power Corp 5.05% 10/1/2048  | 2000000 | 1821530 |
| Oglethorpe Power Corp 5.8% 6/1/2054  | 4250000 | 4219910 |
| Oncor Electric Delivery Co LLC 3.1% 9/15/2049  | 15204000 | 10335070 |
| Oncor Electric Delivery Co LLC 3.8% 9/30/2047  | 7733000 | 6066288 |
| Oncor Electric Delivery Co LLC 5.35% 4/1/2035 (e) | 7960000 | 8285359 |
| Pacific Gas and Electric Co 3.15% 1/1/2026  | 11599645 | 11584167 |
| Pacific Gas and Electric Co 3.25% 6/1/2031  | 4833000 | 4492119 |
| Pacific Gas and Electric Co 4.2% 3/1/2029 (d) | 1000000 | 995755 |
| Pacific Gas and Electric Co 4.2% 6/1/2041  | 24166000 | 20106021 |
| Pacific Gas and Electric Co 4.55% 7/1/2030 (d) | 30062414 | 29957465 |
| Pacific Gas and Electric Co 4.75% 2/15/2044  | 967000 | 830775 |
| Pacific Gas and Electric Co 5.45% 6/15/2027  | 1100000 | 1116213 |
| Pacific Gas and Electric Co 6% 8/15/2035  | 6250000 | 6602990 |
| Pacific Gas and Electric Co 6.15% 3/1/2055  | 6700000 | 6787405 |
| Pacific Gas and Electric Co 6.4% 6/15/2033 (d) | 15000000 | 16278456 |
| Pacific Gas and Electric Co 6.7% 4/1/2053  | 5910000 | 6346942 |
| PacifiCorp 4.125% 1/15/2049  | 10692000 | 8161273 |
| PacifiCorp 4.15% 2/15/2050  | 2900000 | 2210131 |
| PacifiCorp 5.45% 2/15/2034  | 8250000 | 8430097 |
| PacifiCorp 5.8% 1/15/2055  | 2000000 | 1902594 |
| PacifiCorp 6% 1/15/2039  | 4919000 | 5038967 |
| PECO Energy Co 4.875% 9/15/2035 (d) | 4700000 | 4767927 |
| PECO Energy Co 5.65% 9/15/2055  | 6900000 | 7045230 |
| PG&E Wildfire Recovery Funding LLC 5.081% 6/1/2043  | 1000000 | 998075 |
| PG&E Wildfire Recovery Funding LLC 5.099% 6/1/2054  | 5100000 | 4859962 |
| PG&E Wildfire Recovery Funding LLC 5.212% 12/1/2049  | 11120000 | 10898957 |
| Potomac Electric Power Co 6.5% 11/15/2037  | 3024000 | 3437012 |
| PPL Capital Funding Inc 3.1% 5/15/2026  | 6356000 | 6325661 |
| PPL Electric Utilities Corp 3% 10/1/2049  | 10557000 | 7160939 |
| PPL Electric Utilities Corp 4.15% 10/1/2045  | 2780000 | 2381645 |
| Progress Energy Inc 6% 12/1/2039  | 4131000 | 4413807 |
| Public Service Co of Colorado 3.8% 6/15/2047  | 3678000 | 2861951 |
| Public Service Co of Colorado 4.1% 6/1/2032  | 2000000 | 1969119 |
| Public Service Co of Colorado 4.1% 6/15/2048  | 2000000 | 1619251 |
| Public Service Co of Colorado 5.35% 5/15/2034  | 2800000 | 2904264 |
| Public Service Co of Colorado 5.85% 5/15/2055  | 6370000 | 6559201 |
| Public Service Co of Colorado 6.25% 9/1/2037  | 2000000 | 2209145 |
| Public Service Co of Oklahoma 5.2% 1/15/2035  | 5540000 | 5631277 |
| Public Service Electric and Gas Co 2.45% 1/15/2030 (d) | 8071000 | 7604483 |
| Public Service Electric and Gas Co 3.15% 1/1/2050  | 9135000 | 6359174 |
| Public Service Electric and Gas Co 3.65% 9/1/2042  | 2244000 | 1838470 |
| Public Service Electric and Gas Co 4% 6/1/2044  | 3972000 | 3272618 |
| Public Service Electric and Gas Co 4.9% 8/15/2035  | 4260000 | 4321572 |
| Public Service Electric and Gas Co 5.2% 8/1/2033  | 3300000 | 3443759 |
| Public Service Electric and Gas Co 5.3% 8/1/2054  | 2870000 | 2804820 |
| Public Service Electric and Gas Co 5.5% 3/1/2055  | 1000000 | 1003637 |
| Southern California Edison Co 2.25% 6/1/2030  | 7198000 | 6520648 |
| Southern California Edison Co 2.95% 2/1/2051  | 15950000 | 9946340 |
| Southern California Edison Co 4% 4/1/2047  | 7944000 | 6089120 |
| Southern California Edison Co 4.125% 3/1/2048 (d) | 5606000 | 4355667 |
| Southern California Edison Co 4.875% 3/1/2049 (d) | 8000000 | 6875251 |
| Southern California Edison Co 5.7% 3/1/2053  | 3300000 | 3125573 |
| Southern California Edison Co 5.85% 11/1/2027  | 9900000 | 10165113 |
| Southern Co/The 3.7% 4/30/2030  | 10000000 | 9788514 |
| Southern Co/The 4.4% 7/1/2046  | 5814000 | 4979568 |
| Southern Co/The 6.375% 3/15/2055 (c) | 5650000 | 5981774 |
| Southwestern Electric Power Co 1.65% 3/15/2026  | 10000000 | 9927948 |
| Southwestern Electric Power Co 5.3% 4/1/2033 (d) | 5310000 | 5464967 |
| Tampa Electric Co 4.45% 6/15/2049  | 9306000 | 7923923 |
| Tampa Electric Co 6.15% 5/15/2037  | 4972000 | 5398371 |
| Tucson Electric Power Co 5.2% 9/15/2034  | 6200000 | 6382008 |
| Union Electric Co 3.9% 9/15/2042  | 2940000 | 2448848 |
| Union Electric Co 5.45% 3/15/2053  | 7400000 | 7256730 |
| Virginia Electric and Power Co 3.3% 12/1/2049  | 5800000 | 4080715 |
| Virginia Electric and Power Co 3.8% 4/1/2028  | 11844000 | 11799818 |
| Virginia Electric and Power Co 3.8% 9/15/2047  | 6522000 | 5106345 |
| Virginia Electric and Power Co 4.2% 5/15/2045  | 8383000 | 7097527 |
| Virginia Electric and Power Co 4.45% 2/15/2044  | 2185000 | 1930606 |
| Virginia Electric and Power Co 4.6% 12/1/2048  | 5624000 | 4923689 |
| Virginia Electric and Power Co 4.9% 9/15/2035  | 9000000 | 9017608 |
| Virginia Electric and Power Co 5.05% 8/15/2034  | 2170000 | 2214471 |
| Virginia Electric and Power Co 5.6% 9/15/2055  | 620000 | 616971 |
| Virginia Electric and Power Co 6% 5/15/2037  | 1589000 | 1722268 |
| Washington Natural Gas Co 4.3% 5/20/2045  | 5092000 | 4292594 |
| Washington Natural Gas Co 5.598% 9/15/2055  | 4400000 | 4374250 |
| Wisconsin Electric Power Co 4.25% 6/1/2044  | 3734000 | 3194378 |
| Wisconsin Public Service Corp 4.55% 12/1/2029  | 10274000 | 10471544 |
| Xcel Energy Inc 3.35% 12/1/2026  | 2383000 | 2366520 |
| Xcel Energy Inc 4% 6/15/2028  | 1900000 | 1898410 |
| Xcel Energy Inc 4.6% 6/1/2032  | 11300000 | 11289760 |
|  |  | 1279116343 |
| Gas Utilities - 0.2% |  |  |
| Atmos Energy Corp 1.5% 1/15/2031 (d) | 2000000 | 1755757 |
| Atmos Energy Corp 5.2% 8/15/2035 (d) | 6450000 | 6682591 |
| Atmos Energy Corp 5.45% 1/15/2056  | 2720000 | 2687539 |
| Atmos Energy Corp 5.45% 10/15/2032 (d) | 13820000 | 14683230 |
| Atmos Energy Corp 5.9% 11/15/2033  | 7550000 | 8233345 |
| CenterPoint Energy Resources Corp 4% 4/1/2028 (d) | 7400000 | 7390588 |
| CenterPoint Energy Resources Corp 4.4% 7/1/2032  | 2000000 | 1987119 |
| CenterPoint Energy Resources Corp 5.25% 3/1/2028  | 2400000 | 2461208 |
| CenterPoint Energy Resources Corp 5.4% 7/1/2034  | 5710000 | 5930863 |
| Eastern Energy Gas Holdings LLC 5.8% 1/15/2035  | 7100000 | 7518592 |
| Eastern Energy Gas Holdings LLC 6.2% 1/15/2055  | 7100000 | 7467799 |
| Piedmont Natural Gas Co Inc 3.5% 6/1/2029  | 10000000 | 9814009 |
| Piedmont Natural Gas Co Inc 5.1% 2/15/2035  | 2450000 | 2507300 |
| Southern California Gas Co 2.6% 6/15/2026  | 10509000 | 10428769 |
| Southern California Gas Co 5.05% 9/1/2034  | 8300000 | 8499291 |
| Southern California Gas Co 6.35% 11/15/2052 (d) | 4200000 | 4617104 |
| Southern Co Gas Capital Corp 3.95% 10/1/2046  | 10740000 | 8562555 |
| Southern Co Gas Capital Corp 4.05% 9/15/2028  | 2900000 | 2901838 |
| Southwest Gas Corp 5.45% 3/23/2028  | 6606000 | 6785806 |
| Washington Gas Light Co 3.796% 9/15/2046  | 2400000 | 1876568 |
|  |  | 122791871 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| AES Corp/The 5.8% 3/15/2032  | 3830000 | 3935091 |
| Constellation Energy Generation LLC 5.75% 3/15/2054  | 7400000 | 7427718 |
| Constellation Energy Generation LLC 6.125% 1/15/2034  | 2000000 | 2177393 |
| Constellation Energy Generation LLC 6.25% 10/1/2039  | 2000000 | 2191383 |
| Southern Power Co 4.9% 10/1/2035 (d) | 4317000 | 4289970 |
|  |  | 20021555 |
| Multi-Utilities - 0.4% |  |  |
| Ameren Corp 1.95% 3/15/2027  | 8995000 | 8756654 |
| Ameren Illinois Co 3.8% 5/15/2028  | 1500000 | 1497061 |
| Ameren Illinois Co 4.5% 3/15/2049  | 5993000 | 5197871 |
| Ameren Illinois Co 4.95% 6/1/2033 (d) | 4600000 | 4733997 |
| Ameren Illinois Co 5.55% 7/1/2054  | 2700000 | 2722108 |
| Berkshire Hathaway Energy Co 3.25% 4/15/2028  | 7944000 | 7819498 |
| Berkshire Hathaway Energy Co 3.7% 7/15/2030  | 7954000 | 7827219 |
| Berkshire Hathaway Energy Co 3.8% 7/15/2048  | 7944000 | 6091051 |
| Berkshire Hathaway Energy Co 4.25% 10/15/2050 (d) | 6859000 | 5595025 |
| Berkshire Hathaway Energy Co 4.5% 2/1/2045  | 5282000 | 4647351 |
| Berkshire Hathaway Energy Co 5.15% 11/15/2043 (d) | 6144000 | 5972537 |
| CMS Energy Corp 4.875% 3/1/2044  | 3972000 | 3590669 |
| Consumers Energy Co 2.65% 8/15/2052  | 5707000 | 3649910 |
| Consumers Energy Co 3.5% 8/1/2051  | 2900000 | 2151282 |
| Consumers Energy Co 4.5% 1/15/2031  | 5910000 | 5989912 |
| Consumers Energy Co 4.7% 1/15/2030  | 7660000 | 7846313 |
| Consumers Energy Co 5.05% 5/15/2035  | 6310000 | 6468809 |
| Delmarva Power & Light Co 4% 6/1/2042  | 3177000 | 2682351 |
| Dominion Energy Inc 3.375% 4/1/2030 (d) | 20308000 | 19610923 |
| Dominion Energy Inc 4.35% 8/15/2032  | 2000000 | 1969624 |
| Dominion Energy Inc 4.85% 8/15/2052 (d) | 5000000 | 4375702 |
| Dominion Energy Inc 4.9% 8/1/2041  | 1589000 | 1484408 |
| Dominion Energy Inc 5.45% 3/15/2035  | 1500000 | 1550902 |
| Dominion Energy Inc 6% 2/15/2056 (c) | 4970000 | 5028550 |
| Dominion Energy Inc 6.2% 2/15/2056 (c) | 4560000 | 4605111 |
| Dominion Energy Inc 7% 6/1/2054 (c) | 3700000 | 4026954 |
| DTE Energy Co 2.85% 10/1/2026  | 4766000 | 4718459 |
| DTE Energy Co 3.8% 3/15/2027  | 10732000 | 10641155 |
| DTE Energy Co 4.95% 7/1/2027  | 5690000 | 5759333 |
| DTE Energy Co 5.05% 10/1/2035  | 3000000 | 3009579 |
| DTE Energy Co 5.2% 4/1/2030  | 4410000 | 4560685 |
| NiSource Inc 1.7% 2/15/2031  | 12856000 | 11257904 |
| NiSource Inc 3.49% 5/15/2027  | 6076000 | 6030971 |
| NiSource Inc 3.95% 3/30/2048  | 7944000 | 6335283 |
| NiSource Inc 4.375% 5/15/2047  | 3797000 | 3205736 |
| NiSource Inc 4.8% 2/15/2044  | 4369000 | 3972091 |
| Public Service Enterprise Group Inc 2.45% 11/15/2031 (d) | 5100000 | 4565291 |
| Puget Energy Inc 4.1% 6/15/2030  | 11406000 | 11170167 |
| San Diego Gas & Electric Co 4.5% 8/15/2040  | 795000 | 733482 |
| San Diego Gas & Electric Co 4.95% 8/15/2028  | 2900000 | 2969742 |
| San Diego Gas & Electric Co 5.35% 4/1/2053  | 1300000 | 1250213 |
| San Diego Gas & Electric Co 5.4% 4/15/2035  | 5000000 | 5212682 |
| San Diego Gas & Electric Co 5.55% 4/15/2054  | 6500000 | 6433895 |
| Sempra 3.25% 6/15/2027  | 4846000 | 4774132 |
| Sempra 3.8% 2/1/2038  | 6737000 | 5830165 |
| Sempra 4% 2/1/2048  | 17508000 | 13549344 |
| Sempra 4.125% 4/1/2052 (c)(d) | 3250000 | 3165450 |
| Sempra 6% 10/15/2039  | 795000 | 838761 |
|  |  | 255876312 |
| Water Utilities - 0.0% |  |  |
| American Water Capital Corp 2.8% 5/1/2030 (d) | 2000000 | 1898006 |
| American Water Capital Corp 2.95% 9/1/2027  | 4833000 | 4754698 |
| American Water Capital Corp 3.45% 6/1/2029  | 4833000 | 4746210 |
| American Water Capital Corp 4.45% 6/1/2032  | 12000000 | 12061376 |
| American Water Capital Corp 5.25% 3/1/2035  | 7000000 | 7251850 |
| American Water Capital Corp 6.593% 10/15/2037  | 5173000 | 5919403 |
|  |  | 36631543 |
| TOTAL UTILITIES |  | 1714437624 |
| TOTAL UNITED STATES |  | 15039081834 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $18,822,954,619) |  | <br> **17779174173** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 25.2%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 25.2%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 25.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 25.2%  |  |  |
| Fannie Mae 2% 2/1/2052  | 9265518 | 7707408 |
| Fannie Mae 2% 4/1/2052  | 10586599 | 8776557 |
| Fannie Mae 2.5% 11/1/2031  | 8644 | 8375 |
| Fannie Mae 2.5% 7/1/2050  | 5385889 | 4651150 |
| Fannie Mae 3% 10/1/2031  | 1443364 | 1412649 |
| Fannie Mae 3% 10/1/2046  | 18393 | 16697 |
| Fannie Mae 3% 11/1/2047  | 312123 | 283235 |
| Fannie Mae 3% 2/1/2050  | 168555 | 151796 |
| Fannie Mae 3% 7/1/2050  | 7150 | 6425 |
| Fannie Mae 3.5% 2/1/2045  | 10652861 | 10160808 |
| Fannie Mae 3.5% 4/1/2031  | 546404 | 542314 |
| Fannie Mae 3.5% 8/1/2052  | 816424 | 756065 |
| Fannie Mae 4% 11/1/2055  | 2681636 | 2555684 |
| Fannie Mae 4% 4/1/2050  | 445274 | 429231 |
| Fannie Mae 4.5% 1/1/2055  | 1121500 | 1108501 |
| Fannie Mae 5.5% 1/1/2055  | 20873064 | 21372786 |
| Fannie Mae 5.5% 11/1/2055  | 4000134 | 4053400 |
| Fannie Mae 5.5% 2/1/2055  | 2071435 | 2118438 |
| Fannie Mae 5.5% 4/1/2053  | 918001 | 932950 |
| Fannie Mae 6% 1/1/2055  | 990804 | 1014411 |
| Fannie Mae 6% 12/1/2054  | 6333518 | 6483682 |
| Fannie Mae 6% 6/1/2053  | 1690141 | 1733607 |
| Fannie Mae 6% 7/1/2054  | 2497101 | 2557558 |
| Fannie Mae 6% 7/1/2054  | 1012546 | 1043475 |
| Fannie Mae 6.5% 5/1/2053  | 24312 | 25231 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.54%, 6.285% 11/1/2034 (b)(c) | 1043391 | 1073219 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.626% 11/1/2034 (b)(c) | 69453 | 71742 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  | 4987424 | 4520835 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2037  | 8071160 | 7280767 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2037  | 667002 | 602517 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2037  | 424135 | 384721 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2036  | 7120858 | 6432428 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2036  | 1677904 | 1521455 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2036  | 984268 | 889111 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2036  | 392120 | 354210 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2050  | 126133 | 98283 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2051  | 37060822 | 28785337 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2051  | 696785 | 541197 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2036  | 35699443 | 32248092 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2036  | 17436991 | 15789361 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2036  | 7554929 | 6813201 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2036  | 3441157 | 3120302 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2036  | 3140606 | 2850719 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2036  | 3012237 | 2734198 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2036  | 2761713 | 2504210 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2036  | 994395 | 901677 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2036  | 523073 | 472503 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2036  | 443021 | 400191 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2036  | 131069 | 118398 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2050  | 34876737 | 27176139 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2050  | 23426967 | 18254417 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2051  | 21291164 | 16536960 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 256340 | 233080 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2036  | 7087563 | 6402352 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2036  | 642377 | 579470 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2036  | 336140 | 303012 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2036  | 211591 | 191730 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2036  | 151736 | 137067 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2041  | 7731342 | 6555076 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2050  | 33454615 | 25984377 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2050  | 14389952 | 11176752 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 28775581 | 26083539 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 5073400 | 4598768 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2037  | 11381080 | 10266553 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 13950649 | 12645524 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2037  | 346405 | 312483 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2037  | 312220 | 281645 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2037  | 286117 | 258098 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2051  | 528139 | 410208 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 454485 | 411966 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2037  | 279848 | 252443 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2037  | 328210 | 296069 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 574905 | 446532 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 8/1/2031  | 25428 | 24122 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 8/1/2036  | 1236658 | 1119805 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2035  | 574543 | 522409 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2051  | 4958926 | 3851624 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2051  | 258334 | 200649 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2051  | 24496 | 19026 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2028  | 18224 | 17894 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2031  | 16967 | 16433 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2036  | 42067853 | 39121685 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2036  | 531775 | 494533 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2036  | 507531 | 471987 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2036  | 21967 | 20504 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 103422898 | 84964517 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 137992 | 113277 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 78563 | 64001 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 2861406 | 2332833 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 2559953 | 2095866 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 635008 | 519890 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 599892 | 491139 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2054  | 961372 | 788290 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2026  | 7143 | 7073 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2030  | 205583 | 198277 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2035  | 8319927 | 7752852 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2035  | 517264 | 482008 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2035  | 352374 | 328357 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2035  | 341796 | 318499 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2035  | 307854 | 286871 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2035  | 20564 | 19163 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2036  | 475466 | 441276 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2036  | 217066 | 200983 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2036  | 167590 | 155173 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2036  | 109980 | 101831 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2036  | 46925 | 43390 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 8678259 | 7129409 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 7483927 | 6148235 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 2020167 | 1659618 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 279065 | 227341 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 47088234 | 38610596 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 1755848 | 1439730 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 750530 | 615407 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 154760 | 126897 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 54169 | 44417 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2031  | 114828 | 110908 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2035  | 37167856 | 34634543 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2035  | 22713518 | 21165394 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2035  | 23979 | 22345 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2036  | 14055038 | 13013613 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2036  | 328624 | 304583 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2036  | 113273 | 104915 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2036  | 69685 | 64435 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2038  | 770046 | 712267 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 910714 | 741914 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 93189576 | 76411977 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 91513519 | 75037672 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 2135409 | 1741614 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 2000716 | 1631134 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 64899 | 52910 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 42461 | 34816 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 30322 | 24967 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 20930 | 17162 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 42932895 | 40006645 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 1390662 | 1293269 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 471591 | 437237 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2036  | 3578705 | 3318010 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2036  | 1639408 | 1517422 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2036  | 334855 | 310148 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 72593461 | 59591986 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 28922180 | 23760300 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 16092420 | 13255531 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 568950 | 467051 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 69414847 | 57438197 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 57038120 | 47375161 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 48247062 | 39998030 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 2323685 | 1905335 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 1690560 | 1377215 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 443377 | 365769 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 139830 | 114655 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 90858 | 74500 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 18347 | 15084 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 7952361 | 7395428 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 143905 | 133782 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 58043 | 54087 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 29815 | 27643 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2037  | 11510815 | 10647116 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 305589977 | 250858873 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 33599093 | 27676000 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 2848308 | 2320375 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 717287 | 584338 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 535595 | 436322 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 6556455 | 5400635 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 910907 | 742071 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 765825 | 623880 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 194693 | 158607 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2036  | 38047206 | 35287501 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2036  | 463238 | 430796 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2036  | 426816 | 395857 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2036  | 359209 | 334052 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2036  | 40535 | 37822 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2037  | 19998532 | 18497968 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2037  | 159329 | 147723 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2040  | 63875 | 56785 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 13720585 | 11254655 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 3476625 | 2863741 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 657933 | 535986 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 198937 | 162064 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 4158143 | 3409522 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 1806823 | 1504113 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 989538 | 806127 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 967954 | 792476 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 135024 | 110546 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 90940 | 74454 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 53720 | 43763 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2027  | 1152 | 1137 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2035  | 188705 | 176786 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2036  | 435052 | 403904 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2036  | 351227 | 325751 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 5673746 | 4622118 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 1787250 | 1455984 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 609753 | 500165 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 345037 | 281085 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 182139 | 149119 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 101621 | 83198 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2030  | 59327 | 57395 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2035  | 195336 | 182389 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2035  | 137633 | 128510 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2035  | 28614 | 26717 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2036  | 276097 | 256243 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2036  | 121139 | 112352 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2036  | 42614 | 39762 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2036  | 27328 | 25371 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2037  | 813677 | 752624 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2037  | 795176 | 735511 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2037  | 28783 | 26623 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2051  | 338538103 | 277694410 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2051  | 28163871 | 22943703 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2051  | 11646657 | 9582580 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2051  | 2949746 | 2403012 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2051  | 2929776 | 2386743 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2051  | 995854 | 811273 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2052  | 803053 | 658474 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2030  | 20597 | 19905 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2035  | 166542 | 155503 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2050  | 4606962 | 3793373 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2051  | 10965299 | 8994562 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2051  | 2830008 | 2305467 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2051  | 994583 | 810237 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2052  | 1847662 | 1506353 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2035  | 4371437 | 4081682 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2035  | 1892885 | 1767418 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2035  | 1437724 | 1342426 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2036  | 2156268 | 1993802 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2036  | 25510 | 23635 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 1576375 | 1296510 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 1079812 | 888105 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 2184524 | 1791911 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2028  | 134827 | 131734 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2035  | 4567636 | 4256312 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2035  | 3890517 | 3632639 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2035  | 1347861 | 1258519 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2035  | 348636 | 324874 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2035  | 181146 | 169139 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2036  | 28036 | 25967 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2042  | 5956735 | 5254534 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 497350 | 409052 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 9008085 | 7338439 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 8231601 | 6752178 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 2000002 | 1629302 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 420924 | 342906 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 57625 | 47268 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2035  | 28224468 | 26300725 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2035  | 779395 | 726272 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2035  | 690806 | 643721 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2036  | 816728 | 756467 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2036  | 122683 | 113746 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2050  | 37970668 | 31276921 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2050  | 848734 | 698052 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2051  | 2952648 | 2421062 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2051  | 1000000 | 814650 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2051  | 154755 | 126893 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2028  | 1301271 | 1282859 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2028  | 38253 | 37724 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2028  | 13468 | 13286 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2028  | 9445 | 9316 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2028  | 6232 | 6146 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2028  | 4844 | 4778 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2030  | 26171 | 25580 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2030  | 24250 | 23693 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2031  | 269789 | 262212 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2031  | 256797 | 249785 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2031  | 174958 | 170110 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2031  | 130298 | 126381 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2031  | 81133 | 78854 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2031  | 79198 | 77409 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2031  | 77086 | 74981 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2031  | 71392 | 69442 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2031  | 58120 | 56533 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2031  | 36244 | 35240 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2031  | 29095 | 28311 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2031  | 28110 | 27353 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2031  | 16201 | 15789 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2031  | 13515 | 13300 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2031  | 11836 | 11522 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2031  | 9621 | 9362 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2031  | 8729 | 8491 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2031  | 6952 | 6762 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 1686850 | 1640773 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 1617874 | 1577343 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 393619 | 380620 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 337037 | 325906 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 222842 | 215648 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 36074 | 34922 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 17202 | 16646 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 6857 | 6636 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2033  | 425914 | 409540 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2033  | 266646 | 256781 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2033  | 246567 | 237616 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2035  | 2115795 | 2018630 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2040  | 30511 | 27883 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 32404 | 29055 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2046  | 17313 | 15173 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2047  | 860665 | 753474 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2047  | 275108 | 240845 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2050  | 1481042 | 1278537 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 22883724 | 19690433 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 1578988 | 1362597 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 2914699 | 2482466 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 2474751 | 2107760 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 2433082 | 2099642 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 2135876 | 1842500 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 1961736 | 1670822 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 1946628 | 1657954 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 1341350 | 1164233 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 1061985 | 921756 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 927497 | 789955 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 720463 | 625330 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 493306 | 420152 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 382650 | 325905 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2027  | 61503 | 60697 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2027  | 41709 | 41179 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2027  | 33491 | 33065 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2027  | 18781 | 18542 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2028  | 52583 | 51683 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2029  | 26168 | 25606 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2030  | 63238 | 61560 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2030  | 34669 | 33708 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2030  | 15415 | 15023 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 724278 | 700891 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 444871 | 430344 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 431948 | 418315 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 363336 | 351473 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 141696 | 136966 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 125781 | 121765 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 113286 | 109671 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 110426 | 106903 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 42334 | 40968 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 36828 | 35667 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 23281 | 22538 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 21612 | 20947 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 16743 | 16210 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 8703 | 8415 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 7195 | 6965 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 5971 | 5785 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 2822 | 2726 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2032  | 822947 | 792779 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2034  | 741496 | 707908 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2036  | 20659 | 19312 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2039  | 148128 | 135566 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2039  | 139478 | 131852 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2042  | 66090 | 59402 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2043  | 232408 | 208194 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2050  | 108997812 | 93787800 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2050  | 34698 | 29932 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 74999059 | 64122321 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 3376012 | 2904909 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 1955578 | 1666800 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 1949247 | 1660185 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 186987 | 159258 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 24253 | 20656 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2027  | 132292 | 130510 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2027  | 45753 | 45154 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2027  | 22578 | 22282 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2027  | 10229 | 10099 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2027  | 3079 | 3039 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2029  | 95740 | 93683 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2029  | 53370 | 52388 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2029  | 1758 | 1718 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2030  | 337770 | 333344 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2030  | 71428 | 69639 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2030  | 64307 | 62718 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2030  | 49562 | 48246 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2030  | 35833 | 34922 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2030  | 28537 | 27812 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2030  | 11871 | 11556 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2030  | 5203 | 5063 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2030  | 4862 | 4738 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 331700 | 322643 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 300361 | 290774 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 299561 | 289781 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 117378 | 113633 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 91340 | 88424 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 86624 | 83796 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 51797 | 50122 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 11418 | 11045 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 4723 | 4572 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 180427 | 173760 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 120061 | 115747 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 113662 | 109616 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 36231 | 34968 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 11723 | 11306 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2034  | 2963345 | 2827258 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2035  | 1814719 | 1726844 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2036  | 1564614 | 1479071 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2036  | 97111 | 90587 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2037  | 904722 | 855540 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2037  | 126948 | 120047 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2039  | 270780 | 247863 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2046  | 61538 | 53874 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2049  | 1775674 | 1532883 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2049  | 314294 | 271320 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2049  | 170253 | 146974 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2050  | 449079 | 386413 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2050  | 220153 | 190671 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2050  | 161591 | 139042 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 2301197 | 1959943 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 2217289 | 1900257 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 2162446 | 1841768 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 438049 | 375416 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2026  | 23298 | 23096 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2027  | 35045 | 34573 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2027  | 25424 | 25082 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2027  | 23615 | 23289 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2027  | 15007 | 14805 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2027  | 14576 | 14370 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2027  | 14528 | 14333 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2027  | 10132 | 9988 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2027  | 9953 | 9816 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2027  | 6733 | 6640 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2027  | 4959 | 4891 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2029  | 90728 | 88781 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2029  | 70913 | 69361 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2030  | 379065 | 369703 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2030  | 81491 | 79300 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2030  | 77469 | 75382 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2030  | 75740 | 73699 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2030  | 70435 | 68696 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2030  | 45794 | 44418 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2030  | 25025 | 24342 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2030  | 12261 | 11926 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2030  | 11854 | 11516 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2030  | 10099 | 9827 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2030  | 6919 | 6733 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2030  | 3847 | 3742 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 299377 | 289275 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 154121 | 148973 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 104463 | 100975 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 98897 | 95633 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 81830 | 79007 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 31946 | 30938 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 8252 | 7989 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 2186 | 2113 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 352857 | 339699 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 96210 | 92786 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 66021 | 63718 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 55743 | 53720 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 25142 | 24228 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 13265 | 12752 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2033  | 285660 | 274583 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2040  | 40687 | 36986 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2046  | 156135 | 136689 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2050  | 5655370 | 4866196 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2050  | 86232 | 74441 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2050  | 18103 | 15446 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 72262174 | 62562299 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 68070217 | 58762860 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 58724927 | 50750423 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 3905093 | 3325991 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 2191314 | 1866355 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 1221104 | 1040021 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 1158414 | 986628 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 979567 | 834303 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 732213 | 627520 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 319334 | 271979 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 236395 | 201339 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 25293 | 21542 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 21659 | 18447 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2028  | 292666 | 288277 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2028  | 51775 | 51021 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2028  | 15098 | 14884 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2028  | 7296 | 7195 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2028  | 4662 | 4594 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2028  | 2988 | 2945 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2030  | 37047 | 36210 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2030  | 25967 | 25379 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2030  | 25583 | 25014 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2031  | 545912 | 537252 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2031  | 114479 | 111396 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2031  | 102395 | 99483 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2031  | 84440 | 82165 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2031  | 69969 | 68056 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2031  | 42993 | 41851 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2031  | 22553 | 21946 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2031  | 9631 | 9375 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2031  | 9590 | 9321 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2031  | 7861 | 7643 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2031  | 4966 | 4824 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2032  | 354916 | 343199 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2032  | 247892 | 239614 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2032  | 209767 | 202760 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2032  | 145512 | 140758 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2032  | 97393 | 94138 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2032  | 56444 | 54616 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2033  | 37595 | 35921 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2033  | 16191 | 15562 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 497983 | 475114 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2040  | 11667 | 10660 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2041  | 47197 | 42837 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2043  | 48261 | 43264 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2047  | 148283 | 129816 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2050  | 940691 | 811481 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2051  | 1341195 | 1142304 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2051  | 983035 | 845244 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2051  | 832725 | 709757 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2051  | 121170 | 104186 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 3481874 | 2965533 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 2372042 | 2020282 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 2254682 | 1929485 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 2246012 | 1922066 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 1556687 | 1332163 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 1485094 | 1278786 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 1423330 | 1218041 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 914379 | 778782 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 759115 | 658404 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 750980 | 642665 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 731878 | 629520 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 724760 | 623397 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2027  | 13697 | 13551 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2028  | 38403 | 37859 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2028  | 36586 | 36054 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2028  | 2130 | 2099 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2029  | 143465 | 141585 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2029  | 104881 | 103128 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2030  | 72897 | 71121 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2030  | 2298 | 2246 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2031  | 9216 | 8958 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2031  | 2279 | 2215 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2032  | 3172955 | 3068114 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2032  | 214423 | 207338 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2032  | 67728 | 65566 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2032  | 7872 | 7609 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2033  | 135159 | 130245 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2033  | 29695 | 28586 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2035  | 446448 | 425527 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2037  | 10024933 | 9479967 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2037  | 3624483 | 3427452 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2043  | 213275 | 192087 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2043  | 119261 | 107158 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2043  | 13569 | 12287 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 88983 | 76761 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 64704 | 55816 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2051  | 12324647 | 10604814 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2051  | 4897892 | 4211359 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2051  | 149508 | 128552 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2051  | 38763 | 33039 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2051  | 31550 | 26891 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 10337035 | 8823201 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 2460827 | 2095900 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2027  | 905165 | 895125 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2027  | 5225 | 5173 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2028  | 70004 | 68954 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2028  | 43153 | 42524 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2028  | 18148 | 17876 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2028  | 10281 | 10139 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2028  | 6550 | 6455 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2030  | 282755 | 277044 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2030  | 76312 | 74545 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2030  | 64252 | 62778 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2031  | 341992 | 332395 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2031  | 173763 | 168410 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2031  | 44577 | 43326 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2032  | 247294 | 239122 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2032  | 85484 | 82626 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2032  | 56846 | 54947 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2032  | 17364 | 16778 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  | 9690493 | 9269697 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  | 375940 | 356090 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 525811 | 497720 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2040  | 1840161 | 1678951 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 1573056 | 1412356 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 455916 | 408511 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 147785 | 133525 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 89252 | 79921 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 41326 | 37669 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 29596 | 26562 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2045  | 10135 | 8870 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2046  | 99398 | 87080 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2046  | 47835 | 41908 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2046  | 43043 | 37709 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2046  | 39354 | 34477 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2046  | 19004 | 16655 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2046  | 17791 | 15586 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2046  | 16694 | 14625 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2046  | 10377 | 9091 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2050  | 567340 | 489412 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2050  | 91415 | 78859 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2050  | 29205 | 25193 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 122900384 | 105673535 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 1994080 | 1699615 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 403441 | 343865 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 37605 | 32028 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 3065823 | 2611179 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 907402 | 772840 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 355192 | 302519 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 27048 | 23037 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 21091 | 18043 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2027  | 78206 | 77338 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2027  | 18873 | 18664 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2027  | 10196 | 10083 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2027  | 6174 | 6103 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2027  | 2764 | 2733 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2027  | 1004 | 992 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2028  | 71006 | 69910 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2028  | 44435 | 43730 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2028  | 30269 | 29789 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2028  | 20434 | 20128 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2028  | 19047 | 18753 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2028  | 11711 | 11540 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2028  | 7082 | 6976 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2028  | 6139 | 6036 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2028  | 4411 | 4353 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2029  | 60686 | 59523 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2029  | 21744 | 21293 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2030  | 705871 | 694975 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2030  | 75459 | 73648 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2030  | 7124 | 6955 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 168432 | 163701 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 100794 | 97766 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 84373 | 82003 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 72536 | 70472 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 18585 | 18057 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 17623 | 17094 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2032  | 179799 | 173664 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2032  | 99463 | 96325 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2035  | 995875 | 948273 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2035  | 564734 | 537741 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2040  | 4400018 | 4015356 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2043  | 93608 | 83744 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2046  | 243677 | 213481 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2046  | 88160 | 77263 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2046  | 61791 | 54134 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2046  | 51499 | 45117 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2050  | 4425805 | 3817891 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2050  | 1623965 | 1400903 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2050  | 871845 | 752092 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2050  | 451092 | 389131 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 78544582 | 67535051 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 36551432 | 31542270 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 982643 | 837537 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 300268 | 255740 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 29294 | 25188 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 13320663 | 11416052 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 131514 | 112504 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 53226 | 45333 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2027  | 23960 | 23674 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2027  | 18147 | 17938 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2027  | 3147 | 3109 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2028  | 1004525 | 988594 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2028  | 378488 | 372485 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2028  | 121002 | 119135 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2028  | 103224 | 101630 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2028  | 25515 | 25111 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2028  | 21851 | 21477 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2028  | 21390 | 21060 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2028  | 16273 | 16015 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2028  | 9867 | 9715 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2028  | 9737 | 9583 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2028  | 6599 | 6494 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2028  | 5979 | 5892 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2028  | 4032 | 3968 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2028  | 2897 | 2852 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2028  | 1053 | 1035 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2030  | 50833 | 49577 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2030  | 24507 | 23856 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2030  | 9603 | 9372 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 2547788 | 2470307 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 183916 | 178252 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 160283 | 155339 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 94542 | 91668 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 53133 | 51497 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 51336 | 49915 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 44996 | 43527 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 31290 | 30350 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2032  | 143374 | 138479 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2032  | 96393 | 93315 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2032  | 10803 | 10438 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2035  | 13084776 | 12455253 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2035  | 678448 | 646019 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2036  | 394668 | 374570 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2040  | 6822620 | 6220401 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2040  | 210566 | 191582 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2043  | 8842 | 7945 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2046  | 345540 | 302721 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2046  | 343011 | 297718 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2046  | 130128 | 114003 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2050  | 1198530 | 1033904 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2050  | 401824 | 346254 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2050  | 233422 | 201141 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2050  | 150839 | 130120 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2050  | 32856 | 28343 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2050  | 31308 | 27066 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 908448 | 774298 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 898964 | 766215 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 451630 | 384656 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 225084 | 191705 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2052  | 690123 | 589722 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2053  | 677721 | 579760 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2026  | 11916 | 11840 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2027  | 117832 | 116425 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2027  | 43465 | 42947 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2027  | 14109 | 13940 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2027  | 3326 | 3284 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 235060 | 231330 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 228777 | 225347 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 133449 | 131276 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 128006 | 125975 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 96869 | 95292 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 57408 | 56425 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 50168 | 49330 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 49714 | 48947 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 40170 | 39482 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 31050 | 30545 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 26839 | 26413 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 18333 | 18042 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 16856 | 16588 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 12722 | 12504 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 10112 | 9947 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 8997 | 8842 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 7566 | 7443 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 7484 | 7356 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 5815 | 5730 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 3856 | 3788 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 2387 | 2348 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 2216 | 2181 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 1698 | 1668 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2029  | 68401 | 66881 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2029  | 1144 | 1119 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2030  | 52471 | 51212 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2030  | 8836 | 8624 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2030  | 5383 | 5252 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2030  | 5274 | 5132 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2031  | 229556 | 222573 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2031  | 40171 | 38949 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2031  | 15437 | 14956 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2035  | 7223674 | 6876135 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2035  | 459531 | 437422 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2035  | 409273 | 389582 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2037  | 2262929 | 2139914 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2037  | 1055237 | 1002160 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2037  | 199410 | 188570 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2038  | 359135 | 339500 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2040  | 530345 | 483039 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2045  | 2487330 | 2165888 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2046  | 2332388 | 2043360 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2046  | 1057605 | 926547 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2046  | 308453 | 270230 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 39739312 | 34541641 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 7382082 | 6361183 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 257885 | 222221 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 198494 | 169803 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2051  | 8123263 | 6964323 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2052  | 11835360 | 10080245 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2052  | 2095488 | 1785296 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2052  | 47607 | 40547 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2027  | 26814 | 26483 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2027  | 3964 | 3915 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2027  | 1809 | 1787 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2027  | 824 | 814 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2028  | 84761 | 83345 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2028  | 79371 | 78112 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2028  | 30066 | 29589 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2028  | 22712 | 22323 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2028  | 18507 | 18206 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2028  | 18469 | 18168 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2028  | 14643 | 14405 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2028  | 11015 | 10836 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2028  | 8225 | 8087 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2028  | 5935 | 5836 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2029  | 356546 | 349290 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2029  | 208117 | 203647 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2029  | 166275 | 162580 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2029  | 144336 | 141235 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2029  | 101672 | 99487 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2029  | 24534 | 23997 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2029  | 3872 | 3788 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2029  | 1228 | 1202 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2030  | 54949 | 53553 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2030  | 26089 | 25435 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 724660 | 702612 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 212963 | 206405 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 69339 | 67229 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 62422 | 60477 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 6737 | 6532 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2032  | 261935 | 252706 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2032  | 36943 | 35602 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2032  | 2602 | 2505 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2033  | 183267 | 176232 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2034  | 42577 | 40648 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2035  | 13024537 | 12397912 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2035  | 11816400 | 11247900 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2035  | 1671135 | 1590735 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2036  | 124672 | 118167 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2039  | 21980 | 20155 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2043  | 107171 | 95750 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2043  | 100749 | 89918 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2043  | 80136 | 71487 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2050  | 47545074 | 40969866 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2050  | 18202956 | 15685592 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2050  | 2558114 | 2209138 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2050  | 419243 | 361264 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 10702701 | 9175755 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 41712 | 35604 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 28091 | 23925 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2027  | 41387 | 40860 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2027  | 17237 | 17017 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2027  | 5126 | 5059 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2029  | 898366 | 879069 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2029  | 563308 | 550988 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2029  | 218584 | 213724 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2029  | 206657 | 202292 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2029  | 179501 | 175780 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2029  | 118329 | 115612 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2029  | 101139 | 98854 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2029  | 99564 | 97463 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2029  | 92166 | 90185 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2029  | 78878 | 77242 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2029  | 64435 | 63149 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2029  | 60693 | 59388 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2029  | 11632 | 11365 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2029  | 5215 | 5103 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2031  | 133182 | 128983 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2031  | 90449 | 87978 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2031  | 31007 | 30041 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2031  | 15103 | 14632 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2031  | 4913 | 4760 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2032  | 95190 | 91869 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2032  | 1064 | 1023 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2034  | 461823 | 440903 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2040  | 233817 | 212855 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2042  | 3941032 | 3564568 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2046  | 162062 | 142030 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2050  | 23910967 | 20604219 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2050  | 5065903 | 4358986 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2050  | 2057363 | 1772841 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2050  | 677293 | 582781 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2050  | 420649 | 361950 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2050  | 73428 | 62814 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  | 54128446 | 46896523 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  | 34507323 | 29584191 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  | 1277357 | 1087932 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  | 63974 | 54827 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2052  | 697528 | 596704 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2052  | 474121 | 405738 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2027  | 45406 | 45053 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2027  | 42853 | 42534 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2027  | 12056 | 11963 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2027  | 4534 | 4500 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2027  | 3979 | 3949 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2027  | 1940 | 1926 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2027  | 1448 | 1437 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2027  | 764 | 758 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2029  | 8922 | 8801 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2029  | 2338 | 2306 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2030  | 250792 | 246670 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2030  | 67083 | 65991 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2030  | 50668 | 50067 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2030  | 42759 | 42106 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2030  | 16196 | 15930 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2030  | 8059 | 8006 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2030  | 455 | 453 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2031  | 632266 | 620288 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2031  | 479431 | 470574 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2031  | 26603 | 26112 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2031  | 17021 | 16676 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2031  | 12149 | 11922 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2031  | 10253 | 10061 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2032  | 593141 | 580256 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2032  | 72321 | 70700 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2032  | 5793 | 5668 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2033  | 838276 | 818188 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2033  | 80708 | 78844 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2033  | 72900 | 71169 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 11231338 | 10941999 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2040  | 608711 | 571584 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 1245505 | 1154984 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 565055 | 528820 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 446623 | 413779 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 366263 | 339476 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 297248 | 276354 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 217149 | 202649 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 10143 | 9394 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 7878 | 7299 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2044  | 1760982 | 1629169 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2044  | 69398 | 63672 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2045  | 90542 | 83123 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2045  | 51392 | 47126 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2045  | 50636 | 46800 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2045  | 9696 | 8859 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2046  | 675685 | 616948 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2046  | 399733 | 364985 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2046  | 68774 | 62796 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2046  | 7650 | 6985 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2047  | 3176889 | 2883847 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2047  | 2406600 | 2184611 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2047  | 1680426 | 1525420 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2047  | 1594276 | 1447217 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2047  | 1292707 | 1173465 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2047  | 1058533 | 960892 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2047  | 946564 | 859251 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2047  | 236941 | 215086 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2047  | 149999 | 136163 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2047  | 132666 | 120429 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2047  | 117170 | 106362 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2047  | 55355 | 50405 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2048  | 302966 | 274925 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2048  | 45790 | 41552 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2050  | 9488596 | 8545151 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2050  | 5039715 | 4538619 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2050  | 683737 | 615754 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2050  | 526316 | 473985 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2050  | 98314 | 88539 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2050  | 95016 | 85568 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2050  | 56008 | 50701 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2050  | 51410 | 46379 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2050  | 37758 | 34181 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2050  | 12581 | 11330 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 31050 | 27963 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 16148 | 14502 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 14381 | 12798 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 1221512 | 1095095 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 1201286 | 1076963 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 1065017 | 954796 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 892260 | 799919 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 550553 | 489274 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 348048 | 309309 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 254996 | 228606 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 64139 | 57360 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 45653 | 40572 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2026  | 4226 | 4198 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2026  | 430 | 427 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2027  | 208992 | 206984 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2027  | 42504 | 42093 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2027  | 6323 | 6264 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2029  | 269250 | 264951 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2029  | 22728 | 22380 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2029  | 2574 | 2534 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2030  | 383514 | 376614 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2030  | 130422 | 128104 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2030  | 98965 | 97136 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2030  | 78693 | 77259 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2030  | 70073 | 68828 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2030  | 68769 | 67499 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2030  | 36350 | 35704 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2030  | 29338 | 28817 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2030  | 16646 | 16334 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2030  | 15061 | 14787 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2030  | 3649 | 3582 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2031  | 367438 | 359742 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2031  | 119059 | 116512 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2031  | 22380 | 21877 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2032  | 1151687 | 1124594 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2032  | 118868 | 116096 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2032  | 11676 | 11398 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2033  | 252129 | 245804 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2033  | 98105 | 95332 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2033  | 33153 | 32298 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2034  | 184961 | 179960 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2034  | 16274 | 15865 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2039  | 4542 | 4279 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 377961 | 349398 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 23508 | 22022 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2043  | 981510 | 906781 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2043  | 524738 | 482818 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2043  | 411345 | 379909 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2043  | 388087 | 357152 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2043  | 353215 | 325739 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2043  | 95698 | 88434 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2043  | 89233 | 82441 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2043  | 35489 | 32776 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2043  | 6058 | 5595 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2044  | 13670234 | 12643628 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2044  | 220281 | 200650 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 1263715 | 1147148 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 1163974 | 1056607 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 1050140 | 953273 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 916039 | 831542 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 895196 | 812621 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 654729 | 594336 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 309612 | 281053 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 298130 | 270630 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 197560 | 176497 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 189433 | 171959 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 179630 | 163061 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 158398 | 143787 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 25229 | 22902 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 21113 | 19165 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 20648 | 18744 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 19104 | 17342 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 15388 | 14084 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 5300 | 4811 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2047  | 385260 | 349602 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2048  | 39748 | 36057 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 22161662 | 19958144 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 13148714 | 11919417 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 10157073 | 9197947 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 7160382 | 6448430 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 1293582 | 1164962 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 383754 | 345598 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 208525 | 188378 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 75594 | 68078 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 6569486 | 5875227 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 4774524 | 4243099 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 606199 | 538727 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 19153 | 17141 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2026  | 77178 | 76665 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2026  | 28390 | 28179 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2026  | 20410 | 20258 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2027  | 248088 | 245633 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2027  | 70613 | 69919 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2027  | 16356 | 16198 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2027  | 11332 | 11218 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2029  | 14973 | 14722 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2029  | 5229 | 5144 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2029  | 4464 | 4390 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2029  | 2385 | 2346 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2030  | 140225 | 137567 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2030  | 126979 | 124697 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2030  | 123825 | 121568 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2030  | 81594 | 80125 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2030  | 56943 | 55905 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2030  | 36881 | 36209 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2030  | 32341 | 31760 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2030  | 7946 | 7816 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2030  | 3811 | 3734 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2031  | 57847 | 56617 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2031  | 16738 | 16375 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2031  | 1575 | 1560 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 1240700 | 1211243 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 97174 | 94805 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2033  | 856782 | 836981 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 333727 | 324816 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 966836 | 897727 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 753945 | 697389 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 517473 | 480666 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 223069 | 207679 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 113438 | 105431 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 50428 | 46949 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2043  | 14486 | 13362 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2045  | 95689 | 87325 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 11718259 | 10637346 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 10533499 | 9746544 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 7053470 | 6402845 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 6523774 | 5922009 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 3448470 | 3130377 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 1003486 | 910922 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 792216 | 733665 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 188149 | 170794 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 156944 | 142467 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 145645 | 132210 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 134860 | 122420 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 100425 | 91162 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 17920 | 16267 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 10044 | 9133 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2047  | 523639 | 475174 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2047  | 221262 | 200783 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2047  | 157049 | 142513 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2047  | 73850 | 67154 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2048  | 4919070 | 4463789 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2049  | 1359633 | 1224446 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2049  | 1179206 | 1061958 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2049  | 493818 | 444718 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2049  | 180654 | 162692 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 590288 | 530120 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 364486 | 328246 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 353013 | 318685 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 273147 | 246074 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 18505 | 16619 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 6445239 | 5727856 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 360691 | 322574 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2026  | 21255 | 21097 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2026  | 10595 | 10516 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2026  | 7924 | 7869 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2026  | 5471 | 5432 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2026  | 5025 | 4990 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2026  | 4407 | 4374 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2026  | 3391 | 3367 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2027  | 1493 | 1477 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2027  | 829 | 821 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2028  | 4121 | 4071 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2029  | 425212 | 418527 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2029  | 25697 | 25286 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2029  | 9353 | 9199 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2029  | 6373 | 6276 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2030  | 178140 | 174938 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2030  | 39739 | 39033 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2030  | 34992 | 34338 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2030  | 28545 | 28018 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2030  | 22780 | 22349 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2030  | 14359 | 14098 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2030  | 8375 | 8222 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2030  | 7835 | 7690 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2030  | 7749 | 7606 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2030  | 6037 | 5924 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2030  | 2491 | 2445 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2031  | 125243 | 122592 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2031  | 61032 | 59705 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2031  | 15146 | 14820 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2031  | 13077 | 12827 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2031  | 12949 | 12671 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 199370 | 194253 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 79650 | 77755 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2033  | 562275 | 548062 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2033  | 116686 | 113496 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2033  | 25798 | 25118 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 12791744 | 12462206 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2039  | 60017 | 56544 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 12491550 | 11570120 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 5130891 | 4754599 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 1055729 | 975914 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 723248 | 673945 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 389893 | 361230 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 245846 | 227253 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 220243 | 204007 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 70156 | 65388 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 27416 | 25418 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2043  | 85116 | 78764 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2044  | 603110 | 549363 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2045  | 875810 | 799676 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2045  | 595304 | 543555 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2045  | 504115 | 460292 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  | 8363767 | 7592278 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  | 2330497 | 2115528 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  | 1158538 | 1051672 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  | 730929 | 663507 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  | 709637 | 644179 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  | 339924 | 308569 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  | 201921 | 183295 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  | 188040 | 170695 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  | 176836 | 160524 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  | 157514 | 142984 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  | 53550 | 48610 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  | 28075 | 25485 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  | 23507 | 21338 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  | 18658 | 16937 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  | 7047 | 6397 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2047  | 405630 | 368087 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2047  | 234795 | 213064 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2047  | 52839 | 48048 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 8627951 | 7829397 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 1726630 | 1554953 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 869527 | 783070 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 716777 | 645509 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 525642 | 473378 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 274504 | 247210 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 271904 | 244869 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 1298707 | 1169577 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 129500 | 116219 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 2879974 | 2559421 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 1340608 | 1204379 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 843466 | 749585 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 636512 | 569445 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 29843 | 26727 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2027  | 42332 | 42004 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2027  | 37429 | 37127 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2027  | 21063 | 20900 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2027  | 11562 | 11466 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2027  | 4836 | 4799 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2027  | 3366 | 3338 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2027  | 2792 | 2771 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2027  | 2246 | 2230 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2027  | 430 | 427 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2029  | 824569 | 813687 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2029  | 469269 | 463197 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2030  | 513342 | 504905 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2030  | 258768 | 254616 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2030  | 50541 | 49698 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2030  | 50024 | 49225 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2030  | 27143 | 26713 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2030  | 9801 | 9629 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2030  | 5640 | 5541 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 539177 | 528828 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 152642 | 149928 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 88255 | 86582 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 33117 | 32473 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 31394 | 30806 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 18122 | 17775 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 13812 | 13551 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 9626 | 9444 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 8616 | 8450 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 6854 | 6714 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 3461 | 3395 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 3300 | 3239 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2032  | 339349 | 332163 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2032  | 70220 | 68678 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2032  | 15521 | 15174 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2032  | 8120 | 7942 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2033  | 1180833 | 1152034 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2033  | 635523 | 620572 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2034  | 12298938 | 12001285 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2034  | 395515 | 386375 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2034  | 79712 | 77579 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2034  | 66692 | 64937 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2040  | 4212719 | 3955778 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2040  | 102341 | 96099 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 362933 | 335704 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 164071 | 152048 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 93037 | 86459 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 84489 | 78307 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 9594 | 8858 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2045  | 331553 | 304301 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2045  | 61523 | 56364 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2045  | 51265 | 46804 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2046  | 1246962 | 1138564 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2046  | 416464 | 380261 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2046  | 303633 | 277239 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2046  | 127274 | 116210 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2046  | 74025 | 67591 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 5903161 | 5358643 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 4364143 | 4034870 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 4166986 | 3850009 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 2526136 | 2293121 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 1773520 | 1609927 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 622068 | 575116 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 187788 | 170466 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 93467 | 85109 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2048  | 263728 | 239319 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2048  | 38344 | 34963 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2049  | 159520 | 144507 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 3482427 | 3136172 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 301791 | 271784 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 293671 | 264472 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 154753 | 139366 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 26328 | 23711 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2051  | 4145213 | 3725285 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2051  | 521695 | 468845 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2051  | 48602 | 43618 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 1146273 | 1027643 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 57553 | 51147 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2026  | 703 | 700 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2026  | 201 | 200 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2027  | 102983 | 102152 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2027  | 42494 | 42138 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2027  | 5515 | 5471 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2027  | 2138 | 2120 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2027  | 1210 | 1200 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2028  | 10620 | 10515 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2028  | 4022 | 3978 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2028  | 3671 | 3630 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2029  | 648986 | 639747 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2029  | 32496 | 32058 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2030  | 110341 | 109385 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2030  | 61861 | 60817 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2030  | 5536 | 5465 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2031  | 69343 | 67995 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2031  | 44073 | 43227 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2031  | 29988 | 29427 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2031  | 28291 | 27831 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2031  | 17833 | 17490 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2031  | 16966 | 16614 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2031  | 9529 | 9349 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2031  | 3703 | 3626 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2032  | 922971 | 902067 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2032  | 553000 | 540735 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2032  | 218052 | 213162 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2032  | 115070 | 112516 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2032  | 87984 | 86032 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2032  | 40253 | 39370 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2032  | 17357 | 16968 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2032  | 13579 | 13272 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2032  | 11262 | 11010 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 97988 | 95599 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 42958 | 41927 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2035  | 1351500 | 1313726 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2038  | 381191 | 361873 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2042  | 42534 | 39591 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 171802 | 159061 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 44689 | 41443 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 25076 | 23226 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 21585 | 19961 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 20582 | 19073 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 6176 | 5715 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 5510 | 5093 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2046  | 358823 | 327631 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2046  | 298089 | 272176 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2046  | 270404 | 246898 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2046  | 92592 | 84543 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2046  | 52051 | 47526 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2046  | 49534 | 45228 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2046  | 29957 | 27353 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2047  | 393459 | 357166 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2047  | 296584 | 271266 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2047  | 172345 | 156448 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2047  | 145133 | 131745 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2048  | 782342 | 709933 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2048  | 542818 | 492578 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2048  | 391503 | 355268 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2048  | 15570 | 14158 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 63857342 | 57807383 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 23057189 | 20872710 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 22550115 | 20413676 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 4143077 | 3750554 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 3841989 | 3477992 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 3380399 | 3058022 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 2958585 | 2676435 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 792609 | 713800 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 567026 | 509637 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 263516 | 237315 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 153933 | 138627 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 32065 | 28877 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 27123 | 24468 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 22411 | 20183 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 18979 | 17092 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 9599 | 8645 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2051  | 221265 | 199334 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 14480001 | 12936189 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 3308988 | 2940683 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 995821 | 884982 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 186021 | 165316 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2053  | 44674 | 39841 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2027  | 129369 | 128286 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2027  | 54328 | 53890 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2027  | 32074 | 31806 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2027  | 30197 | 29936 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2027  | 8998 | 8923 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2027  | 5762 | 5714 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2027  | 5486 | 5440 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2027  | 5423 | 5378 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2027  | 4523 | 4487 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2027  | 1663 | 1649 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2029  | 46454 | 45809 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2029  | 25620 | 25295 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2029  | 20573 | 20274 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2029  | 10010 | 9868 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2030  | 226577 | 222753 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2030  | 12082 | 11878 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2030  | 6465 | 6361 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2030  | 4809 | 4733 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2030  | 4195 | 4128 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2030  | 1880 | 1850 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2031  | 253636 | 248556 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2031  | 152713 | 149516 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2031  | 139818 | 137098 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2031  | 30546 | 29953 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2031  | 11676 | 11474 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2031  | 5452 | 5348 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2031  | 3644 | 3574 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2032  | 177263 | 173291 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2032  | 172561 | 168731 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2032  | 9686 | 9466 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2033  | 348096 | 339528 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2033  | 8878 | 8683 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2034  | 2112 | 2060 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2039  | 112165 | 106060 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2040  | 36834 | 34576 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2042  | 4266303 | 3966312 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2042  | 15388 | 14370 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 1368615 | 1265509 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 518304 | 479421 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 388288 | 359167 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 174568 | 161598 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 107287 | 98748 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 73529 | 68292 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 69465 | 64274 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 51875 | 48136 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 39168 | 36062 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 18138 | 16775 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 11070 | 10248 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2045  | 2573349 | 2360605 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2045  | 134401 | 123478 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2045  | 85568 | 78542 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2045  | 61858 | 56796 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2045  | 12163 | 11161 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2045  | 11827 | 10860 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2045  | 9312 | 8550 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 281390 | 256225 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 198223 | 180496 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 125480 | 114258 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 102452 | 93290 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 98593 | 89807 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 89161 | 81187 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 87249 | 79446 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 79639 | 72517 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 63904 | 58189 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 27672 | 25266 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 13314 | 12123 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 2862 | 2613 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2047  | 1210436 | 1117100 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2047  | 158179 | 143588 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2048  | 5920416 | 5477589 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2048  | 5520492 | 5115087 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2048  | 1162181 | 1054616 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2048  | 1063549 | 965113 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2048  | 59257 | 53773 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2048  | 48445 | 43961 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2049  | 94496 | 85366 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2049  | 33050 | 29857 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 10733198 | 9716315 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 8168347 | 7356174 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 1610808 | 1432525 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 783642 | 705725 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 133983 | 120662 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 106511 | 95921 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 10394 | 9377 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 1099567 | 980616 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 1092446 | 970852 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2026  | 495 | 493 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2027  | 23412 | 23210 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2027  | 16280 | 16139 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2027  | 15754 | 15618 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2027  | 13914 | 13789 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2027  | 12354 | 12247 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2027  | 11811 | 11712 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2027  | 7952 | 7883 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2027  | 7592 | 7527 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2027  | 3556 | 3524 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2027  | 2904 | 2878 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2027  | 1632 | 1617 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2027  | 1361 | 1350 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2027  | 565 | 560 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2027  | 138 | 137 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2030  | 13223 | 13007 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2031  | 680697 | 667226 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2031  | 319605 | 313540 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2031  | 75976 | 74433 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2031  | 27782 | 27248 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2031  | 18603 | 18276 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2031  | 3052 | 2991 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2032  | 251797 | 246097 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2032  | 140429 | 137283 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2032  | 115351 | 112738 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2032  | 103034 | 100700 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2032  | 56201 | 54967 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2034  | 324127 | 316182 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2034  | 11374 | 11096 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2035  | 491931 | 478182 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2040  | 31694118 | 30295875 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 9691632 | 8965833 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 3366238 | 3108319 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 1956819 | 1810112 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 1764024 | 1628235 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 1665571 | 1542494 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 1143756 | 1055747 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 1085638 | 1004251 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 339892 | 314408 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 119950 | 110877 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 95891 | 88637 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 87782 | 81185 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 79052 | 73077 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 72312 | 66760 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 36993 | 34213 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 31344 | 28966 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 8112 | 7539 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 5646 | 5227 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 5104 | 4738 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 868733 | 796205 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 622927 | 567219 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 605956 | 551765 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 257923 | 234857 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 139090 | 126651 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 111189 | 101245 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 90611 | 82508 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 72871 | 66354 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 38105 | 34697 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 17217 | 15677 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 16912 | 15399 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 13758 | 12527 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 11567 | 10533 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 4814 | 4384 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 3120 | 2841 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2047  | 71500 | 64905 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2048  | 132658 | 120380 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2049  | 67658 | 61121 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2049  | 44129 | 39865 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 1454455 | 1310294 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 1328935 | 1197215 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 1005953 | 905932 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 681707 | 612647 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 250487 | 225112 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 148572 | 133800 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 119207 | 107131 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2051  | 1984167 | 1784402 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2052  | 55361247 | 49701013 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2052  | 38154037 | 33919252 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2052  | 5707372 | 5072117 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2052  | 72091 | 64292 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2052  | 24017 | 21379 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2027  | 119897 | 118826 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2027  | 92965 | 92160 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2027  | 16089 | 15950 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2027  | 6368 | 6311 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2027  | 3896 | 3860 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2027  | 781 | 774 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2028  | 44877 | 44488 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2029  | 274473 | 270666 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2029  | 145591 | 143444 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2029  | 112718 | 111114 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2029  | 53941 | 53166 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2029  | 21782 | 21466 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2029  | 11495 | 11330 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2029  | 10724 | 10568 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2029  | 2368 | 2334 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2030  | 408753 | 401674 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2030  | 370740 | 364483 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2030  | 59133 | 58108 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2030  | 30332 | 29813 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2030  | 17598 | 17285 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2030  | 16999 | 16704 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2030  | 8430 | 8274 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2031  | 541399 | 530679 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2031  | 52412 | 51345 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2031  | 6609 | 6470 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2032  | 32973 | 32205 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2032  | 19408 | 18943 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2032  | 11945 | 11675 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2033  | 57416 | 56040 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2033  | 56877 | 55440 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2033  | 24199 | 23560 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2034  | 125365 | 122292 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2034  | 10796 | 10531 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2035  | 1902637 | 1851838 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2042  | 1992416 | 1848447 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 7198396 | 6662968 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 1609385 | 1488777 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 1391034 | 1284792 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 723792 | 668942 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 414839 | 383353 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 323355 | 299045 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 272864 | 254225 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 259878 | 240246 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 223281 | 206287 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 209254 | 193422 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 193484 | 179810 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 179754 | 165955 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 147847 | 136702 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 118325 | 109239 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 61058 | 56477 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 60455 | 55874 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 44515 | 40921 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 41844 | 38713 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 39104 | 36174 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 37713 | 34869 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 37327 | 34539 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 31499 | 29040 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 22596 | 20985 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 17976 | 16815 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 11832 | 10947 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 7656 | 7071 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 5246 | 4855 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 4605 | 4232 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2045  | 634500 | 581246 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2045  | 383410 | 351205 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2046  | 1218375 | 1109417 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2046  | 6440 | 5872 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2047  | 217776 | 197688 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2047  | 139280 | 126738 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2048  | 3692736 | 3350957 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2049  | 775186 | 700290 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2049  | 59533 | 53781 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2050  | 4455918 | 4012869 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2050  | 465312 | 418174 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2050  | 61504 | 55274 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2050  | 34647 | 31137 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2050  | 9750 | 8763 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 1112540 | 988710 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 70155 | 62390 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2052  | 4912113 | 4365374 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2052  | 262740 | 233496 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2026  | 1044 | 1038 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2027  | 72044 | 71441 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2027  | 65236 | 64690 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2027  | 2926 | 2903 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2027  | 267 | 265 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2029  | 241595 | 238091 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2029  | 190133 | 187330 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2029  | 108623 | 107048 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2029  | 105582 | 103972 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2029  | 59471 | 58579 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2029  | 31859 | 31389 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2029  | 14918 | 14698 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2029  | 14743 | 14533 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2029  | 13604 | 13400 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2029  | 8520 | 8387 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2029  | 5965 | 5873 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2029  | 4943 | 4872 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2030  | 122872 | 120766 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2030  | 110362 | 108451 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2030  | 95013 | 93405 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2030  | 47384 | 46532 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2030  | 43114 | 42358 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2030  | 30081 | 29560 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2030  | 16798 | 16507 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2030  | 12225 | 12021 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2031  | 29221 | 28579 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2031  | 13576 | 13289 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2032  | 1158178 | 1131696 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2032  | 171354 | 167472 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2032  | 19148 | 18697 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2032  | 5072 | 4955 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2033  | 265178 | 258292 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2033  | 43149 | 42048 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2035  | 1981804 | 1931988 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2039  | 2351924 | 2220970 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 6789878 | 6275544 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 1010566 | 934008 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 1002174 | 927317 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 887301 | 820131 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 722449 | 667019 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 706252 | 653258 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 692634 | 640167 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 593035 | 548332 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 429406 | 396447 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 334809 | 310227 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 216299 | 200371 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 200127 | 184866 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 196138 | 181077 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 113888 | 105206 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 86428 | 79903 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 81382 | 75304 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 74110 | 68464 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 72393 | 66814 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 69128 | 63559 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 67388 | 62055 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 65164 | 59942 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 62442 | 57772 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 55715 | 51461 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 45369 | 41922 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 42666 | 39507 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 21537 | 19913 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 16996 | 15715 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 16918 | 15572 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 12801 | 11810 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2045  | 95262 | 87247 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2045  | 7192 | 6585 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 2621753 | 2421951 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 208423 | 189783 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 140389 | 127834 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 129763 | 118158 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2047  | 873152 | 792611 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2047  | 719332 | 652979 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2047  | 464683 | 421820 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2047  | 182204 | 165340 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2047  | 21638 | 19635 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2049  | 1141839 | 1031518 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2049  | 789340 | 713076 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2049  | 519169 | 469008 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2049  | 323223 | 291994 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 47419088 | 42615331 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 42395371 | 38484745 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 1138485 | 1025642 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 819280 | 736283 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 284736 | 255891 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 27095 | 24401 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2051  | 615015 | 550789 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2051  | 60956 | 54819 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2051  | 22385 | 20124 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2052  | 189619 | 169047 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2053  | 321375 | 286508 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2026  | 17304 | 17203 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2027  | 20634 | 20444 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2027  | 9006 | 8917 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2027  | 3048 | 3021 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2027  | 2006 | 1987 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2027  | 1682 | 1666 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2027  | 1090 | 1081 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2029  | 290411 | 286201 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2029  | 278325 | 274085 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2029  | 98837 | 97306 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2029  | 93794 | 92434 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2029  | 81043 | 79750 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2029  | 76627 | 75459 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2029  | 71623 | 70480 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2029  | 43881 | 43250 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2029  | 24547 | 24184 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2029  | 17723 | 17463 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2029  | 15282 | 15060 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2029  | 9572 | 9430 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2029  | 9401 | 9263 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2029  | 7690 | 7573 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2029  | 1269 | 1251 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2030  | 56460 | 55457 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2030  | 36051 | 35393 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2031  | 145892 | 142820 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2031  | 2935 | 2900 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2032  | 4665596 | 4557908 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2032  | 274637 | 268825 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2032  | 179293 | 174959 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2032  | 8606 | 8399 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2033  | 274153 | 267084 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2033  | 98696 | 96051 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2033  | 64073 | 62374 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2033  | 1595 | 1557 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2037  | 3102848 | 2991885 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2039  | 278880 | 263353 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 1899010 | 1755138 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 888707 | 820287 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 394057 | 364620 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 366298 | 338309 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 270406 | 249770 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 243283 | 224863 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 239691 | 221344 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 225710 | 208265 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 148162 | 136673 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 134144 | 123860 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 112731 | 104117 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 108556 | 100733 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 108302 | 100098 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 90234 | 82919 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 85214 | 78704 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 78966 | 73334 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 73571 | 67747 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 32871 | 30230 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 30462 | 28168 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 26253 | 24228 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 9691 | 8990 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 8738 | 8035 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2044  | 808981 | 736887 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 9105962 | 8325766 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2046  | 290962 | 266397 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2046  | 249340 | 227042 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2046  | 224766 | 204666 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2046  | 142832 | 130058 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2046  | 69248 | 63055 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 1003599 | 906634 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 395841 | 357596 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2050  | 2698464 | 2431001 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2050  | 450174 | 404288 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2050  | 397503 | 356986 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2050  | 396010 | 355645 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 1882864 | 1686238 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 207041 | 186455 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2052  | 59764 | 53280 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2027  | 19304 | 19117 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2027  | 14424 | 14288 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2027  | 12718 | 12612 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2027  | 12423 | 12298 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2027  | 10339 | 10250 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2027  | 4943 | 4894 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2027  | 4791 | 4746 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2027  | 4176 | 4135 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2029  | 52341 | 51570 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2029  | 46118 | 45404 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2029  | 23239 | 22868 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2029  | 10949 | 10786 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2029  | 9893 | 9744 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2029  | 2383 | 2347 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2030  | 335006 | 329057 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2030  | 58926 | 57879 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2030  | 56141 | 55130 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2030  | 55202 | 54221 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2030  | 35183 | 34572 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2030  | 33381 | 32795 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2030  | 22603 | 22196 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2030  | 6888 | 6769 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2030  | 6813 | 6694 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2030  | 3909 | 3839 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2031  | 19388 | 18989 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 658944 | 646931 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 639709 | 624803 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 201271 | 196229 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 180868 | 176489 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 160402 | 156386 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 97394 | 95001 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 97029 | 94743 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 61144 | 59653 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 49195 | 48049 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2033  | 391511 | 381132 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2033  | 371526 | 362199 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2033  | 317352 | 309174 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2033  | 18024 | 17563 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2038  | 22868 | 21688 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2042  | 110536 | 103013 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 3718030 | 3438765 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 2915955 | 2693966 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 485389 | 449085 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 292251 | 269989 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 133780 | 123638 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 104111 | 96202 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 42848 | 39389 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 29938 | 27589 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 13960 | 12822 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2045  | 44362 | 40692 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 18412796 | 16852463 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 3442405 | 3134553 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 2578109 | 2384503 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 336922 | 306791 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 257556 | 234523 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 180850 | 164168 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 146327 | 133241 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 24815 | 22596 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 14466 | 13132 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 13829 | 12554 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 3997 | 3640 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2047  | 1714347 | 1555677 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2047  | 363712 | 330049 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2047  | 15817 | 14447 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2047  | 14788 | 13419 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2048  | 561407 | 509621 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2048  | 108934 | 98784 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  | 10703651 | 9702948 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  | 2595758 | 2337663 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  | 513099 | 462082 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  | 354325 | 319094 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  | 126184 | 113637 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  | 70845 | 63801 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2050  | 2059187 | 1855087 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2050  | 142583 | 128451 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2050  | 120838 | 108824 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2051  | 1424210 | 1277706 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2051  | 1225822 | 1097811 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2051  | 190154 | 170059 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2051  | 57007 | 50662 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2026  | 1559 | 1555 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2026  | 986 | 983 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2026  | 662 | 660 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2026  | 278 | 277 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2026  | 266 | 265 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2026  | 124 | 123 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2026  | 114 | 114 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2026  | 105 | 105 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2026  | 91 | 90 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2026  | 53 | 52 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2026  | 50 | 49 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2026  | 27 | 26 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2026  | 21 | 20 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2026  | 6 | 5 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2027  | 75 | 73 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2028  | 7395 | 7358 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2028  | 37 | 36 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2029  | 662 | 658 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2031  | 44357 | 43964 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2031  | 3527 | 3494 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2033  | 28475 | 28115 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2034  | 487551 | 480612 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2034  | 102416 | 100958 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2035  | 1624148 | 1597985 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2035  | 12518 | 12316 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2042  | 42641 | 40574 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2042  | 8472 | 8085 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 4326978 | 4126668 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 730846 | 695263 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 310921 | 295961 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 288763 | 275040 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 222348 | 213193 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 112925 | 107695 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 100075 | 95206 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 98833 | 93815 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 41258 | 39263 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 23904 | 22845 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 19035 | 18120 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 9319 | 8899 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 6515 | 6208 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2044  | 330641 | 315460 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2045  | 4234274 | 4008196 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2045  | 3620811 | 3422049 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2045  | 222544 | 210369 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2045  | 166831 | 158339 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2045  | 160988 | 152182 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2045  | 121653 | 114749 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2045  | 104615 | 98838 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2045  | 59315 | 56079 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2045  | 57096 | 53958 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2045  | 31561 | 29751 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2045  | 10149 | 9586 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  | 1003518 | 946576 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  | 985753 | 929819 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  | 561828 | 529949 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  | 547503 | 516436 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  | 475399 | 448423 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  | 217287 | 204957 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  | 86814 | 81888 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  | 44607 | 42076 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  | 23554 | 22217 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  | 22628 | 21344 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  | 11450 | 10800 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  | 9905 | 9343 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 3546773 | 3335542 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 111582 | 104937 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 14989 | 14096 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 2779303 | 2609437 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 1156758 | 1086059 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 345789 | 324655 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 148082 | 139032 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 35610 | 33434 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2050  | 92607 | 86658 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 223453 | 208120 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2026  | 18951 | 18863 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2026  | 3041 | 3026 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2026  | 1603 | 1595 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2026  | 362 | 360 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2026  | 170 | 170 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2027  | 36861 | 36643 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2028  | 277986 | 276171 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2028  | 2311 | 2295 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2028  | 1996 | 1982 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2028  | 170 | 168 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2030  | 23944 | 23735 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2030  | 12539 | 12432 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2033  | 78728 | 77706 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2033  | 67479 | 66603 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2033  | 37015 | 36535 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2033  | 24707 | 24355 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2040  | 8762 | 8404 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 2124903 | 2025749 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 1018381 | 972482 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 618473 | 589602 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 581130 | 553348 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 431353 | 409404 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 109518 | 104461 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 83343 | 79131 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 47801 | 45659 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 34890 | 33219 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 30823 | 29418 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2043  | 1859727 | 1765142 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2043  | 174773 | 165198 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2043  | 146792 | 139311 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2043  | 94307 | 89265 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2043  | 57154 | 54256 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2043  | 34331 | 32443 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2043  | 21067 | 19999 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2043  | 9652 | 9129 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 3588218 | 3384585 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 1980373 | 1867019 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 520551 | 490703 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 226543 | 216539 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 12132 | 11396 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 4691 | 4424 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2046  | 1279310 | 1203120 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2046  | 392825 | 369430 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2046  | 61733 | 58153 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 673931 | 633163 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 98975 | 92988 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 57659 | 54171 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 27244 | 25664 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2048  | 283205 | 266427 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2049  | 10868795 | 10258859 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2049  | 162440 | 152004 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2053  | 258182 | 238933 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2026  | 4919 | 4895 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2026  | 2604 | 2591 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2026  | 672 | 669 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2026  | 202 | 201 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2027  | 56409 | 56076 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2028  | 3019 | 2999 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2028  | 2886 | 2868 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2029  | 17850 | 17723 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2031  | 4467 | 4434 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2031  | 1894 | 1880 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2032  | 3427 | 3387 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2033  | 176750 | 174235 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2033  | 7531 | 7424 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2037  | 1431710 | 1397462 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2041  | 878482 | 838118 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 227901 | 217036 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 187648 | 178711 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 163520 | 155910 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 96477 | 92000 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 64887 | 61813 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 47462 | 45291 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2043  | 690794 | 658324 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2043  | 578272 | 551706 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2043  | 7146 | 6785 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 14504263 | 13667684 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 3134291 | 2954927 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 3008110 | 2837870 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 2562204 | 2417030 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 2399358 | 2262358 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 2227230 | 2100051 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 115852 | 109278 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 60684 | 57177 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 13075 | 12324 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2046  | 1634096 | 1536777 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2046  | 200097 | 188181 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2046  | 12226 | 11498 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2047  | 5906097 | 5548819 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2047  | 890520 | 836650 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2047  | 887182 | 832959 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2047  | 120342 | 112987 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2047  | 55038 | 51675 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2048  | 1905326 | 1787686 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2048  | 685422 | 643530 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 1951693 | 1818991 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 600767 | 555976 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2025  | 223 | 222 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2025  | 195 | 194 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2025  | 161 | 161 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2025  | 81 | 80 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2025  | 76 | 75 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2025  | 67 | 65 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2025  | 35 | 34 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2025  | 12 | 11 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2026  | 119764 | 119168 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2026  | 36746 | 36557 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2026  | 1773 | 1764 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2026  | 398 | 396 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2029  | 34324 | 34070 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2029  | 15208 | 15079 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2029  | 14194 | 14086 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2029  | 1812 | 1799 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2030  | 3465 | 3433 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2033  | 53069 | 52314 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2033  | 4360 | 4298 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2034  | 328335 | 323046 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2040  | 6965 | 6672 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2041  | 6464301 | 6180945 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2041  | 2640472 | 2522608 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 1113725 | 1062720 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 616776 | 585384 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 291484 | 278289 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 277202 | 263335 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 252633 | 239955 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 166626 | 157912 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 122387 | 116816 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 122180 | 116225 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 77959 | 74014 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 55818 | 53553 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 37080 | 35271 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 23903 | 23002 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 19656 | 18700 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 3811 | 3618 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2044  | 131394 | 124278 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2045  | 1895755 | 1787300 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2045  | 343174 | 323701 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2045  | 196828 | 185659 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2045  | 87593 | 82622 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2045  | 40393 | 38101 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2045  | 37233 | 35120 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2045  | 30329 | 28608 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2045  | 5663 | 5342 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 2028047 | 1931798 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 1106892 | 1040970 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 806663 | 758621 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 650271 | 611544 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 336076 | 316061 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 208773 | 196666 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 104556 | 98329 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2047  | 8983536 | 8440094 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2047  | 2023033 | 1902550 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2047  | 276227 | 259345 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2048  | 124644 | 116909 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2051  | 729397 | 677751 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2026  | 4817 | 4802 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2026  | 304 | 303 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2026  | 258 | 257 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2026  | 141 | 141 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2026  | 71 | 70 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2027  | 12876 | 12808 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2027  | 1723 | 1714 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2029  | 251183 | 249455 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2029  | 30754 | 30532 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2029  | 1971 | 1957 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2029  | 353 | 351 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2031  | 32410 | 32181 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2031  | 15671 | 15512 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2031  | 5220 | 5187 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2032  | 9149 | 9056 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2033  | 10902 | 10764 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2033  | 6402 | 6321 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2034  | 240729 | 237302 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2034  | 80873 | 79849 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2035  | 1966910 | 1937685 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2041  | 9683 | 9288 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2041  | 3661 | 3517 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2042  | 82000 | 78209 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 836854 | 795533 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 811680 | 773914 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 594163 | 566939 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 469231 | 446231 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 290640 | 275351 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 270513 | 256394 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 175457 | 167824 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 93622 | 89376 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 92840 | 88010 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 87393 | 83215 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 66301 | 62869 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2045  | 1734126 | 1637855 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2045  | 209017 | 197338 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2045  | 179583 | 169452 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2045  | 171452 | 162057 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2045  | 65629 | 61918 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2045  | 41604 | 39299 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2045  | 25993 | 24520 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  | 1317712 | 1242941 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  | 198449 | 187189 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  | 162532 | 153309 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  | 104019 | 98117 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  | 37347 | 35239 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  | 32410 | 30571 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  | 19072 | 17990 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  | 10905 | 10286 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2047  | 272210 | 255998 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2047  | 205095 | 192880 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2047  | 142110 | 133646 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2047  | 9195 | 8648 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2048  | 1871727 | 1757331 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2048  | 353674 | 332058 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2048  | 81639 | 76649 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2048  | 65658 | 61645 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2048  | 32437 | 30455 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 766523 | 709374 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2026  | 3242 | 3231 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2026  | 1902 | 1895 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2026  | 841 | 838 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2026  | 624 | 622 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2026  | 453 | 451 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2026  | 64 | 62 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2027  | 67577 | 67221 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2027  | 1392 | 1385 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2027  | 912 | 907 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2028  | 29073 | 28902 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2029  | 1432532 | 1422444 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2029  | 44163 | 43855 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2029  | 21485 | 21345 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2029  | 12344 | 12258 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2029  | 5658 | 5619 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2030  | 44698 | 44314 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2031  | 64887 | 64290 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2033  | 184153 | 181820 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2034  | 151990 | 149827 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2034  | 35923 | 35389 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2035  | 446393 | 440597 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2035  | 67782 | 66648 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 2454744 | 2335829 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 109898 | 104672 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 91313 | 86740 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2045  | 369210 | 348282 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2045  | 39488 | 37343 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2045  | 9831 | 9287 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2046  | 24407829 | 23250051 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2046  | 3188898 | 3039273 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2046  | 24677 | 23277 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2046  | 16031 | 15121 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2046  | 2603 | 2455 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2048  | 234751 | 220403 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2050  | 20661 | 19457 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 1010267 | 934946 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 99147 | 91755 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 69090 | 64133 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2026  | 4342 | 4329 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2026  | 2386 | 2378 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2026  | 378 | 377 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2027  | 11484 | 11421 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2027  | 7682 | 7639 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2027  | 3559 | 3543 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2027  | 1320 | 1313 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2028  | 8671 | 8619 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2028  | 3121 | 3103 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2029  | 399288 | 396509 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2029  | 15836 | 15719 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2029  | 4914 | 4880 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2030  | 6495 | 6445 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2031  | 53084 | 52541 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2031  | 48257 | 47809 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2031  | 43564 | 43160 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2031  | 4708 | 4665 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2033  | 27990 | 27635 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2033  | 5643 | 5572 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2033  | 4756 | 4695 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2034  | 289286 | 284988 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2034  | 142262 | 140148 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2039  | 289259 | 280890 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 486589 | 464121 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 237480 | 226903 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 183712 | 175276 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 175374 | 167632 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 108581 | 103420 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 64168 | 61065 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 439242 | 418926 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 402052 | 382488 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 132252 | 126484 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 115011 | 109446 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 56325 | 53382 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 25979 | 24702 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2045  | 269400 | 254458 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2045  | 133282 | 125886 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2045  | 73693 | 69746 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2045  | 59271 | 55931 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2045  | 56000 | 52864 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2045  | 11179 | 10548 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 3097493 | 2926572 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 266365 | 251251 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 192885 | 181699 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 105849 | 99843 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 102010 | 96221 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 86189 | 81298 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 71518 | 67460 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 43154 | 40706 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 20031 | 18895 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 15710 | 14818 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2047  | 2393768 | 2243426 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2047  | 485573 | 456503 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2047  | 130920 | 123082 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2047  | 90253 | 84850 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2049  | 6944 | 6509 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052  | 1156577 | 1070348 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052  | 1122716 | 1039011 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052  | 1076491 | 996232 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052  | 909044 | 841269 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052  | 254228 | 235274 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052  | 162797 | 150659 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052  | 150919 | 139761 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052  | 132600 | 123128 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2026  | 90 | 89 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2027  | 97697 | 97183 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2027  | 64551 | 64219 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2027  | 8094 | 8049 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2028  | 43071 | 42823 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2028  | 2728 | 2712 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2029  | 20608 | 20473 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2030  | 67606 | 67087 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2031  | 72884 | 72208 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2033  | 1041889 | 1028688 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2033  | 843871 | 832915 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2033  | 28265 | 27907 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2035  | 182637 | 180037 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2037  | 633896 | 619565 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2037  | 311433 | 304392 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2039  | 388270 | 377037 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 453788 | 433173 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 413018 | 394624 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 364572 | 348292 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 67571 | 64510 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 63342 | 60479 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 62562 | 59469 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 58000 | 55177 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 48133 | 45746 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 34850 | 33225 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 20318 | 19308 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 16532 | 15963 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 989314 | 944339 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 429971 | 407171 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 101028 | 96019 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 3879304 | 3662817 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 806367 | 759603 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 498288 | 469391 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 473463 | 446006 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 336440 | 317349 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 107153 | 100939 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 35109 | 33073 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 6639 | 6254 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  | 309196 | 290685 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  | 292582 | 275065 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  | 86692 | 81501 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  | 48452 | 45566 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  | 13174 | 12386 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  | 8994 | 8455 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  | 4349 | 4090 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  | 3043 | 2861 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2048  | 86663 | 81312 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2048  | 63479 | 59580 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2048  | 21429 | 20113 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2049  | 64253 | 60226 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2051  | 70653 | 66026 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  | 15668483 | 14549274 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  | 1595718 | 1480737 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  | 1408739 | 1312074 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  | 613838 | 568073 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  | 606361 | 563048 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2053  | 26639 | 24698 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2027  | 34508 | 34315 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2028  | 2441 | 2427 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2029  | 10153 | 10079 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2029  | 4089 | 4062 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2030  | 14867 | 14738 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2031  | 55488 | 54935 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2032  | 8671 | 8583 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2033  | 625005 | 616890 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2033  | 52921 | 52234 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2034  | 101702 | 99721 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2034  | 81528 | 80317 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2035  | 1904513 | 1877405 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2037  | 724325 | 708130 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2037  | 711401 | 694606 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2037  | 180774 | 176958 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2037  | 38225 | 37334 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2037  | 23946 | 23381 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2041  | 1243396 | 1195086 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 192101 | 183272 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 89741 | 85633 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 68937 | 65811 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 1358506 | 1289835 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 829402 | 788337 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 174909 | 166547 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 170978 | 162985 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 86744 | 82479 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 20561 | 19549 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 3886 | 3692 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 3252 | 3079 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 1718 | 1645 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2044  | 127967 | 122237 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2045  | 2409387 | 2272304 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2045  | 387580 | 366132 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2045  | 325981 | 307826 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2045  | 90111 | 84983 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2045  | 84482 | 79610 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2046  | 1749185 | 1647745 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2046  | 46519 | 43821 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2047  | 25431 | 23909 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2047  | 13537 | 12726 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2047  | 5007 | 4707 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2048  | 880802 | 826969 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2048  | 161705 | 151720 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2048  | 14592 | 13732 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2049  | 6327130 | 5966132 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2049  | 164131 | 153997 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2049  | 24089 | 22579 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2051  | 10812 | 10087 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2052  | 52055474 | 48304585 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2052  | 10652049 | 9914469 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2052  | 697319 | 645330 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2052  | 693681 | 643697 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2052  | 652537 | 603887 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2026  | 6642 | 6617 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2026  | 1462 | 1456 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2027  | 14755 | 14682 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2027  | 6135 | 6099 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2027  | 138 | 137 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2029  | 188632 | 187260 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2029  | 5468 | 5429 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2029  | 1827 | 1814 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2030  | 14074 | 13953 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2030  | 3967 | 3937 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2031  | 127454 | 126271 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2031  | 68109 | 67425 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2032  | 1295995 | 1282003 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2032  | 14566 | 14409 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2032  | 14293 | 14125 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2033  | 609891 | 601972 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2037  | 141254 | 137963 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2039  | 344826 | 334850 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 993728 | 949873 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 506460 | 483946 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 275461 | 263303 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 275600 | 263043 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 267068 | 254775 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 219255 | 208525 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 212503 | 204339 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 175037 | 167013 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 171701 | 164989 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 167137 | 159310 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 61877 | 59062 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 41823 | 39831 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 40452 | 38420 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 27516 | 26241 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 4644 | 4432 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 4341 | 4138 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2043  | 3987783 | 3791313 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2043  | 70579 | 67058 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2043  | 59608 | 56737 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2043  | 46897 | 44576 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2043  | 15695 | 14992 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2044  | 12316 | 11664 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2045  | 3700 | 3491 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 1005821 | 947490 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 26142 | 24651 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 22377 | 21079 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 6400 | 6029 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 40067944 | 38165987 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 3485214 | 3274383 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 2837539 | 2667661 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 57889 | 54423 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 45449 | 42700 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2048  | 328581 | 308294 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2048  | 271614 | 254844 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2048  | 151539 | 142230 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2048  | 10408 | 9769 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2049  | 6276065 | 5878755 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2049  | 5178373 | 4850553 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2049  | 752387 | 704757 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2049  | 47910 | 44877 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2049  | 7985 | 7479 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 1977536 | 1837515 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 927080 | 860279 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 469706 | 434687 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 401329 | 371407 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 49492 | 45988 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2026  | 707 | 704 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2026  | 477 | 475 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2026  | 143 | 143 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2026  | 127 | 127 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2028  | 31536 | 31333 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2029  | 35312 | 35046 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2029  | 24530 | 24355 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2029  | 21160 | 21004 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2030  | 14203 | 14081 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2031  | 12923 | 12794 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2031  | 11852 | 11730 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2032  | 13960 | 13797 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2033  | 471602 | 465479 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2033  | 290888 | 287111 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2033  | 23321 | 23018 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2033  | 23159 | 22858 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2034  | 351707 | 346482 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2039  | 155798 | 151291 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 4129606 | 3940302 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 2291206 | 2186167 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 409235 | 389938 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 144525 | 138037 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 103963 | 98842 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 64205 | 60997 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 57388 | 55083 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 42324 | 40301 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 29812 | 28439 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 16497 | 15747 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 11835930 | 11280764 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 1941072 | 1848201 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 961497 | 912807 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 53632 | 51049 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 3767 | 3575 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2044  | 4116 | 3893 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2045  | 4735847 | 4466454 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2045  | 884324 | 834606 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2045  | 98624 | 93211 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2045  | 77307 | 72651 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2045  | 48943 | 46068 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 23566 | 22199 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 18030 | 16984 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2047  | 3888782 | 3653538 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2047  | 61271 | 57564 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2047  | 34167 | 32100 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2047  | 9782 | 9190 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2048  | 938969 | 880995 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2049  | 49150071 | 46038596 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2049  | 90431 | 84621 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2049  | 7994 | 7481 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2050  | 16403412 | 15421371 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2052  | 702671 | 650283 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2052  | 279993 | 259118 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2052  | 197033 | 182343 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2052  | 33028 | 30566 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2026  | 2972 | 2961 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2026  | 2914 | 2901 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2026  | 1774 | 1766 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2026  | 1120 | 1115 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2026  | 153 | 152 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2027  | 1845 | 1835 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2028  | 941162 | 935104 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2028  | 166795 | 165737 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2028  | 14659 | 14573 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2028  | 870 | 865 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2029  | 81352 | 80737 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2029  | 39532 | 39234 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2029  | 8312 | 8248 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2030  | 46233 | 45833 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2030  | 21595 | 21408 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2030  | 2466 | 2444 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2033  | 1201876 | 1186272 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2033  | 870429 | 859128 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2033  | 4462 | 4404 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2036  | 415419 | 406520 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2037  | 217234 | 212038 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2037  | 39930 | 38975 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2039  | 855056 | 830319 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 1868373 | 1783845 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 1494224 | 1425442 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 595819 | 571379 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 415201 | 395888 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 378188 | 360623 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 284676 | 272179 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 261065 | 248373 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 223464 | 213048 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 222003 | 211052 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 212822 | 202739 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 117698 | 112006 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 94027 | 89938 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 72589 | 69475 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 68931 | 65534 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 40789 | 39356 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 39050 | 37352 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 35672 | 33869 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 28307 | 26976 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2043  | 1063718 | 1007974 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2043  | 536528 | 510158 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2043  | 457714 | 435315 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2043  | 47365 | 45104 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2043  | 7846 | 7527 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2045  | 358765 | 338312 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2045  | 94048 | 88775 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2045  | 84678 | 79775 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2045  | 52605 | 49597 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2045  | 41717 | 39323 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2045  | 15456 | 14558 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2045  | 8600 | 8111 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 108446 | 102242 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 337442 | 317029 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 29184 | 27418 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 6049 | 5683 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 2889 | 2714 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2048  | 52033 | 48820 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2048  | 11439 | 10733 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2048  | 6496 | 6109 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2049  | 409618 | 383303 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2050  | 34447344 | 32234340 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2026  | 1386 | 1383 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2026  | 1205 | 1202 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2026  | 210 | 209 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2026  | 54 | 53 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2026  | 15 | 14 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2026  | 10 | 8 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2027  | 1180 | 1177 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2033  | 292395 | 292565 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2040  | 26684 | 26309 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2040  | 1847 | 1822 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 1319047 | 1298283 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 383348 | 377816 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 370481 | 364795 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 211295 | 208124 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 61522 | 60546 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 23111 | 22778 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 11668 | 11495 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 681989 | 669693 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 632855 | 621134 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2043  | 4756279 | 4670881 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2044  | 438522 | 429199 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2044  | 89571 | 87825 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 134119 | 131043 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 119172 | 116438 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 80699 | 78773 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 57339 | 55956 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 47518 | 46411 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 45858 | 44960 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 19612 | 19197 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 5654 | 5527 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 5559 | 5435 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 4589 | 4496 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 4307 | 4213 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2046  | 1075676 | 1048348 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2046  | 267976 | 261167 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2046  | 41198 | 40151 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2046  | 39694 | 38685 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2046  | 39566 | 38560 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2046  | 5087 | 4963 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2046  | 4506 | 4392 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2047  | 742550 | 720668 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2047  | 16778 | 16284 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2047  | 15982 | 15511 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2047  | 3143 | 3050 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2048  | 6008381 | 5820057 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2048  | 247206 | 239303 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2049  | 706269 | 682587 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2049  | 533491 | 515602 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2049  | 71296 | 68905 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2049  | 11120 | 10748 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2049  | 6295 | 6084 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2050  | 446388 | 430583 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2050  | 218389 | 210657 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2050  | 27737 | 26833 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2051  | 461933 | 441579 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2052  | 1551791 | 1490544 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2033  | 207181 | 208163 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2034  | 716592 | 718647 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2037  | 766503 | 760317 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2037  | 378335 | 375164 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2037  | 38626 | 38302 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2038  | 1327800 | 1314813 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2039  | 11833 | 11687 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 274621 | 270459 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 151777 | 149634 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 133570 | 131543 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 126255 | 124601 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 97981 | 96549 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 96234 | 94864 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 59845 | 58992 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 13350 | 13157 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 7990 | 7877 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 1772105 | 1743960 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 677975 | 667258 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 489541 | 482135 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 229490 | 225877 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 87219 | 85557 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 50903 | 50070 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 50734 | 49767 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 30548 | 30000 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  | 384180 | 376189 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  | 136331 | 133523 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  | 63628 | 62290 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  | 62640 | 61369 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  | 24129 | 23643 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2044  | 422752 | 413665 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2044  | 252724 | 247047 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2044  | 220093 | 215232 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2044  | 214622 | 210004 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2044  | 39050 | 38193 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2044  | 35414 | 34627 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2044  | 22247 | 21753 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2044  | 22091 | 21611 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2044  | 20217 | 19769 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2044  | 17910 | 17504 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2044  | 7590 | 7424 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2044  | 1551 | 1517 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 1459310 | 1425338 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 446766 | 435368 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 249741 | 243582 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 239612 | 233911 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 94799 | 92536 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 93458 | 91182 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 87986 | 85869 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 80204 | 78228 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 48380 | 47227 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 43196 | 42217 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 26723 | 26079 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 20062 | 19555 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 11184 | 10912 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 7458 | 7269 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 1163322 | 1134494 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 1029772 | 1005862 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 3519 | 3421 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2047  | 8478707 | 8212954 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2047  | 806993 | 781699 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2047  | 87223 | 84489 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2047  | 81382 | 78831 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2048  | 5429573 | 5250907 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2048  | 200856 | 194247 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2048  | 198251 | 191665 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2048  | 21218 | 20507 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2048  | 6680 | 6460 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2049  | 954767 | 921559 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2051  | 213653 | 205220 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2052  | 2108173 | 2019696 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2052  | 2009728 | 1925383 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2052  | 1600064 | 1534912 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2052  | 855667 | 819488 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2052  | 675868 | 647503 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2055  | 9949635 | 9482315 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2033  | 314822 | 316314 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2033  | 1513 | 1509 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2037  | 1034748 | 1026397 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2037  | 262072 | 259957 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2039  | 68069 | 67323 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 1697502 | 1672019 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 107275 | 105912 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 10036 | 9869 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 555425 | 546621 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 194803 | 191618 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 34842 | 34262 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 30914 | 30430 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 22012 | 21597 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 18836 | 18521 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 17429 | 17095 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 7222 | 7089 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 4845 | 4768 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 3324 | 3266 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2043  | 7218921 | 7105705 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2043  | 790896 | 776393 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2043  | 471538 | 461179 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2043  | 30212 | 29583 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2044  | 613732 | 600004 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2044  | 197922 | 193521 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2044  | 57293 | 55991 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2044  | 48324 | 47233 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2044  | 33131 | 32371 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2044  | 16050 | 15685 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2044  | 9024 | 8832 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2044  | 6438 | 6283 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 157792 | 153783 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 118629 | 115717 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 88591 | 86341 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 54441 | 53057 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 36297 | 35430 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 25186 | 24547 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 23149 | 22560 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 16143 | 15764 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 11958 | 11663 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 11623 | 11328 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 11166 | 10883 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 10880 | 10620 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 6830 | 6668 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2047  | 3510162 | 3400142 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2047  | 140016 | 135671 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2048  | 644357 | 623153 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2048  | 82369 | 79607 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2048  | 24496 | 23713 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2048  | 6656 | 6433 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2048  | 6004 | 5802 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2049  | 466325 | 449814 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2049  | 90523 | 87375 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2049  | 52433 | 50707 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2050  | 628315 | 607640 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2052  | 249311 | 238848 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2025  | 1521 | 1517 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2025  | 137 | 136 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2034  | 112756 | 113009 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2037  | 2915325 | 2890885 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 563516 | 554646 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 97994 | 96545 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 13240 | 13031 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 769575 | 757033 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 225893 | 221810 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 102426 | 100712 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 55271 | 54388 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 1285 | 1265 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2042  | 254500 | 249308 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2043  | 401093 | 392249 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2043  | 126515 | 123915 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2043  | 15733 | 15407 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 70104 | 68512 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 48208 | 47132 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 42478 | 41534 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 29329 | 28671 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 27213 | 26608 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 26115 | 25524 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 13465 | 13166 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 2228632 | 2174101 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 173397 | 168992 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 80594 | 78709 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 72078 | 70246 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 55399 | 53992 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 55031 | 53633 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 54979 | 53582 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 46525 | 45343 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 25489 | 24842 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 21961 | 21410 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 14031 | 13702 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 12911 | 12612 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2046  | 57512 | 55907 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2047  | 581364 | 564232 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2047  | 145548 | 141259 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2047  | 104618 | 101535 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2047  | 55248 | 53551 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2047  | 14405 | 13944 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2048  | 2140174 | 2068412 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2048  | 231660 | 223892 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2048  | 148857 | 143865 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2048  | 82852 | 80074 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2048  | 6014 | 5812 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2049  | 753490 | 728696 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2049  | 556937 | 537218 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2049  | 303214 | 292478 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2049  | 5548 | 5351 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2050  | 731054 | 703800 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2026  | 9462 | 9435 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2026  | 1044 | 1041 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2026  | 214 | 214 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2027  | 6097 | 6079 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2029  | 2550 | 2544 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2033  | 859781 | 860334 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2034  | 13221 | 13284 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2038  | 8513396 | 8442025 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2039  | 1188354 | 1172785 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 613521 | 604327 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 328371 | 323406 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 140889 | 138777 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 58804 | 57894 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 15636 | 15399 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 13695 | 13494 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 1380319 | 1354152 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 903780 | 889200 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 669064 | 658044 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 210005 | 206298 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 83191 | 81632 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 31836 | 31355 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 19178 | 18953 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 14717 | 14500 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2044  | 365986 | 357805 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2045  | 7593301 | 7477808 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2045  | 401633 | 392377 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2045  | 140799 | 137462 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2045  | 82505 | 80710 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2045  | 20213 | 19731 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2045  | 19483 | 19033 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2045  | 18256 | 17835 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2045  | 16285 | 15943 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2045  | 14450 | 14138 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2045  | 6530 | 6370 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2046  | 4177003 | 4070882 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2046  | 548432 | 534499 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2046  | 203709 | 198534 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2046  | 141425 | 138319 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2046  | 98520 | 96017 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2046  | 77467 | 75499 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2046  | 72586 | 70742 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2046  | 7690 | 7490 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2046  | 4974 | 4848 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 393596 | 381997 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 342571 | 332048 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 267626 | 259739 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 127727 | 123883 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 109458 | 106232 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 84059 | 81582 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 36856 | 35770 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 4909 | 4784 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  | 72910 | 70580 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  | 69594 | 67369 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2049  | 13166752 | 12725257 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2049  | 1720659 | 1662963 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2049  | 861317 | 832436 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2049  | 165176 | 159741 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2049  | 135809 | 131255 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2049  | 10894 | 10528 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2050  | 3652695 | 3540489 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2050  | 321281 | 309905 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2050  | 282058 | 271895 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2050  | 201618 | 194354 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2051  | 350179 | 337453 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2051  | 155469 | 148618 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2026  | 215 | 215 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2026  | 189 | 189 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2026  | 91 | 90 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2031  | 92666 | 92503 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2032  | 497148 | 497240 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2034  | 48539 | 48739 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2034  | 4148 | 4136 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2035  | 6729 | 6732 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 4589 | 4521 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 1191509 | 1169710 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 293535 | 288225 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 50097 | 49301 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 42348 | 41580 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 33416 | 32757 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2044  | 636397 | 623098 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2044  | 62636 | 61317 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2044  | 13464 | 13221 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 4206715 | 4132066 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 136129 | 132905 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 48754 | 47617 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 29566 | 28927 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 23062 | 22738 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 902 | 883 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 516563 | 503116 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 191549 | 186562 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 92078 | 89681 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 81408 | 79288 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 62448 | 60822 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 62052 | 60436 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 61184 | 59592 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 25306 | 24647 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 3926 | 3844 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2047  | 953994 | 924689 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2047  | 467297 | 452942 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2047  | 85347 | 82725 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2047  | 77233 | 74861 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2047  | 74064 | 71789 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2047  | 4999 | 4846 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2048  | 142604 | 138045 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2048  | 134983 | 130668 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2049  | 14225861 | 13757744 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2049  | 669410 | 646964 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2049  | 211441 | 204484 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2049  | 122330 | 118228 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2050  | 3510506 | 3388407 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2050  | 1990289 | 1918576 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2050  | 225204 | 217652 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2050  | 167807 | 161761 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2051  | 474333 | 457835 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2051  | 128364 | 124060 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2051  | 81924 | 78844 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2053  | 227813 | 218110 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2055  | 2939660 | 2801588 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2026  | 3669 | 3658 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2026  | 2335 | 2329 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2026  | 1368 | 1364 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2026  | 1196 | 1192 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2026  | 875 | 872 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2026  | 470 | 469 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2026  | 253 | 253 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2026  | 98 | 97 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2026  | 93 | 92 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2026  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2034  | 2385 | 2393 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2039  | 58981 | 58203 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2039  | 14961 | 14814 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2041  | 22153 | 21812 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2041  | 15926 | 15706 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 301070 | 296172 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 215594 | 212104 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 107242 | 105510 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 63977 | 62840 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 47710 | 46849 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2044  | 47081 | 46059 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2044  | 9514 | 9317 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 19114111 | 18687629 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 186719 | 182377 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 71945 | 70299 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  | 306373 | 298398 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  | 89821 | 87483 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  | 75266 | 73307 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  | 68603 | 66818 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  | 6022 | 5866 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2047  | 1667898 | 1616663 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2047  | 1291875 | 1252190 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2047  | 563148 | 545849 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2047  | 115295 | 111753 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2047  | 106739 | 103460 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2047  | 12217 | 11841 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2047  | 2195 | 2128 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 2782862 | 2693898 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 641874 | 621354 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 198211 | 191874 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 73036 | 70701 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 42723 | 41357 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 41435 | 40111 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 22882 | 22215 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2049  | 11058136 | 10680434 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2049  | 1306195 | 1261581 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2049  | 117909 | 114177 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2049  | 52094 | 50315 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2050  | 264241 | 254721 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2050  | 35106 | 33830 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 455229 | 434559 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 196999 | 189101 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2054  | 603097 | 574770 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2055  | 772369 | 736092 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2029  | 2806 | 2798 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2030  | 3958 | 3943 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2041  | 373776 | 367022 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2041  | 105847 | 104248 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2044  | 5456804 | 5367200 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2044  | 102663 | 100459 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2044  | 24586 | 24058 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2045  | 1394494 | 1361837 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2045  | 1278572 | 1248426 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2045  | 37079 | 36223 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2045  | 13030 | 12726 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2046  | 969181 | 947586 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2046  | 368967 | 359362 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2046  | 124540 | 121765 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  | 1793648 | 1738550 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  | 764795 | 740680 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  | 402988 | 387335 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  | 167016 | 161886 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  | 166015 | 160879 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  | 94508 | 91605 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  | 20654 | 20019 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  | 3401590 | 3301350 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  | 1109711 | 1074235 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  | 585775 | 568513 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  | 441939 | 427811 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  | 321707 | 311121 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  | 277448 | 268318 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  | 82262 | 79632 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  | 76675 | 74224 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  | 33861 | 32778 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2049  | 294162 | 284483 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2049  | 160783 | 154776 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2049  | 153247 | 148012 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2049  | 149209 | 144439 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2049  | 72357 | 69885 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2049  | 12983 | 12539 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2050  | 1551842 | 1499807 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2050  | 543511 | 523758 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2050  | 512663 | 494031 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2050  | 122316 | 118215 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2050  | 49879 | 48082 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  | 3557812 | 3414055 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  | 530903 | 506631 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2053  | 5780176 | 5526753 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2054  | 18688669 | 17810890 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2026  | 10459 | 10429 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2026  | 8289 | 8264 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2026  | 7086 | 7065 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2026  | 901 | 898 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2034  | 469833 | 472061 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2037  | 773 | 769 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2041  | 454428 | 447424 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2042  | 2982970 | 2925131 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2042  | 1195227 | 1172943 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2042  | 62539 | 61321 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2042  | 7130 | 6997 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2044  | 81514 | 79711 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2044  | 56165 | 54977 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2044  | 53801 | 52601 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2044  | 14895 | 14576 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2044  | 4701 | 4598 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2045  | 149577 | 146070 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2045  | 13702 | 13389 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  | 337976 | 329178 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  | 66086 | 64593 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  | 60667 | 59050 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  | 19785 | 19270 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  | 7438 | 7240 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  | 7096 | 6907 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2047  | 1507426 | 1461120 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2047  | 994394 | 963848 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2047  | 596511 | 579305 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2048  | 2805936 | 2713604 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2048  | 2348249 | 2270978 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2048  | 1047317 | 1012854 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2048  | 328306 | 318324 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2048  | 216072 | 206997 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2048  | 140248 | 134358 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2048  | 14483 | 13864 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2049  | 2410603 | 2328266 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2049  | 190749 | 184233 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2049  | 23889 | 23073 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2050  | 1092469 | 1052765 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  | 717321 | 686925 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  | 22792 | 21871 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2055  | 147017 | 140112 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2030  | 83854 | 83537 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2033  | 396908 | 398914 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2033  | 30544 | 30698 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2034  | 6605 | 6636 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2042  | 95095 | 93543 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2043  | 13944 | 13679 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2044  | 159321 | 155810 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2044  | 81632 | 79846 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2044  | 44672 | 43643 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2044  | 29818 | 29176 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2044  | 3911 | 3830 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2044  | 1146 | 1122 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2045  | 64333 | 62764 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2045  | 48836 | 47662 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 5404092 | 5260040 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 930237 | 909220 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 394960 | 384432 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 133079 | 130072 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 66537 | 64764 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 26611 | 25901 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 8908 | 8667 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 1588 | 1545 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 3390138 | 3285998 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 1282585 | 1243186 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 14839 | 14430 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 7520 | 7289 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2048  | 1769590 | 1711360 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2048  | 1211515 | 1171649 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2048  | 272625 | 263654 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2048  | 227434 | 219950 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2048  | 222451 | 215131 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2048  | 176302 | 170500 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2048  | 70745 | 68417 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2049  | 15146157 | 14661957 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2049  | 1651542 | 1595132 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2049  | 372158 | 359679 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2049  | 187854 | 181438 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2049  | 71408 | 68969 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2049  | 34224 | 33055 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2049  | 3762 | 3632 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2050  | 118405 | 114065 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2052  | 21214589 | 20357392 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2052  | 17230447 | 16534234 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2055  | 5792135 | 5520087 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2055  | 39207 | 37366 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2026  | 40917 | 40796 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2027  | 4624 | 4610 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2037  | 582943 | 578056 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2039  | 164469 | 162242 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2039  | 115948 | 114418 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2041  | 171892 | 169289 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2041  | 153460 | 150877 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2041  | 29048 | 28572 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2041  | 14635 | 14392 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2042  | 1945848 | 1909714 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 107737 | 105533 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 79811 | 78168 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 47838 | 46828 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 11098 | 10879 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 10071 | 9866 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2044  | 593375 | 580067 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2044  | 260738 | 255212 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2044  | 100174 | 97950 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2044  | 66403 | 65216 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2044  | 61345 | 59973 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2044  | 60977 | 59674 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2044  | 54349 | 53465 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2044  | 51031 | 49935 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2044  | 34419 | 33654 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2044  | 33453 | 32686 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2044  | 20640 | 20344 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2044  | 12111 | 11847 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2044  | 10171 | 9949 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2044  | 2729 | 2674 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2044  | 1165 | 1142 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 1033710 | 1011901 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 452886 | 442005 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 372566 | 363703 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 112367 | 109616 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 100828 | 98562 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 70678 | 69124 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 60815 | 59297 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 59331 | 57920 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 54810 | 53505 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 20325 | 20083 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 20192 | 19720 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2046  | 990085 | 967715 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2046  | 32791 | 31917 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2046  | 31241 | 30408 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2047  | 2782071 | 2694871 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2047  | 136986 | 132778 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2047  | 31536 | 30548 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2048  | 3073250 | 2972121 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2048  | 675770 | 653533 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2048  | 573678 | 554801 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2048  | 379076 | 362871 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2049  | 1738631 | 1679246 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2049  | 821011 | 792455 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2049  | 438668 | 423411 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2050  | 1312388 | 1265102 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2050  | 184389 | 177745 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2051  | 610138 | 587430 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2051  | 299120 | 287595 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2051  | 144908 | 139234 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2052  | 27065490 | 25946508 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2052  | 9290243 | 8906152 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2052  | 8130196 | 7794065 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2052  | 791881 | 759389 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2055  | 1932969 | 1842181 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2055  | 1677134 | 1598361 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2026  | 8247 | 8223 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2026  | 1824 | 1819 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 596498 | 588902 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 126135 | 123941 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 109234 | 107949 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 57888 | 57200 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 37089 | 36577 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 8881 | 8769 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 13441 | 13239 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 13407 | 13197 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 2513753 | 2476593 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 986893 | 971797 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 947681 | 931641 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 134578 | 132104 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 123828 | 121993 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 120570 | 118623 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 82503 | 80959 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 41759 | 41062 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 39811 | 39103 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 30322 | 29784 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 19331 | 19094 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 8356 | 8215 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2043  | 720035 | 705592 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2043  | 622920 | 610438 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2043  | 313677 | 307129 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2043  | 2402 | 2354 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2044  | 4682095 | 4578820 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2044  | 1813845 | 1773675 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2044  | 1781751 | 1741666 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2044  | 114298 | 111791 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2044  | 110755 | 108487 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2044  | 60479 | 59118 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2044  | 17607 | 17210 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2044  | 12355 | 12047 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2044  | 3391 | 3319 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2044  | 1458 | 1436 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2045  | 446365 | 435386 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2045  | 244410 | 238530 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2045  | 108694 | 106080 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2045  | 96302 | 93904 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2045  | 56393 | 55021 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2045  | 54142 | 52849 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2045  | 51089 | 49885 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2045  | 24810 | 24225 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2045  | 10206 | 9964 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 2248396 | 2195472 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 1117013 | 1091776 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2047  | 3662 | 3553 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2048  | 21235506 | 20556639 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2048  | 605801 | 585866 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2048  | 564274 | 545706 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2048  | 245550 | 237470 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2048  | 241058 | 233126 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2048  | 141726 | 137062 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2048  | 86537 | 83689 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2048  | 84347 | 81572 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2048  | 69638 | 67347 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2048  | 19292 | 18549 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2048  | 11596 | 11215 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2049  | 13180154 | 12729972 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2049  | 5804935 | 5610290 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2049  | 976336 | 942378 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2049  | 104007 | 100455 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2050  | 2807258 | 2711373 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2050  | 119846 | 115415 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 7711296 | 7387664 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 2482810 | 2378610 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 2410075 | 2314953 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 1320913 | 1266715 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 636764 | 610637 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 391369 | 374944 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2055  | 1996875 | 1903084 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2027  | 3521 | 3516 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2027  | 943 | 942 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2041  | 152454 | 153527 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2041  | 48927 | 49275 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2041  | 30069 | 30274 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2042  | 36407 | 36639 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2043  | 3491176 | 3515232 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  | 160360 | 161241 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  | 134368 | 135091 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  | 84286 | 84700 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  | 16654 | 16739 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  | 2237 | 2248 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  | 1830 | 1840 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  | 932 | 936 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2045  | 37348 | 37545 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2045  | 9324 | 9379 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2045  | 4589 | 4615 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2046  | 29790 | 29901 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2047  | 1290554 | 1289711 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2047  | 108776 | 108875 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2047  | 44070 | 44041 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2047  | 3180 | 3178 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 318692 | 317787 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 14928 | 14881 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 576736 | 573836 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 235020 | 233838 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 185491 | 184558 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 154055 | 153280 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 28059 | 27926 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 20321 | 20219 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 13869 | 13812 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 10096 | 10073 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 5466 | 5439 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2050  | 5784582 | 5755494 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2050  | 337983 | 335333 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2050  | 116301 | 115390 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2050  | 27518 | 27311 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2055  | 419593 | 411058 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2026  | 249 | 249 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2029  | 5789 | 5808 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2035  | 6021 | 6062 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 1534195 | 1545197 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 195782 | 197261 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2040  | 99046 | 99745 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2040  | 77417 | 77972 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2040  | 68789 | 69278 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2040  | 8064 | 8121 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2041  | 66433 | 66901 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2041  | 10317 | 10391 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2041  | 7860 | 7907 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2041  | 7386 | 7438 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2041  | 6174 | 6217 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2041  | 3462 | 3486 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2043  | 217071 | 218156 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2043  | 23437 | 23561 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2043  | 18798 | 18894 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2043  | 17566 | 17661 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2043  | 7398 | 7433 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2043  | 3666 | 3683 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2043  | 1259 | 1266 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 136535 | 137256 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 108348 | 108920 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 98079 | 98597 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 76974 | 77380 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2045  | 1870138 | 1883257 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2045  | 22191 | 22274 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2046  | 166913 | 167065 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2046  | 104344 | 104276 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2046  | 93987 | 94073 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2046  | 25850 | 25833 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2046  | 9380 | 9440 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2046  | 1953 | 1955 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2047  | 379302 | 378224 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2047  | 197599 | 197038 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2047  | 170072 | 169588 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2047  | 48474 | 48336 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2048  | 3004197 | 2991907 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2048  | 1327491 | 1322060 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2048  | 489385 | 487383 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2048  | 268298 | 267201 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2048  | 112464 | 112004 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2048  | 10253 | 10213 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2048  | 1276 | 1271 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2049  | 610515 | 606110 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2049  | 128973 | 128445 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2049  | 16103 | 16007 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2050  | 292741 | 290171 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2050  | 21132 | 20947 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2050  | 12308 | 12258 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052  | 20581471 | 20265730 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2029  | 4259 | 4273 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2037  | 901737 | 905254 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2038  | 86909 | 87058 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 434458 | 437520 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 178498 | 179761 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 145327 | 146346 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 134260 | 135141 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 33115 | 33347 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 21903 | 22058 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 21810 | 21954 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 11174 | 11252 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2041  | 8010 | 8067 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2043  | 316842 | 318475 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2043  | 50612 | 50847 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2043  | 6753 | 6788 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 96727 | 97238 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 93101 | 93593 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 69969 | 70338 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 51930 | 52204 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 6509 | 6547 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 5417 | 5446 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 2954 | 2970 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 2527 | 2540 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 1311 | 1318 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2045  | 189814 | 190520 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2045  | 956 | 963 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2046  | 697030 | 696574 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 543939 | 542394 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 27677 | 27598 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2048  | 1253314 | 1247011 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2048  | 977902 | 972984 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2048  | 670123 | 666753 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2048  | 437746 | 436092 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2048  | 412884 | 410808 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2048  | 161132 | 160321 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2048  | 154048 | 153274 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2048  | 128652 | 128126 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2048  | 67266 | 66558 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2048  | 57717 | 57372 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2048  | 38231 | 38038 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2048  | 34426 | 34252 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2048  | 18534 | 18441 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2048  | 6649 | 6615 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2049  | 938585 | 931812 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2052  | 11454717 | 11278990 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2054  | 1374952 | 1349132 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2054  | 1280867 | 1258416 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2054  | 1195669 | 1171348 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2054  | 1087084 | 1064972 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2054  | 1030071 | 1010728 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2054  | 875113 | 857312 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2054  | 817912 | 801262 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2028  | 304 | 304 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2035  | 2781 | 2800 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2039  | 662473 | 667224 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 46623 | 46945 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 24667 | 24838 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 1499 | 1510 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2041  | 20479 | 20618 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2043  | 30568 | 30757 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2043  | 2117 | 2130 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2043  | 1901 | 1911 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 95343 | 95847 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 78545 | 78960 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 74682 | 75077 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 67698 | 68055 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 22835 | 22955 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 18257 | 18353 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 4219 | 4241 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 4188 | 4211 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 2576 | 2590 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2045  | 177029 | 177466 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  | 164577 | 164470 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  | 60956 | 60916 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  | 55603 | 55567 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  | 4272 | 4269 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  | 4097 | 4094 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 1175187 | 1169278 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 1006990 | 1001927 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 398851 | 396845 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 304314 | 302784 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 253799 | 252523 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 252587 | 251317 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 242982 | 241760 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 59982 | 59681 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 52965 | 52699 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 52316 | 52266 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 38400 | 38219 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 31651 | 31581 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 31186 | 31030 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 25571 | 25442 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 22488 | 22396 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 22370 | 22264 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 16485 | 16402 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2050  | 325229 | 322679 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2052  | 6816799 | 6712223 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2054  | 1039048 | 1019537 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2055  | 8790522 | 8608967 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2040  | 58969 | 59387 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2040  | 26224 | 26410 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 252892 | 254690 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 185469 | 186778 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 43180 | 43458 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 28436 | 28637 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 23615 | 23782 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2044  | 472166 | 474608 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2044  | 153661 | 154342 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2044  | 94868 | 95323 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2044  | 28116 | 28242 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2045  | 93659 | 94095 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2045  | 2524 | 2536 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2047  | 4758503 | 4781074 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2047  | 479830 | 479517 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2047  | 413571 | 412784 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2047  | 179081 | 178740 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2047  | 55424 | 55388 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2047  | 46619 | 46588 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 356438 | 355314 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 281572 | 280684 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 5024536 | 4994559 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 414062 | 411592 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 314346 | 312765 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 251664 | 250163 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 133135 | 132340 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 96547 | 95971 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 94226 | 93663 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 90853 | 89896 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 22834 | 22719 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 10112 | 10052 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2050  | 3167457 | 3140641 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2050  | 189564 | 188611 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2050  | 20919 | 20768 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2055  | 27871635 | 27522445 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2055  | 1291000 | 1269581 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2055  | 1084419 | 1068800 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2035  | 4761 | 4796 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2040  | 205362 | 206785 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2040  | 45596 | 45919 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2040  | 16067 | 16182 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 344507 | 346853 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 60295 | 60720 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 42281 | 42571 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 39884 | 40163 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 36919 | 37198 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 34051 | 34275 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 13608 | 13698 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 5787 | 5828 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 3431 | 3452 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2044  | 172022 | 172904 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2044  | 149805 | 150550 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2044  | 120427 | 121000 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2044  | 92789 | 93233 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2044  | 90829 | 91305 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2044  | 35350 | 35568 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2044  | 17306 | 17383 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2044  | 10968 | 11015 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2044  | 3838 | 3862 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2045  | 22914 | 23021 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 1070899 | 1076396 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 931924 | 938521 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 13719 | 13766 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 11471 | 11500 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 2342 | 2348 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 525509 | 524509 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 13670 | 13644 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 528519 | 526852 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 106512 | 106110 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 38141 | 38020 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2049  | 791867 | 787143 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2049  | 390401 | 388072 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2049  | 160963 | 160003 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2049  | 24654 | 24553 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2050  | 225701 | 223790 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2050  | 10293 | 10206 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2035  | 8171 | 8231 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2035  | 2983 | 2994 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2035  | 2406 | 2423 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 58127 | 58190 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2040  | 42295 | 42596 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2040  | 13746 | 13843 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2040  | 3147 | 3169 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 1434008 | 1443723 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 57713 | 58120 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 29017 | 29209 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 12610 | 12695 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 8778 | 8839 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 248959 | 250208 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 149300 | 150214 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 79661 | 80059 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 61012 | 61332 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 14206 | 14274 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 11215 | 11266 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 8316 | 8359 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 7677 | 7716 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 1839 | 1848 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2045  | 38192 | 38370 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2046  | 12433 | 12464 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 283502 | 282963 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 59812 | 59698 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 58944 | 59090 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 13269 | 13243 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 472644 | 470858 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 389447 | 387975 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 26497 | 26397 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 22430 | 22198 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 20627 | 20445 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 10316 | 10277 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2049  | 3745549 | 3726715 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2049  | 306961 | 305130 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2049  | 185735 | 184452 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2049  | 39303 | 39031 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2049  | 23811 | 23647 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2049  | 3252 | 3239 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2050  | 1260338 | 1249668 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2050  | 126750 | 125677 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2050  | 29860 | 29607 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2054  | 6339998 | 6218466 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2054  | 287597 | 282106 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2035  | 3639 | 3662 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 1228267 | 1229603 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 64237 | 64723 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2040  | 80863 | 81442 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2044  | 494153 | 496506 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2044  | 153100 | 153848 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2044  | 125665 | 126291 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2044  | 78310 | 78643 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2044  | 64071 | 64383 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2044  | 34393 | 34578 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2044  | 17722 | 17809 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2044  | 4748 | 4770 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2045  | 98816 | 99276 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2046  | 61009 | 61065 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2046  | 29025 | 29164 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2046  | 17650 | 17666 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2046  | 5410 | 5415 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 168079 | 167759 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 14698 | 14670 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2048  | 1106153 | 1101973 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2048  | 165786 | 165160 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2048  | 99241 | 98866 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2048  | 96882 | 96516 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2048  | 65413 | 65165 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2048  | 34197 | 34068 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2048  | 6666 | 6641 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2049  | 403303 | 400519 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2049  | 282131 | 280183 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2049  | 11172 | 11056 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2049  | 6421 | 6389 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2049  | 5415 | 5378 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2050  | 15233 | 15104 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2053  | 1094083 | 1075589 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2053  | 136454 | 134190 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2028  | 732 | 733 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2031  | 1431 | 1439 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2038  | 41304 | 41414 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  | 74287 | 75237 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  | 16427 | 16546 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2040  | 5488 | 5527 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2042  | 68596 | 69002 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  | 40110 | 40302 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  | 3774 | 3790 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2045  | 116322 | 116874 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2045  | 9183 | 9223 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2045  | 6741 | 6804 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 156700 | 156401 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 62347 | 62228 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 44668 | 44583 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 3626 | 3619 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2048  | 2028714 | 2020415 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2048  | 460924 | 459039 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2048  | 392058 | 390454 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2048  | 296297 | 295177 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2048  | 73286 | 72515 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2048  | 58796 | 58574 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2048  | 36759 | 36372 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2048  | 35995 | 35859 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2048  | 30947 | 30820 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2048  | 20822 | 20744 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2048  | 12470 | 12427 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2048  | 6102 | 6077 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2049  | 4260599 | 4235180 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2049  | 191274 | 189954 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2049  | 87061 | 86460 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2049  | 57534 | 57137 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2049  | 54265 | 53891 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2050  | 1008365 | 999828 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2050  | 21783 | 21612 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2035  | 2181 | 2197 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 1743320 | 1755802 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 686383 | 691288 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 58322 | 58733 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 53842 | 54227 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 48467 | 48815 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 29650 | 29862 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 22168 | 22327 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 15011 | 15119 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 9749 | 9819 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 7144 | 7196 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 5038 | 5073 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 2236 | 2252 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 2017 | 2031 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2040  | 55801 | 56196 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2040  | 40340 | 40625 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2040  | 19846 | 19988 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2040  | 9117 | 9181 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2040  | 8837 | 8896 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2041  | 102492 | 103218 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2041  | 3717 | 3743 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2044  | 45273 | 45484 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2044  | 29528 | 29664 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2044  | 19211 | 19290 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2044  | 3023 | 3037 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2045  | 74411 | 74758 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 2305693 | 2322057 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 381035 | 380310 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 221492 | 221070 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 96621 | 96437 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2048  | 3459311 | 3448402 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2048  | 2833693 | 2812714 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2048  | 385445 | 383868 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2048  | 363436 | 361949 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2048  | 41056 | 40888 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2048  | 17211 | 17146 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2048  | 5983 | 5961 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2049  | 609574 | 605365 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2049  | 20471 | 20362 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2049  | 13092 | 13002 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2049  | 7998 | 7955 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2052  | 4705847 | 4635125 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2052  | 22911 | 22567 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2027  | 2955 | 2951 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2029  | 900 | 903 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2035  | 6776 | 6825 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 656975 | 661674 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 596683 | 600928 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 89161 | 89789 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 64399 | 64859 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 61312 | 61776 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 49843 | 50200 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 44091 | 44406 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 36285 | 36544 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 22638 | 22810 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 20718 | 20866 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 15453 | 15564 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 6898 | 6947 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 1510 | 1521 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2040  | 1694301 | 1706357 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2040  | 1371912 | 1381639 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2040  | 124838 | 125715 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2040  | 105951 | 106704 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2040  | 81955 | 82542 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2040  | 32649 | 32897 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2040  | 7394 | 7446 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2040  | 3290 | 3313 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 321267 | 323521 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 66621 | 67080 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 45410 | 45720 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 42102 | 42387 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 12808 | 12889 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 8545 | 8603 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 6155 | 6198 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 6040 | 6080 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 135165 | 135757 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 132506 | 133120 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 124956 | 125564 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 70322 | 70643 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 40866 | 41054 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 25466 | 25601 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 15377 | 15458 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 3272 | 3285 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 2974 | 2986 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2046  | 2624065 | 2637395 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2046  | 1101163 | 1102164 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2046  | 36785 | 36818 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2046  | 22710 | 22731 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2046  | 6851 | 6857 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2046  | 2909 | 2912 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2047  | 22559 | 22334 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2048  | 858398 | 854886 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2048  | 719003 | 716062 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2048  | 701517 | 698647 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2048  | 445728 | 443905 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2048  | 187088 | 186323 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2048  | 58759 | 58518 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2048  | 25789 | 25684 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2048  | 9536 | 9497 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2048  | 9292 | 9254 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2048  | 1898 | 1890 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2049  | 3806005 | 3779730 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2049  | 122843 | 122110 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2049  | 50166 | 49820 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2049  | 4798 | 4772 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2050  | 332821 | 329900 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2052  | 32434429 | 31855766 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2029  | 8487 | 8514 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 140352 | 141294 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 5781 | 5823 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2038  | 162537 | 162968 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2038  | 85200 | 85426 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2039  | 1094999 | 1102857 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2039  | 10879 | 10957 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2039  | 9803 | 9872 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  | 572485 | 576521 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  | 40780 | 41069 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  | 8125 | 8182 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2041  | 876165 | 881917 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2042  | 6780 | 6828 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2043  | 115389 | 116112 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2043  | 74944 | 75349 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2043  | 25341 | 25520 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2043  | 8599 | 8651 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2044  | 14473 | 14549 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2044  | 7234 | 7273 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2044  | 3312 | 3330 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2045  | 6985 | 7050 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2046  | 86248 | 86326 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2046  | 25825 | 25849 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 104909 | 104611 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 45300 | 45199 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 29514 | 29430 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2048  | 1381909 | 1376256 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2048  | 823979 | 820608 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2048  | 49685 | 49482 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2048  | 38462 | 38304 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2049  | 4363 | 4333 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2050  | 47035 | 46842 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2050  | 46182 | 45777 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2050  | 43697 | 43313 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2050  | 10597 | 10524 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2050  | 5132 | 5106 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2052  | 22025756 | 21687859 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2054  | 1268373 | 1244554 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2037  | 20813 | 21229 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2038  | 30809 | 31472 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2040  | 4294137 | 4344133 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2040  | 35526 | 36362 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2041  | 68247 | 69890 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2041  | 8496 | 8703 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2044  | 139243 | 142652 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2044  | 119770 | 122701 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2044  | 107636 | 110266 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2044  | 76742 | 78621 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2044  | 64982 | 66573 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2044  | 64514 | 66095 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2044  | 30758 | 31454 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2044  | 12744 | 13056 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2049  | 556633 | 566932 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2049  | 212526 | 216459 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2049  | 17201 | 17519 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2049  | 5859 | 5944 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2049  | 1470 | 1471 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2050  | 21647 | 21658 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2051  | 6495322 | 6611439 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2053  | 9250002 | 9293957 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2053  | 517708 | 519683 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2053  | 308536 | 310002 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2054  | 1263251 | 1266886 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2055  | 722794 | 721711 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2035  | 482696 | 492023 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2035  | 1960 | 2001 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2039  | 2572 | 2634 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2041  | 302305 | 309710 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2043  | 68756 | 70442 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2044  | 112950 | 115852 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2045  | 369324 | 378219 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2048  | 3476484 | 3569458 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2048  | 240147 | 240297 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2048  | 10447 | 10654 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2048  | 5698 | 5851 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2049  | 1312821 | 1336291 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2050  | 618630 | 629690 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 11857506 | 11913851 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 3890769 | 3909257 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 1482826 | 1490799 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 1467585 | 1474559 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 1178680 | 1184281 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 65146 | 65680 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2053  | 1944094 | 1950902 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2054  | 423889 | 423386 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2054  | 22682 | 22655 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2055  | 56871 | 56785 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2033  | 762563 | 776380 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2034  | 226074 | 230442 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2035  | 82349 | 84092 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2036  | 3013 | 3072 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2039  | 259785 | 265661 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2039  | 11535 | 11784 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2040  | 125459 | 128460 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2043  | 349795 | 358367 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2044  | 253628 | 259801 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2044  | 29855 | 30622 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2044  | 6126 | 6283 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2048  | 263757 | 268637 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2048  | 12873 | 13111 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2049  | 563030 | 572039 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2049  | 38980 | 39701 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 32406960 | 32581209 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 53061 | 53346 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2054  | 6567090 | 6559304 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2054  | 1116829 | 1115505 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2054  | 99375 | 99302 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2054  | 61101 | 61010 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2054  | 54562 | 54481 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2029  | 41834 | 42299 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2039  | 149990 | 151737 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2039  | 62917 | 64416 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2039  | 27455 | 28116 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2043  | 196293 | 200747 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2043  | 104842 | 107413 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2043  | 2271 | 2326 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2044  | 20658 | 21189 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2048  | 1170097 | 1191746 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2048  | 898123 | 914740 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2048  | 272181 | 277216 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2048  | 160933 | 163910 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2048  | 142675 | 142747 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2049  | 1615869 | 1644756 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2049  | 521037 | 529375 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2049  | 367935 | 374742 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2050  | 304750 | 304760 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 19974216 | 20069131 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 5425535 | 5451317 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2054  | 78017157 | 77900279 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2054  | 968410 | 974222 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2054  | 907863 | 906503 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2036  | 2893 | 2955 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2037  | 709611 | 723603 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2038  | 52235 | 53272 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2038  | 4195 | 4292 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2038  | 2908 | 2973 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2039  | 1130010 | 1145992 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2040  | 16009 | 16392 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2041  | 4465 | 4575 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2045  | 21478 | 21986 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2047  | 61526 | 62876 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2047  | 7312 | 7472 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2048  | 6884 | 7024 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2048  | 1813 | 1850 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2049  | 2247772 | 2289360 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2049  | 598822 | 609901 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2049  | 17313 | 17633 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2049  | 15739 | 16064 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2049  | 8090 | 8240 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2050  | 14431 | 14716 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2053  | 1155086 | 1156731 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2030  | 87435 | 88434 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2030  | 205 | 207 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2035  | 2609 | 2663 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2036  | 2864 | 2925 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2037  | 3469 | 3545 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2038  | 44995 | 45960 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2038  | 25688 | 26282 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2038  | 3664 | 3742 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2038  | 3371 | 3449 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2039  | 2568 | 2627 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2040  | 6117243 | 6188464 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2040  | 858873 | 868872 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2040  | 43708 | 44748 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2041  | 112185 | 114977 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2041  | 11343 | 11620 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2042  | 79302 | 81246 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2044  | 114638 | 117447 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2044  | 68053 | 69721 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2044  | 49342 | 50547 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2044  | 20497 | 20998 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2048  | 9288 | 9477 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2049  | 962942 | 980759 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2049  | 95118 | 96878 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2049  | 29914 | 30467 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2050  | 234608 | 238362 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2050  | 75780 | 76898 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2053  | 41572674 | 41631865 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2053  | 28389666 | 28497955 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2053  | 362425 | 363807 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2034  | 421 | 429 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2035  | 476077 | 485705 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2035  | 137115 | 139905 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2035  | 58897 | 60131 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2038  | 51717 | 52887 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2039  | 7856 | 8024 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2040  | 2913471 | 2947392 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2040  | 440671 | 451234 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2040  | 125166 | 128132 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2040  | 12275 | 12573 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2040  | 3492 | 3575 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 503808 | 516149 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 251100 | 257121 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 245282 | 251190 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 158716 | 162644 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 143327 | 146820 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 135881 | 139210 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 42335 | 43360 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 7175 | 7351 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 4238 | 4342 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2042  | 2023759 | 2073681 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2044  | 67820 | 69476 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2047  | 126861 | 129605 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2047  | 62837 | 64196 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2048  | 771069 | 783408 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2048  | 27591 | 28153 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2048  | 26074 | 26605 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2049  | 137049 | 139499 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2049  | 77575 | 78961 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2049  | 39840 | 40553 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2053  | 36756516 | 36873747 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2053  | 2207777 | 2215509 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2053  | 709439 | 710450 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2053  | 27642 | 27782 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2030  | 10154 | 10276 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2035  | 3654 | 3728 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2036  | 33601 | 34320 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2038  | 13735 | 14046 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2038  | 4071 | 4165 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2039  | 84715 | 86656 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2039  | 12751 | 13041 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2040  | 985036 | 996504 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2040  | 33778 | 34586 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2040  | 30237 | 30963 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2040  | 11099 | 11369 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2040  | 5977 | 6124 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2040  | 5483 | 5613 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2041  | 249732 | 255850 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2041  | 64750 | 66345 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2041  | 11564 | 11847 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2041  | 7070 | 7244 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2042  | 26488 | 27135 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2042  | 22576 | 23118 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2042  | 3668 | 3759 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2047  | 65646 | 67065 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2047  | 7458 | 7619 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2048  | 758019 | 765174 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2048  | 303924 | 310497 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2048  | 268271 | 273737 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2049  | 1804700 | 1838090 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2049  | 22577 | 22981 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2049  | 12959 | 12967 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2049  | 11983 | 12197 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2049  | 2481 | 2526 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2050  | 514273 | 521859 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2053  | 744654 | 745586 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2053  | 95638 | 95973 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2055  | 2440262 | 2436607 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2035  | 38359 | 39110 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2035  | 12028 | 12264 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2036  | 15023 | 15345 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2037  | 7016 | 7164 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2038  | 9690 | 9905 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2038  | 4494 | 4597 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 892190 | 908808 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 43995 | 44979 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 20148 | 20572 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2040  | 945920 | 956933 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2040  | 82106 | 84090 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2040  | 12320 | 12615 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2040  | 2653 | 2717 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2040  | 1649 | 1683 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 445859 | 456955 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 148432 | 152002 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 136976 | 140388 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 40784 | 41801 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 1604 | 1644 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2047  | 3809 | 3891 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2048  | 711188 | 711634 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2048  | 402782 | 410738 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2048  | 61064 | 62270 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2048  | 3200 | 3263 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2049  | 360250 | 366690 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2050  | 8644 | 8771 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2053  | 77808 | 78008 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2055  | 4948872 | 4941458 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2030  | 65931 | 66804 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 2277 | 2319 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2034  | 1432514 | 1459990 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2034  | 50893 | 51882 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  | 974833 | 993404 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  | 573070 | 584376 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2037  | 45333 | 46157 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2037  | 14120 | 14413 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2039  | 43188 | 44225 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2039  | 12079 | 12362 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  | 1826663 | 1847930 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  | 8647 | 8855 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  | 5764 | 5903 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  | 5655 | 5782 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  | 907 | 928 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  | 794 | 812 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2041  | 160498 | 164368 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2041  | 90881 | 93091 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2044  | 82730 | 84714 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2047  | 129843 | 132651 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2047  | 76935 | 78550 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2048  | 750161 | 764978 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2048  | 98107 | 100045 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2049  | 44427 | 45222 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2054  | 100250 | 100256 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2030  | 23139 | 23473 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2030  | 4769 | 4833 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2033  | 136286 | 138730 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2035  | 3930 | 4012 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2035  | 2206 | 2253 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2035  | 1164 | 1190 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2039  | 53566 | 54819 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2040  | 43102 | 43604 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2040  | 11040 | 11303 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2040  | 8387 | 8591 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2040  | 3518 | 3603 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2041  | 95212 | 97418 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2041  | 70131 | 71843 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2043  | 141324 | 144789 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2043  | 11226 | 11483 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2044  | 126579 | 129676 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2047  | 408607 | 417189 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2047  | 135642 | 138491 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2048  | 4295675 | 4380523 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2048  | 523349 | 533686 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2048  | 151435 | 154426 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2049  | 994153 | 1012547 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2053  | 29064690 | 29375374 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2055  | 13215268 | 13195471 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2029  | 2083 | 2106 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2035  | 89152 | 90801 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2040  | 4844593 | 4900998 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2040  | 1600 | 1638 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2041  | 72417 | 74188 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2041  | 61088 | 62588 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2043  | 800625 | 820254 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2043  | 5979 | 6125 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2044  | 16172 | 16587 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2044  | 5031 | 5160 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2048  | 456656 | 465676 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2048  | 440296 | 448992 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2048  | 85150 | 86832 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2048  | 11111 | 11331 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2049  | 432690 | 440696 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2049  | 56047 | 56944 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2049  | 10554 | 10723 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2054  | 3036928 | 3035225 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2054  | 1208979 | 1208301 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2054  | 37202 | 37182 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2034  | 3163 | 3269 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2037  | 29793 | 30970 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2037  | 17833 | 18559 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2037  | 17810 | 18535 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2038  | 35432 | 36913 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2038  | 33017 | 34414 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2038  | 18062 | 18810 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2038  | 11366 | 11850 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2039  | 15558 | 16190 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2039  | 11652 | 12133 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2039  | 728 | 759 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2040  | 186242 | 194459 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2040  | 25701 | 26877 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2041  | 330291 | 344915 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2049  | 874123 | 905895 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2049  | 538684 | 559661 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2049  | 342212 | 356180 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2053  | 382864 | 389637 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2053  | 25008 | 25489 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2054  | 1006123 | 1021093 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2054  | 54849 | 55665 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2054  | 30300 | 30789 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2055  | 7784843 | 7886073 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2055  | 4069246 | 4122161 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2035  | 14737 | 15335 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2035  | 9849 | 10216 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2035  | 1045 | 1086 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2036  | 7017 | 7293 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2037  | 66171 | 68939 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2052  | 4925684 | 5025139 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2052  | 340827 | 350371 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 40328492 | 41407421 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 17737952 | 18007409 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 7389596 | 7501851 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 390233 | 395905 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 56304 | 57282 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 1877210 | 1901620 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 841003 | 854606 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 487063 | 495071 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 159546 | 161620 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2033  | 36960 | 38220 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2033  | 9263 | 9579 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2035  | 5131 | 5337 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2036  | 717419 | 745467 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2036  | 432100 | 448702 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2036  | 197640 | 205233 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2036  | 23738 | 24701 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2036  | 9161 | 9515 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2036  | 996 | 1037 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2036  | 906 | 942 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2038  | 445638 | 462756 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2039  | 40218 | 41962 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2048  | 7466 | 7770 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2052  | 3733089 | 3808464 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2052  | 1979237 | 2024767 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2052  | 812600 | 829007 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2052  | 422005 | 430526 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2053  | 748734 | 760576 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2053  | 42587 | 43407 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2054  | 63128523 | 63949415 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2054  | 6157856 | 6237930 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2054  | 2076353 | 2110490 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2054  | 1045041 | 1062549 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2034  | 8501 | 8810 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2035  | 244290 | 253677 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2035  | 160013 | 166194 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2035  | 52339 | 54366 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2035  | 9499 | 9872 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2035  | 5279 | 5478 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2036  | 348254 | 361879 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2037  | 62193 | 64797 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2037  | 19738 | 20535 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2037  | 4512 | 4672 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2038  | 22423 | 23382 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2038  | 5263 | 5472 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2038  | 571 | 596 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2039  | 158746 | 165857 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2039  | 146871 | 153437 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2039  | 125394 | 130945 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2039  | 1481 | 1543 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2041  | 75137 | 78499 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2041  | 67265 | 70352 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2048  | 319844 | 333498 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2048  | 93426 | 97356 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2052  | 519656 | 531610 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2052  | 291684 | 296298 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2052  | 150353 | 153388 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2052  | 112897 | 114751 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2054  | 5513928 | 5585628 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2033  | 13334 | 13765 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2034  | 489921 | 507123 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2034  | 15346 | 15891 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2035  | 198674 | 205894 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2035  | 117765 | 122044 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2035  | 67038 | 69442 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2035  | 52891 | 54910 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2035  | 574 | 593 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2037  | 169507 | 176170 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2037  | 31550 | 32809 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2037  | 27619 | 28707 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2038  | 125574 | 130842 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2038  | 108434 | 112625 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2038  | 28179 | 29197 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2038  | 22366 | 23231 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2039  | 623756 | 647474 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2041  | 34970 | 36549 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2042  | 314473 | 327211 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2042  | 295239 | 308680 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2042  | 93067 | 96836 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2042  | 91328 | 94993 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2042  | 18337 | 19172 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2049  | 503087 | 522678 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 9904280 | 10094972 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 406521 | 414348 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 268018 | 273388 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2054  | 168126 | 170627 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2055  | 24812711 | 25135363 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2055  | 2134006 | 2161756 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2055  | 887922 | 899468 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2055  | 247613 | 250833 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2035  | 22599 | 23462 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2036  | 20987 | 21802 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2038  | 780824 | 812054 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2038  | 24840 | 25869 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2038  | 21144 | 22031 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2039  | 89647 | 93319 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2040  | 218182 | 226235 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2053  | 55946554 | 57268487 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2053  | 54125 | 54960 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2054  | 8298156 | 8421620 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2054  | 864582 | 877446 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2054  | 606179 | 614403 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2054  | 456372 | 463333 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2054  | 54663 | 55476 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2055  | 3081489 | 3121559 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2033  | 3793 | 3926 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2034  | 354576 | 367550 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2034  | 16981 | 17583 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2036  | 46520 | 48350 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2037  | 4071 | 4217 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2037  | 163 | 169 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2038  | 18944 | 19729 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2039  | 262200 | 273314 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2040  | 95871 | 100164 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2053  | 476039 | 486692 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  | 13792828 | 13985114 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  | 1453846 | 1489107 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  | 1083364 | 1098992 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  | 1065717 | 1080574 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  | 610031 | 618535 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  | 377084 | 382341 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2055  | 5653325 | 5726838 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2055  | 2288785 | 2318547 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2055  | 1054095 | 1067802 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2033  | 121450 | 125464 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2033  | 54392 | 56189 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2034  | 99568 | 103098 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2034  | 23841 | 24611 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2035  | 981096 | 1017453 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2036  | 55092 | 57270 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2037  | 86110 | 89511 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2037  | 349 | 364 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2038  | 155798 | 162242 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2038  | 72896 | 75909 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2038  | 24189 | 25191 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2038  | 23555 | 24529 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2038  | 15854 | 16515 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2038  | 7350 | 7664 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2038  | 330 | 344 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2039  | 137476 | 143132 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2040  | 706971 | 736722 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2040  | 265030 | 277085 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2041  | 45162 | 47170 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2044  | 1571834 | 1630465 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2044  | 113106 | 117576 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2044  | 79109 | 82622 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2049  | 291470 | 302820 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  | 6275539 | 6384599 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  | 663146 | 675500 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  | 144192 | 146351 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2054  | 16752309 | 16985853 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2054  | 4011285 | 4069149 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2054  | 894908 | 907384 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2054  | 840882 | 852604 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2054  | 735563 | 745818 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2054  | 500000 | 507158 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2054  | 476322 | 482829 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2054  | 57986 | 58795 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2054  | 41246 | 41857 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2054  | 23039 | 23360 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2055  | 866654 | 877923 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2055  | 66382 | 67245 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2027  | 28411 | 28780 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2033  | 138695 | 143327 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2033  | 128673 | 133015 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2033  | 53892 | 55479 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2036  | 3918 | 4074 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2037  | 60634 | 63131 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2037  | 1112 | 1156 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2038  | 198640 | 206685 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2038  | 52624 | 54738 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2038  | 47454 | 49430 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2038  | 16814 | 17508 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2038  | 9292 | 9693 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2038  | 293 | 305 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2040  | 124663 | 130262 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2040  | 33035 | 34472 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2040  | 24811 | 25891 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2040  | 13396 | 13998 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2041  | 68057 | 70996 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2041  | 64676 | 67609 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2048  | 22082 | 23011 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2049  | 85774 | 88899 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 7550184 | 7686349 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 6797840 | 6945717 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 486915 | 495621 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 482633 | 491216 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 321498 | 327085 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 3561384 | 3611033 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 948942 | 962172 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 304421 | 308807 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 288607 | 292549 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2055  | 30878510 | 31280038 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2055  | 3370910 | 3414743 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2033  | 67427 | 69795 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2033  | 31519 | 32585 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2033  | 23586 | 24382 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2033  | 17224 | 17800 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2034  | 990378 | 1027181 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2035  | 328131 | 340527 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2036  | 89916 | 93185 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2037  | 20667 | 21493 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2037  | 14089 | 14647 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2037  | 11885 | 12364 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2037  | 10069 | 10487 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2037  | 7407 | 7713 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2038  | 11121 | 11582 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2038  | 9927 | 10344 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2039  | 49436 | 51402 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2039  | 32648 | 34126 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2039  | 10856 | 11337 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2041  | 73081 | 76402 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2053  | 20075172 | 20605980 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2053  | 198066 | 201199 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 8119242 | 8318699 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 1089768 | 1104960 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2055  | 9896844 | 10025537 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2055  | 2213193 | 2241973 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2029  | 54372 | 55454 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2037  | 91932 | 95567 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2037  | 16832 | 17460 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2037  | 16411 | 17012 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2037  | 14484 | 15028 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2039  | 130109 | 135851 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2039  | 10937 | 11436 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2040  | 63354 | 66086 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 36047246 | 36617369 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 15496558 | 15741652 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 549046 | 557729 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 28046 | 28718 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 3517876 | 3566919 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2034  | 25413 | 26358 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2036  | 258515 | 267416 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2037  | 143019 | 148763 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2037  | 48280 | 50308 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2037  | 21955 | 22839 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2038  | 22539 | 23475 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2039  | 545222 | 569313 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2040  | 183503 | 191236 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2041  | 1178341 | 1220648 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2041  | 393375 | 409562 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2041  | 74888 | 77980 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2041  | 8193 | 8526 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2053  | 3992656 | 4053308 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2053  | 457244 | 463704 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2053  | 454152 | 460909 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2053  | 319026 | 324071 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2053  | 278128 | 282527 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 491528 | 497920 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 328984 | 333262 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2035  | 1727 | 1806 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2040  | 35230 | 37344 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2053  | 1538017 | 1581512 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2053  | 925174 | 951337 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2053  | 673228 | 692267 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2053  | 252672 | 259817 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2053  | 227207 | 232936 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2053  | 178223 | 183263 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2054  | 4898262 | 5026068 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2054  | 2040570 | 2093813 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2055  | 8775168 | 8983290 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2055  | 7873973 | 8061583 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2055  | 1999801 | 2047887 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2055  | 1101004 | 1126893 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2033  | 480734 | 501156 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2036  | 871 | 919 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2036  | 277 | 289 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2038  | 282829 | 299456 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2038  | 6829 | 7232 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2038  | 1381 | 1465 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2038  | 1227 | 1300 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2038  | 647 | 686 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2040  | 3595 | 3808 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2052  | 244229 | 251308 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2053  | 1615133 | 1657276 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 2824718 | 2893787 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 257502 | 263787 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2055  | 6088527 | 6236925 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2032  | 484368 | 503603 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2032  | 80901 | 84114 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 161542 | 168904 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2036  | 109421 | 115651 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2036  | 1310 | 1385 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2037  | 4108 | 4360 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2038  | 185282 | 196589 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2038  | 126675 | 134251 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2038  | 917 | 967 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 11031151 | 11320702 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 7787003 | 7984343 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 147130 | 150877 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2038  | 160026 | 169463 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2038  | 2690 | 2855 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2052  | 39090740 | 40223703 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2052  | 2069828 | 2129818 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2052  | 21111 | 21708 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2054  | 18295281 | 18931300 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2054  | 14612344 | 14960507 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2054  | 6583095 | 6739948 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2054  | 1999802 | 2046981 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2054  | 993498 | 1017170 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2034  | 235532 | 246066 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2037  | 219186 | 231495 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2037  | 152502 | 161185 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2037  | 9530 | 10053 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2038  | 70987 | 75106 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2039  | 10734 | 11370 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2053  | 14962307 | 15385436 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2053  | 276060 | 283866 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 32247279 | 33025699 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 2834290 | 2900936 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2034  | 89935 | 93917 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2037  | 18675 | 19690 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2038  | 58098 | 61697 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2053  | 662250 | 680978 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 17331072 | 17999917 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055  | 8968081 | 9178957 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055  | 1999801 | 2046825 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055  | 1372942 | 1405225 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2035  | 556741 | 584174 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2035  | 546985 | 573227 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2036  | 125042 | 131895 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2036  | 2460 | 2600 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2038  | 767 | 812 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2039  | 15283 | 16212 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2040  | 232808 | 246733 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2040  | 105529 | 111815 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2053  | 350510 | 360422 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2053  | 65258 | 67103 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2054  | 22388376 | 22972538 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2055  | 19213761 | 19665555 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2055  | 3670723 | 3757610 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2055  | 999900 | 1023568 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2041  | 69945 | 74057 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2053  | 2425844 | 2492930 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2053  | 788836 | 811144 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 25348967 | 25994535 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 22015677 | 22590114 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 28620151 | 29762679 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 7193878 | 7364160 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 1999802 | 2047450 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 1059517 | 1084596 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 824870 | 844395 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 236483 | 245870 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2037  | 67626 | 71732 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2040  | 131863 | 139816 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2040  | 129104 | 136854 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2040  | 2373 | 2521 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 3155049 | 3238850 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 918449 | 944279 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 869160 | 892245 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 15484130 | 15860080 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2055  | 1999801 | 2054167 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2055  | 1113007 | 1139526 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2055  | 1058252 | 1083466 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2037  | 25774 | 27299 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2038  | 84435 | 89502 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2038  | 9487 | 10052 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2039  | 16019965 | 16615207 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2041  | 289497 | 306800 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 1903753 | 1954319 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 1443782 | 1490974 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 1253740 | 1285982 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 1142060 | 1179979 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 1040478 | 1074081 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 19839903 | 20314170 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 1131835 | 1158892 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 939376 | 961831 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 24063 | 24636 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2036  | 827 | 874 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2037  | 759 | 803 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2037  | 165 | 174 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2038  | 782 | 829 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2039  | 14297 | 15159 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2053  | 3235429 | 3326421 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2053  | 1785749 | 1833180 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2053  | 1647512 | 1691271 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2053  | 589680 | 606817 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2053  | 449158 | 461790 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 1999801 | 2048699 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 999900 | 1024350 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2055  | 35646774 | 37128289 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2055  | 31908749 | 32963186 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2055  | 2238539 | 2292051 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2055  | 173682 | 177833 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2055  | 152910 | 156566 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2036  | 303097 | 319857 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2036  | 2539 | 2684 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2037  | 142851 | 150745 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2037  | 68122 | 72106 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2037  | 904 | 959 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2038  | 136289 | 144237 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2038  | 2431 | 2575 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2039  | 217315 | 230038 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2039  | 82180 | 87092 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2039  | 69987 | 74237 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 1999801 | 2048699 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 1999800 | 2048042 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 1225376 | 1254477 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 693557 | 710223 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2033  | 19271 | 20271 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2036  | 65582 | 68605 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2037  | 18112 | 19376 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2038  | 798 | 856 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2043  | 41019 | 42620 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2054  | 5112605 | 5297784 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2054  | 1691568 | 1752837 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2032  | 15228 | 16009 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2035  | 12570 | 13136 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2036  | 53835 | 57428 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2037  | 510936 | 545234 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2037  | 8915 | 9546 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2037  | 6626 | 7102 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2038  | 10052 | 10804 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2038  | 2175 | 2335 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2039  | 182765 | 195679 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2039  | 6655 | 7119 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2039  | 1617 | 1730 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2055  | 47725 | 49450 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2036  | 9413 | 10071 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2037  | 118015 | 126434 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2053  | 3789360 | 3926611 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2053  | 387069 | 401167 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2032  | 63741 | 66644 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2032  | 4158 | 4348 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2034  | 77203 | 81702 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2036  | 11825 | 12613 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2037  | 48668 | 51982 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2037  | 16601 | 17755 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2037  | 1771 | 1889 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2037  | 983 | 1053 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2053  | 2837337 | 2940105 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2053  | 20582 | 21473 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2037  | 3333 | 3568 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2039  | 4041 | 4326 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2053  | 693863 | 721326 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2055  | 2717231 | 2812253 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2055  | 1278927 | 1323851 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2035  | 4770 | 5012 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2037  | 10055 | 10748 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2038  | 2641 | 2838 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2053  | 2035885 | 2114556 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2053  | 75019 | 77988 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 7219964 | 7481471 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2055  | 14441512 | 14948790 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2055  | 912240 | 943998 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 4/1/2035  | 21778 | 23179 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 4/1/2053  | 13098491 | 13604643 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 4/1/2055  | 12599677 | 13038321 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 4/1/2055  | 128403 | 132873 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2031  | 3705 | 3848 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2038  | 14843 | 15885 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2039  | 15777 | 16868 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 991750 | 1030074 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2055  | 3776532 | 3908303 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2035  | 98794 | 104593 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2035  | 72907 | 76863 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2036  | 10171 | 10853 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2040  | 3445 | 3680 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2053  | 587033 | 609497 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2055  | 3999602 | 4139156 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2055  | 3594602 | 3733224 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 53061 | 55476 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 37123 | 38892 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 101980 | 107217 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 96780 | 102220 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 35860 | 38009 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 4468 | 4674 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2036  | 17577 | 18785 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2036  | 2094 | 2221 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2038  | 627 | 673 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2053  | 207397 | 215120 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2055  | 151019 | 156359 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2055  | 95106 | 98938 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2031  | 6007 | 6247 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2032  | 5324 | 5564 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2032  | 4326 | 4519 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 285037 | 298633 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2037  | 12445 | 13333 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2037  | 5489 | 5869 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2037  | 348 | 373 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2054  | 4658720 | 4819743 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2032  | 57602 | 60256 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2032  | 6428 | 6721 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2036  | 57394 | 61191 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2036  | 4728 | 4896 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2037  | 1023 | 1094 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2038  | 24311 | 25235 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2039  | 1409 | 1519 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 41443406 | 42986580 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 2877546 | 2984693 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2055  | 1910802 | 2000612 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2055  | 96059 | 99486 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 523666 | 548269 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 61632308 | 64637808 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 3883672 | 4092430 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 3853896 | 4083682 |
| Freddie Mac 5.5% 1/1/2055  | 247958 | 251182 |
| Freddie Mac Gold Pool 1.5% 1/1/2037  | 810528 | 735207 |
| Freddie Mac Gold Pool 1.5% 1/1/2037  | 302491 | 272869 |
| Freddie Mac Gold Pool 1.5% 10/1/2036  | 6544163 | 5911486 |
| Freddie Mac Gold Pool 1.5% 10/1/2036  | 1331443 | 1202722 |
| Freddie Mac Gold Pool 1.5% 10/1/2036  | 867600 | 786705 |
| Freddie Mac Gold Pool 1.5% 10/1/2036  | 708013 | 641998 |
| Freddie Mac Gold Pool 1.5% 10/1/2041  | 11834212 | 10047433 |
| Freddie Mac Gold Pool 1.5% 10/1/2051  | 56867386 | 44169200 |
| Freddie Mac Gold Pool 1.5% 10/1/2051  | 3821854 | 2968454 |
| Freddie Mac Gold Pool 1.5% 10/1/2051  | 1658617 | 1288256 |
| Freddie Mac Gold Pool 1.5% 11/1/2036  | 48711442 | 44002117 |
| Freddie Mac Gold Pool 1.5% 11/1/2036  | 19649507 | 17749832 |
| Freddie Mac Gold Pool 1.5% 11/1/2036  | 2450100 | 2223949 |
| Freddie Mac Gold Pool 1.5% 11/1/2036  | 1549770 | 1397036 |
| Freddie Mac Gold Pool 1.5% 11/1/2036  | 874746 | 790177 |
| Freddie Mac Gold Pool 1.5% 11/1/2036  | 701777 | 636343 |
| Freddie Mac Gold Pool 1.5% 11/1/2036  | 648824 | 588328 |
| Freddie Mac Gold Pool 1.5% 11/1/2036  | 539963 | 490123 |
| Freddie Mac Gold Pool 1.5% 11/1/2036  | 392291 | 353629 |
| Freddie Mac Gold Pool 1.5% 11/1/2036  | 339501 | 306891 |
| Freddie Mac Gold Pool 1.5% 11/1/2037  | 1573215 | 1419153 |
| Freddie Mac Gold Pool 1.5% 11/1/2040  | 8440998 | 7235686 |
| Freddie Mac Gold Pool 1.5% 11/1/2051  | 69366461 | 53877299 |
| Freddie Mac Gold Pool 1.5% 12/1/2036  | 34295424 | 30979811 |
| Freddie Mac Gold Pool 1.5% 12/1/2036  | 8315692 | 7511748 |
| Freddie Mac Gold Pool 1.5% 12/1/2036  | 2484396 | 2255079 |
| Freddie Mac Gold Pool 1.5% 12/1/2036  | 2143962 | 1936688 |
| Freddie Mac Gold Pool 1.5% 12/1/2036  | 555948 | 501505 |
| Freddie Mac Gold Pool 1.5% 12/1/2036  | 78478 | 71112 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 13335188 | 10357512 |
| Freddie Mac Gold Pool 1.5% 12/1/2051  | 36277291 | 28176765 |
| Freddie Mac Gold Pool 1.5% 2/1/2037  | 179834 | 162223 |
| Freddie Mac Gold Pool 1.5% 2/1/2042  | 5981324 | 5104494 |
| Freddie Mac Gold Pool 1.5% 3/1/2036  | 6432666 | 5830871 |
| Freddie Mac Gold Pool 1.5% 3/1/2037  | 233936 | 211027 |
| Freddie Mac Gold Pool 1.5% 3/1/2037  | 203286 | 183378 |
| Freddie Mac Gold Pool 1.5% 4/1/2037  | 13171438 | 11881585 |
| Freddie Mac Gold Pool 1.5% 4/1/2037  | 768338 | 693096 |
| Freddie Mac Gold Pool 1.5% 5/1/2051  | 1051331 | 816574 |
| Freddie Mac Gold Pool 1.5% 6/1/2036  | 320675 | 290375 |
| Freddie Mac Gold Pool 1.5% 7/1/2035  | 2165726 | 1969207 |
| Freddie Mac Gold Pool 1.5% 7/1/2036  | 2843179 | 2574526 |
| Freddie Mac Gold Pool 1.5% 7/1/2041  | 30604533 | 26056356 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  | 209036 | 190068 |
| Freddie Mac Gold Pool 1.5% 8/1/2036  | 9145355 | 8281206 |
| Freddie Mac Gold Pool 1.5% 9/1/2050  | 29621526 | 23081250 |
| Freddie Mac Gold Pool 1.5% 9/1/2051  | 911234 | 707760 |
| Freddie Mac Gold Pool 1.5% 9/1/2051  | 516250 | 400974 |
| Freddie Mac Gold Pool 2% 1/1/2036  | 466540 | 434741 |
| Freddie Mac Gold Pool 2% 1/1/2036  | 464525 | 431992 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 556872797 | 457136992 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 29888090 | 24619199 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 4542415 | 3777132 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 4250838 | 3534679 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 583133 | 475050 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 65205 | 53384 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 40000 | 32586 |
| Freddie Mac Gold Pool 2% 1/1/2054  | 952462 | 779793 |
| Freddie Mac Gold Pool 2% 10/1/2035  | 34829815 | 32455860 |
| Freddie Mac Gold Pool 2% 10/1/2035  | 345370 | 321830 |
| Freddie Mac Gold Pool 2% 10/1/2036  | 1410926 | 1306382 |
| Freddie Mac Gold Pool 2% 10/1/2036  | 875837 | 810941 |
| Freddie Mac Gold Pool 2% 10/1/2036  | 510961 | 473101 |
| Freddie Mac Gold Pool 2% 10/1/2036  | 418020 | 387046 |
| Freddie Mac Gold Pool 2% 10/1/2036  | 31899 | 29576 |
| Freddie Mac Gold Pool 2% 10/1/2050  | 1113307 | 914610 |
| Freddie Mac Gold Pool 2% 11/1/2035  | 17014937 | 15855221 |
| Freddie Mac Gold Pool 2% 11/1/2036  | 11749300 | 10878721 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 45005094 | 36972819 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 6589752 | 5409529 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 4290498 | 3571680 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 2947552 | 2401223 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 934171 | 761022 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 36646955 | 30049136 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 34888972 | 28738489 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 31085675 | 25605665 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 877918 | 726444 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 797756 | 654130 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 442641 | 361013 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 313626 | 255692 |
| Freddie Mac Gold Pool 2% 12/1/2035  | 12970366 | 12086323 |
| Freddie Mac Gold Pool 2% 12/1/2035  | 1829315 | 1704631 |
| Freddie Mac Gold Pool 2% 12/1/2035  | 405648 | 376098 |
| Freddie Mac Gold Pool 2% 12/1/2036  | 3571006 | 3310872 |
| Freddie Mac Gold Pool 2% 12/1/2036  | 1397070 | 1295298 |
| Freddie Mac Gold Pool 2% 12/1/2036  | 527884 | 488605 |
| Freddie Mac Gold Pool 2% 12/1/2050  | 10808362 | 8872587 |
| Freddie Mac Gold Pool 2% 12/1/2050  | 6512964 | 5346494 |
| Freddie Mac Gold Pool 2% 12/1/2050  | 3561232 | 2933432 |
| Freddie Mac Gold Pool 2% 12/1/2050  | 1632410 | 1344637 |
| Freddie Mac Gold Pool 2% 12/1/2050  | 1583766 | 1290215 |
| Freddie Mac Gold Pool 2% 12/1/2050  | 734170 | 598092 |
| Freddie Mac Gold Pool 2% 12/1/2050  | 637816 | 523583 |
| Freddie Mac Gold Pool 2% 12/1/2050  | 180063 | 147814 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 67829726 | 56232553 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 6428088 | 5270792 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 2623542 | 2179081 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 1389123 | 1144672 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 846593 | 690471 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 556629 | 456415 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 95114 | 78465 |
| Freddie Mac Gold Pool 2% 2/1/2035  | 312901 | 294214 |
| Freddie Mac Gold Pool 2% 2/1/2035  | 22668 | 21237 |
| Freddie Mac Gold Pool 2% 2/1/2036  | 28141743 | 26170872 |
| Freddie Mac Gold Pool 2% 2/1/2036  | 495088 | 461344 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 1949519 | 1588176 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 314800 | 258419 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 127285 | 104568 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 913033 | 747511 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 574955 | 468387 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 49301 | 40363 |
| Freddie Mac Gold Pool 2% 3/1/2036  | 6086082 | 5644636 |
| Freddie Mac Gold Pool 2% 3/1/2037  | 418170 | 387577 |
| Freddie Mac Gold Pool 2% 3/1/2037  | 29488 | 27349 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 151816164 | 124625920 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 892620 | 727173 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 834256 | 679627 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 219554 | 180095 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 153307 | 124892 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 13735391 | 11374108 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 4276905 | 3522941 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 3026394 | 2465452 |
| Freddie Mac Gold Pool 2% 4/1/2036  | 17243245 | 15992529 |
| Freddie Mac Gold Pool 2% 4/1/2036  | 444995 | 411884 |
| Freddie Mac Gold Pool 2% 4/1/2036  | 62567 | 57872 |
| Freddie Mac Gold Pool 2% 4/1/2042  | 25544677 | 22541882 |
| Freddie Mac Gold Pool 2% 4/1/2051  | 51378300 | 42144346 |
| Freddie Mac Gold Pool 2% 4/1/2051  | 449955 | 366556 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 9757625 | 8037479 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 5223876 | 4319297 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 920640 | 753740 |
| Freddie Mac Gold Pool 2% 5/1/2033  | 14902 | 14097 |
| Freddie Mac Gold Pool 2% 5/1/2037  | 85161 | 78771 |
| Freddie Mac Gold Pool 2% 5/1/2037  | 42423 | 39240 |
| Freddie Mac Gold Pool 2% 5/1/2037  | 17637 | 16313 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 68528458 | 56212196 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 1406547 | 1170898 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 682278 | 555818 |
| Freddie Mac Gold Pool 2% 5/1/2052  | 129112 | 105705 |
| Freddie Mac Gold Pool 2% 6/1/2035  | 1003764 | 937231 |
| Freddie Mac Gold Pool 2% 6/1/2035  | 132489 | 123707 |
| Freddie Mac Gold Pool 2% 6/1/2036  | 13421 | 12448 |
| Freddie Mac Gold Pool 2% 6/1/2040  | 771654 | 684054 |
| Freddie Mac Gold Pool 2% 6/1/2051  | 3879996 | 3211764 |
| Freddie Mac Gold Pool 2% 6/1/2051  | 290108 | 236337 |
| Freddie Mac Gold Pool 2% 7/1/2035  | 12443 | 11618 |
| Freddie Mac Gold Pool 2% 7/1/2036  | 62528 | 57934 |
| Freddie Mac Gold Pool 2% 7/1/2050  | 304755 | 250649 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 39859603 | 32932510 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 2552244 | 2130231 |
| Freddie Mac Gold Pool 2% 8/1/2035  | 16113 | 15045 |
| Freddie Mac Gold Pool 2% 8/1/2035  | 10105 | 9436 |
| Freddie Mac Gold Pool 2% 8/1/2036  | 1087685 | 1007431 |
| Freddie Mac Gold Pool 2% 8/1/2037  | 794365 | 734761 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 39237078 | 32185202 |
| Freddie Mac Gold Pool 2% 9/1/2035  | 5576808 | 5196700 |
| Freddie Mac Gold Pool 2% 9/1/2035  | 12652 | 11789 |
| Freddie Mac Gold Pool 2% 9/1/2036  | 2495988 | 2311824 |
| Freddie Mac Gold Pool 2% 9/1/2036  | 21445 | 19862 |
| Freddie Mac Gold Pool 2% 9/1/2041  | 165727130 | 145554344 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 33898 | 27880 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 24843 | 20432 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 15859 | 13043 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 28007184 | 22964846 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 32552 | 26549 |
| Freddie Mac Gold Pool 2.5% 1/1/2030  | 33628 | 32901 |
| Freddie Mac Gold Pool 2.5% 1/1/2031  | 515831 | 502263 |
| Freddie Mac Gold Pool 2.5% 1/1/2032  | 107365 | 103968 |
| Freddie Mac Gold Pool 2.5% 1/1/2035  | 597732 | 570282 |
| Freddie Mac Gold Pool 2.5% 1/1/2037  | 46288 | 43121 |
| Freddie Mac Gold Pool 2.5% 1/1/2040  | 1690673 | 1545688 |
| Freddie Mac Gold Pool 2.5% 1/1/2050  | 22897 | 19680 |
| Freddie Mac Gold Pool 2.5% 1/1/2051  | 2859803 | 2467884 |
| Freddie Mac Gold Pool 2.5% 1/1/2051  | 2037169 | 1752894 |
| Freddie Mac Gold Pool 2.5% 1/1/2051  | 667551 | 582325 |
| Freddie Mac Gold Pool 2.5% 1/1/2051  | 255539 | 220519 |
| Freddie Mac Gold Pool 2.5% 1/1/2051  | 41543 | 36356 |
| Freddie Mac Gold Pool 2.5% 1/1/2051  | 22036 | 18961 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 3856634 | 3305206 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 1255161 | 1069028 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 601663 | 515636 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 434909 | 370415 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 377961 | 326400 |
| Freddie Mac Gold Pool 2.5% 10/1/2029  | 327786 | 321067 |
| Freddie Mac Gold Pool 2.5% 10/1/2029  | 183922 | 179998 |
| Freddie Mac Gold Pool 2.5% 10/1/2031  | 320362 | 310580 |
| Freddie Mac Gold Pool 2.5% 10/1/2031  | 47129 | 45998 |
| Freddie Mac Gold Pool 2.5% 10/1/2031  | 42093 | 40807 |
| Freddie Mac Gold Pool 2.5% 10/1/2032  | 1533293 | 1480219 |
| Freddie Mac Gold Pool 2.5% 10/1/2034  | 497575 | 475036 |
| Freddie Mac Gold Pool 2.5% 10/1/2038  | 850671 | 804162 |
| Freddie Mac Gold Pool 2.5% 10/1/2049  | 948101 | 818466 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  | 102387062 | 88099542 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  | 81680675 | 71048368 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 90491955 | 77553263 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 2450835 | 2087391 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 1965345 | 1673896 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 1860950 | 1584982 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 659132 | 561386 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 25646 | 21979 |
| Freddie Mac Gold Pool 2.5% 11/1/2027  | 3419 | 3373 |
| Freddie Mac Gold Pool 2.5% 11/1/2034  | 261200 | 249205 |
| Freddie Mac Gold Pool 2.5% 11/1/2034  | 8731 | 8333 |
| Freddie Mac Gold Pool 2.5% 11/1/2037  | 823023 | 778283 |
| Freddie Mac Gold Pool 2.5% 11/1/2037  | 280858 | 265590 |
| Freddie Mac Gold Pool 2.5% 11/1/2039  | 118542 | 108552 |
| Freddie Mac Gold Pool 2.5% 11/1/2049  | 486198 | 419720 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 40091372 | 34847653 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 2452896 | 2130538 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 905415 | 771147 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 29109 | 24792 |
| Freddie Mac Gold Pool 2.5% 12/1/2029  | 420327 | 411050 |
| Freddie Mac Gold Pool 2.5% 12/1/2031  | 15164 | 14690 |
| Freddie Mac Gold Pool 2.5% 12/1/2032  | 1213774 | 1169695 |
| Freddie Mac Gold Pool 2.5% 12/1/2032  | 66013 | 63683 |
| Freddie Mac Gold Pool 2.5% 12/1/2034  | 146913 | 140167 |
| Freddie Mac Gold Pool 2.5% 12/1/2037  | 880431 | 832570 |
| Freddie Mac Gold Pool 2.5% 12/1/2040  | 114976 | 104403 |
| Freddie Mac Gold Pool 2.5% 12/1/2046  | 27427 | 24011 |
| Freddie Mac Gold Pool 2.5% 12/1/2049  | 20555488 | 17744901 |
| Freddie Mac Gold Pool 2.5% 12/1/2049  | 1866066 | 1610915 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 57829419 | 49922304 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 3102732 | 2642615 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 2483238 | 2114988 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 1997312 | 1701123 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 1455881 | 1252721 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 1364058 | 1183942 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 357702 | 304657 |
| Freddie Mac Gold Pool 2.5% 2/1/2027  | 17586 | 17406 |
| Freddie Mac Gold Pool 2.5% 2/1/2030  | 680015 | 664517 |
| Freddie Mac Gold Pool 2.5% 2/1/2032  | 239781 | 232189 |
| Freddie Mac Gold Pool 2.5% 2/1/2032  | 90965 | 88054 |
| Freddie Mac Gold Pool 2.5% 2/1/2032  | 48921 | 47581 |
| Freddie Mac Gold Pool 2.5% 2/1/2032  | 46205 | 44743 |
| Freddie Mac Gold Pool 2.5% 2/1/2033  | 1637225 | 1578833 |
| Freddie Mac Gold Pool 2.5% 2/1/2035  | 23666 | 22535 |
| Freddie Mac Gold Pool 2.5% 2/1/2036  | 61996 | 58839 |
| Freddie Mac Gold Pool 2.5% 2/1/2038  | 158421 | 149759 |
| Freddie Mac Gold Pool 2.5% 2/1/2050  | 357021 | 307982 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 265036 | 227886 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 191949 | 165044 |
| Freddie Mac Gold Pool 2.5% 2/1/2052  | 103097351 | 88227446 |
| Freddie Mac Gold Pool 2.5% 2/1/2052  | 2385788 | 2041682 |
| Freddie Mac Gold Pool 2.5% 2/1/2052  | 2239399 | 1916407 |
| Freddie Mac Gold Pool 2.5% 2/1/2052  | 2077567 | 1780513 |
| Freddie Mac Gold Pool 2.5% 2/1/2052  | 1537514 | 1315755 |
| Freddie Mac Gold Pool 2.5% 2/1/2052  | 1521359 | 1301931 |
| Freddie Mac Gold Pool 2.5% 2/1/2052  | 1488867 | 1274125 |
| Freddie Mac Gold Pool 2.5% 2/1/2052  | 1478443 | 1265205 |
| Freddie Mac Gold Pool 2.5% 2/1/2052  | 1472817 | 1260390 |
| Freddie Mac Gold Pool 2.5% 2/1/2052  | 1291115 | 1099650 |
| Freddie Mac Gold Pool 2.5% 2/1/2052  | 491752 | 418828 |
| Freddie Mac Gold Pool 2.5% 2/1/2052  | 201094 | 173409 |
| Freddie Mac Gold Pool 2.5% 3/1/2028  | 537634 | 530353 |
| Freddie Mac Gold Pool 2.5% 3/1/2028  | 1639 | 1614 |
| Freddie Mac Gold Pool 2.5% 3/1/2030  | 12699 | 12416 |
| Freddie Mac Gold Pool 2.5% 3/1/2031  | 76024 | 73967 |
| Freddie Mac Gold Pool 2.5% 3/1/2032  | 8033419 | 7773280 |
| Freddie Mac Gold Pool 2.5% 3/1/2033  | 1410512 | 1359674 |
| Freddie Mac Gold Pool 2.5% 3/1/2033  | 198517 | 191581 |
| Freddie Mac Gold Pool 2.5% 3/1/2035  | 527367 | 502654 |
| Freddie Mac Gold Pool 2.5% 3/1/2037  | 613259 | 579921 |
| Freddie Mac Gold Pool 2.5% 3/1/2037  | 471946 | 448355 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 946349 | 806188 |
| Freddie Mac Gold Pool 2.5% 3/1/2052  | 1503029 | 1286245 |
| Freddie Mac Gold Pool 2.5% 3/1/2052  | 923975 | 786955 |
| Freddie Mac Gold Pool 2.5% 3/1/2052  | 725932 | 626220 |
| Freddie Mac Gold Pool 2.5% 3/1/2052  | 73111 | 63183 |
| Freddie Mac Gold Pool 2.5% 3/1/2052  | 40477 | 34639 |
| Freddie Mac Gold Pool 2.5% 4/1/2027  | 810 | 801 |
| Freddie Mac Gold Pool 2.5% 4/1/2030  | 14861 | 14524 |
| Freddie Mac Gold Pool 2.5% 4/1/2031  | 1940417 | 1887196 |
| Freddie Mac Gold Pool 2.5% 4/1/2032  | 264917 | 256150 |
| Freddie Mac Gold Pool 2.5% 4/1/2033  | 416140 | 400851 |
| Freddie Mac Gold Pool 2.5% 4/1/2033  | 149004 | 143848 |
| Freddie Mac Gold Pool 2.5% 4/1/2035  | 506576 | 482363 |
| Freddie Mac Gold Pool 2.5% 4/1/2040  | 2825753 | 2578178 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 20879864 | 18813168 |
| Freddie Mac Gold Pool 2.5% 4/1/2050  | 126609 | 109218 |
| Freddie Mac Gold Pool 2.5% 4/1/2051  | 1964304 | 1674236 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 12506506 | 10718305 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 2702434 | 2345594 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 442918 | 379589 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 36213 | 30979 |
| Freddie Mac Gold Pool 2.5% 5/1/2032  | 12532 | 12130 |
| Freddie Mac Gold Pool 2.5% 5/1/2035  | 445705 | 424401 |
| Freddie Mac Gold Pool 2.5% 5/1/2050  | 860076 | 741938 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 78190548 | 67230643 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 2560166 | 2225311 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 366301 | 311980 |
| Freddie Mac Gold Pool 2.5% 5/1/2052  | 912770 | 780834 |
| Freddie Mac Gold Pool 2.5% 6/1/2027  | 12996 | 12870 |
| Freddie Mac Gold Pool 2.5% 6/1/2027  | 3530 | 3489 |
| Freddie Mac Gold Pool 2.5% 6/1/2030  | 297081 | 290137 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 72859 | 70717 |
| Freddie Mac Gold Pool 2.5% 6/1/2032  | 160010 | 154361 |
| Freddie Mac Gold Pool 2.5% 6/1/2040  | 4991344 | 4550704 |
| Freddie Mac Gold Pool 2.5% 6/1/2050  | 4956534 | 4275721 |
| Freddie Mac Gold Pool 2.5% 6/1/2050  | 2881635 | 2485823 |
| Freddie Mac Gold Pool 2.5% 6/1/2050  | 2358294 | 2034366 |
| Freddie Mac Gold Pool 2.5% 6/1/2052  | 261714 | 223885 |
| Freddie Mac Gold Pool 2.5% 7/1/2028  | 16286 | 16037 |
| Freddie Mac Gold Pool 2.5% 7/1/2030  | 5340838 | 5214122 |
| Freddie Mac Gold Pool 2.5% 7/1/2030  | 79597 | 77819 |
| Freddie Mac Gold Pool 2.5% 7/1/2030  | 3309 | 3229 |
| Freddie Mac Gold Pool 2.5% 7/1/2031  | 120047 | 116518 |
| Freddie Mac Gold Pool 2.5% 7/1/2031  | 51315 | 49805 |
| Freddie Mac Gold Pool 2.5% 7/1/2033  | 549136 | 529748 |
| Freddie Mac Gold Pool 2.5% 7/1/2033  | 28988 | 27953 |
| Freddie Mac Gold Pool 2.5% 7/1/2033  | 15635 | 15060 |
| Freddie Mac Gold Pool 2.5% 7/1/2035  | 1507487 | 1434961 |
| Freddie Mac Gold Pool 2.5% 7/1/2040  | 734301 | 669089 |
| Freddie Mac Gold Pool 2.5% 7/1/2049  | 113529 | 98006 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 83819086 | 72227393 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 160318 | 138147 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 97478 | 83997 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 46470894 | 39840928 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 40911200 | 35074432 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 28425444 | 24370008 |
| Freddie Mac Gold Pool 2.5% 7/1/2052  | 971269 | 827236 |
| Freddie Mac Gold Pool 2.5% 7/1/2052  | 675000 | 575091 |
| Freddie Mac Gold Pool 2.5% 7/1/2052  | 437259 | 372416 |
| Freddie Mac Gold Pool 2.5% 8/1/2031  | 1646406 | 1597359 |
| Freddie Mac Gold Pool 2.5% 8/1/2031  | 202322 | 196296 |
| Freddie Mac Gold Pool 2.5% 8/1/2031  | 46688 | 45262 |
| Freddie Mac Gold Pool 2.5% 8/1/2032  | 27845 | 26911 |
| Freddie Mac Gold Pool 2.5% 8/1/2035  | 17495582 | 16653851 |
| Freddie Mac Gold Pool 2.5% 8/1/2046  | 148096 | 129744 |
| Freddie Mac Gold Pool 2.5% 8/1/2049  | 59777 | 51603 |
| Freddie Mac Gold Pool 2.5% 8/1/2050  | 53331759 | 45956286 |
| Freddie Mac Gold Pool 2.5% 8/1/2050  | 155458 | 133959 |
| Freddie Mac Gold Pool 2.5% 8/1/2051  | 66112140 | 56679975 |
| Freddie Mac Gold Pool 2.5% 8/1/2051  | 2458374 | 2093811 |
| Freddie Mac Gold Pool 2.5% 8/1/2051  | 629858 | 541965 |
| Freddie Mac Gold Pool 2.5% 8/1/2052  | 500872 | 428004 |
| Freddie Mac Gold Pool 2.5% 8/1/2052  | 25139 | 21505 |
| Freddie Mac Gold Pool 2.5% 9/1/2027  | 912 | 900 |
| Freddie Mac Gold Pool 2.5% 9/1/2031  | 1096254 | 1062777 |
| Freddie Mac Gold Pool 2.5% 9/1/2031  | 64853 | 62896 |
| Freddie Mac Gold Pool 2.5% 9/1/2031  | 50767 | 49199 |
| Freddie Mac Gold Pool 2.5% 9/1/2031  | 4802 | 4655 |
| Freddie Mac Gold Pool 2.5% 9/1/2032  | 147629 | 142681 |
| Freddie Mac Gold Pool 2.5% 9/1/2032  | 146587 | 141465 |
| Freddie Mac Gold Pool 2.5% 9/1/2032  | 141259 | 136419 |
| Freddie Mac Gold Pool 2.5% 9/1/2032  | 102771 | 99107 |
| Freddie Mac Gold Pool 2.5% 9/1/2035  | 17217946 | 16389572 |
| Freddie Mac Gold Pool 2.5% 9/1/2036  | 94171 | 87878 |
| Freddie Mac Gold Pool 2.5% 9/1/2037  | 723408 | 684083 |
| Freddie Mac Gold Pool 2.5% 9/1/2037  | 38352 | 36267 |
| Freddie Mac Gold Pool 2.5% 9/1/2040  | 58316 | 52037 |
| Freddie Mac Gold Pool 2.5% 9/1/2050  | 20670157 | 17811594 |
| Freddie Mac Gold Pool 2.5% 9/1/2051  | 15232819 | 13054805 |
| Freddie Mac Gold Pool 2.5% 9/1/2051  | 10547680 | 8990112 |
| Freddie Mac Gold Pool 2.5% 9/1/2051  | 1796023 | 1539786 |
| Freddie Mac Gold Pool 2.5% 9/1/2051  | 443246 | 379870 |
| Freddie Mac Gold Pool 3% 1/1/2027  | 39523 | 39230 |
| Freddie Mac Gold Pool 3% 1/1/2028  | 33188 | 32869 |
| Freddie Mac Gold Pool 3% 1/1/2028  | 17126 | 16963 |
| Freddie Mac Gold Pool 3% 1/1/2028  | 2090 | 2070 |
| Freddie Mac Gold Pool 3% 1/1/2029  | 1553 | 1534 |
| Freddie Mac Gold Pool 3% 1/1/2031  | 32313 | 31791 |
| Freddie Mac Gold Pool 3% 1/1/2033  | 381318 | 372094 |
| Freddie Mac Gold Pool 3% 1/1/2040  | 776785 | 731834 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 1063846 | 987766 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 148179 | 137236 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 59930 | 55587 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 8175 | 7611 |
| Freddie Mac Gold Pool 3% 1/1/2044  | 2105402 | 1950544 |
| Freddie Mac Gold Pool 3% 1/1/2045  | 998565 | 917339 |
| Freddie Mac Gold Pool 3% 1/1/2047  | 42945028 | 39029116 |
| Freddie Mac Gold Pool 3% 1/1/2047  | 10595 | 9629 |
| Freddie Mac Gold Pool 3% 1/1/2048  | 894587 | 812735 |
| Freddie Mac Gold Pool 3% 1/1/2048  | 29255 | 26584 |
| Freddie Mac Gold Pool 3% 1/1/2050  | 483942 | 435824 |
| Freddie Mac Gold Pool 3% 1/1/2050  | 309324 | 278568 |
| Freddie Mac Gold Pool 3% 1/1/2050  | 23502 | 21165 |
| Freddie Mac Gold Pool 3% 1/1/2051  | 1864787 | 1678790 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 984773 | 882857 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 308115 | 275842 |
| Freddie Mac Gold Pool 3% 10/1/2026  | 19301 | 19165 |
| Freddie Mac Gold Pool 3% 10/1/2027  | 23121 | 22898 |
| Freddie Mac Gold Pool 3% 10/1/2028  | 733408 | 724870 |
| Freddie Mac Gold Pool 3% 10/1/2028  | 569444 | 562966 |
| Freddie Mac Gold Pool 3% 10/1/2028  | 85267 | 84193 |
| Freddie Mac Gold Pool 3% 10/1/2028  | 65025 | 64444 |
| Freddie Mac Gold Pool 3% 10/1/2028  | 12076 | 11933 |
| Freddie Mac Gold Pool 3% 10/1/2028  | 8888 | 8813 |
| Freddie Mac Gold Pool 3% 10/1/2029  | 107990 | 106428 |
| Freddie Mac Gold Pool 3% 10/1/2029  | 75727 | 74650 |
| Freddie Mac Gold Pool 3% 10/1/2029  | 3767 | 3709 |
| Freddie Mac Gold Pool 3% 10/1/2030  | 462348 | 454594 |
| Freddie Mac Gold Pool 3% 10/1/2030  | 174956 | 171824 |
| Freddie Mac Gold Pool 3% 10/1/2030  | 137372 | 134941 |
| Freddie Mac Gold Pool 3% 10/1/2032  | 99894 | 97645 |
| Freddie Mac Gold Pool 3% 10/1/2033  | 213137 | 207537 |
| Freddie Mac Gold Pool 3% 10/1/2039  | 256224 | 242998 |
| Freddie Mac Gold Pool 3% 10/1/2039  | 253019 | 238377 |
| Freddie Mac Gold Pool 3% 10/1/2040  | 324346 | 304056 |
| Freddie Mac Gold Pool 3% 10/1/2042  | 991572 | 919844 |
| Freddie Mac Gold Pool 3% 10/1/2042  | 589175 | 546126 |
| Freddie Mac Gold Pool 3% 10/1/2042  | 105336 | 97826 |
| Freddie Mac Gold Pool 3% 10/1/2042  | 78169 | 72449 |
| Freddie Mac Gold Pool 3% 10/1/2042  | 55449 | 51585 |
| Freddie Mac Gold Pool 3% 10/1/2042  | 8679 | 8178 |
| Freddie Mac Gold Pool 3% 10/1/2043  | 975645 | 905271 |
| Freddie Mac Gold Pool 3% 10/1/2043  | 105077 | 97492 |
| Freddie Mac Gold Pool 3% 10/1/2043  | 38238 | 35376 |
| Freddie Mac Gold Pool 3% 10/1/2043  | 21357 | 19801 |
| Freddie Mac Gold Pool 3% 10/1/2047  | 1147640 | 1042635 |
| Freddie Mac Gold Pool 3% 10/1/2048  | 560482 | 508256 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 12606599 | 11353134 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 622519 | 560622 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 431129 | 388262 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 285024 | 256684 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 61745 | 55605 |
| Freddie Mac Gold Pool 3% 10/1/2050  | 8940309 | 8054174 |
| Freddie Mac Gold Pool 3% 10/1/2050  | 997648 | 895959 |
| Freddie Mac Gold Pool 3% 10/1/2050  | 64133 | 57596 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 1778056 | 1595153 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 157593 | 140717 |
| Freddie Mac Gold Pool 3% 11/1/2028  | 19071 | 18829 |
| Freddie Mac Gold Pool 3% 11/1/2029  | 22419 | 22084 |
| Freddie Mac Gold Pool 3% 11/1/2030  | 1073342 | 1059562 |
| Freddie Mac Gold Pool 3% 11/1/2030  | 8197 | 8051 |
| Freddie Mac Gold Pool 3% 11/1/2032  | 248626 | 243283 |
| Freddie Mac Gold Pool 3% 11/1/2032  | 108192 | 105733 |
| Freddie Mac Gold Pool 3% 11/1/2033  | 312671 | 304454 |
| Freddie Mac Gold Pool 3% 11/1/2034  | 42099 | 40975 |
| Freddie Mac Gold Pool 3% 11/1/2042  | 213935 | 198006 |
| Freddie Mac Gold Pool 3% 11/1/2042  | 139687 | 129892 |
| Freddie Mac Gold Pool 3% 11/1/2043  | 20742 | 19187 |
| Freddie Mac Gold Pool 3% 11/1/2047  | 79841 | 72535 |
| Freddie Mac Gold Pool 3% 11/1/2048  | 1968702 | 1783414 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 185102 | 166698 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 79842 | 71903 |
| Freddie Mac Gold Pool 3% 11/1/2050  | 1212034 | 1088493 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 1719341 | 1537642 |
| Freddie Mac Gold Pool 3% 12/1/2028  | 1506 | 1487 |
| Freddie Mac Gold Pool 3% 12/1/2029  | 1158198 | 1140893 |
| Freddie Mac Gold Pool 3% 12/1/2030  | 4194 | 4115 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 626004 | 611503 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 581200 | 567872 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 146207 | 142703 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 17657 | 17234 |
| Freddie Mac Gold Pool 3% 12/1/2034  | 226034 | 219999 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 20334318 | 18943381 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 138726 | 128759 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 77097 | 71449 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 64331 | 59742 |
| Freddie Mac Gold Pool 3% 12/1/2044  | 1281028 | 1166867 |
| Freddie Mac Gold Pool 3% 12/1/2047  | 249260 | 226453 |
| Freddie Mac Gold Pool 3% 12/1/2049  | 1908021 | 1718307 |
| Freddie Mac Gold Pool 3% 12/1/2049  | 210099 | 190325 |
| Freddie Mac Gold Pool 3% 12/1/2051  | 61028 | 54235 |
| Freddie Mac Gold Pool 3% 2/1/2027  | 27588 | 27374 |
| Freddie Mac Gold Pool 3% 2/1/2028  | 15676 | 15524 |
| Freddie Mac Gold Pool 3% 2/1/2028  | 6748 | 6677 |
| Freddie Mac Gold Pool 3% 2/1/2029  | 1570 | 1551 |
| Freddie Mac Gold Pool 3% 2/1/2030  | 98080 | 96583 |
| Freddie Mac Gold Pool 3% 2/1/2030  | 85460 | 84155 |
| Freddie Mac Gold Pool 3% 2/1/2030  | 60256 | 59437 |
| Freddie Mac Gold Pool 3% 2/1/2030  | 11394 | 11219 |
| Freddie Mac Gold Pool 3% 2/1/2031  | 4127 | 4053 |
| Freddie Mac Gold Pool 3% 2/1/2032  | 4399 | 4306 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 1713094 | 1673800 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 239291 | 233449 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 104032 | 101422 |
| Freddie Mac Gold Pool 3% 2/1/2035  | 851040 | 827254 |
| Freddie Mac Gold Pool 3% 2/1/2038  | 588375 | 558556 |
| Freddie Mac Gold Pool 3% 2/1/2040  | 5005065 | 4699797 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 1076552 | 997147 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 805851 | 750363 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 488630 | 454267 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 146824 | 136438 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 42730 | 39676 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 12180 | 11305 |
| Freddie Mac Gold Pool 3% 2/1/2047  | 3974845 | 3612402 |
| Freddie Mac Gold Pool 3% 2/1/2047  | 3826456 | 3477543 |
| Freddie Mac Gold Pool 3% 2/1/2049  | 307853 | 279071 |
| Freddie Mac Gold Pool 3% 2/1/2050  | 623042 | 554668 |
| Freddie Mac Gold Pool 3% 2/1/2050  | 267876 | 242497 |
| Freddie Mac Gold Pool 3% 2/1/2050  | 261898 | 235858 |
| Freddie Mac Gold Pool 3% 2/1/2050  | 43827 | 39470 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 1923634 | 1709525 |
| Freddie Mac Gold Pool 3% 3/1/2027  | 102744 | 101888 |
| Freddie Mac Gold Pool 3% 3/1/2027  | 27250 | 27022 |
| Freddie Mac Gold Pool 3% 3/1/2027  | 6303 | 6252 |
| Freddie Mac Gold Pool 3% 3/1/2032  | 2498637 | 2445765 |
| Freddie Mac Gold Pool 3% 3/1/2032  | 44070 | 43183 |
| Freddie Mac Gold Pool 3% 3/1/2033  | 473216 | 461665 |
| Freddie Mac Gold Pool 3% 3/1/2033  | 141271 | 138032 |
| Freddie Mac Gold Pool 3% 3/1/2033  | 43275 | 42218 |
| Freddie Mac Gold Pool 3% 3/1/2040  | 2873207 | 2697965 |
| Freddie Mac Gold Pool 3% 3/1/2040  | 278942 | 261842 |
| Freddie Mac Gold Pool 3% 3/1/2043  | 531348 | 495622 |
| Freddie Mac Gold Pool 3% 3/1/2043  | 499940 | 464479 |
| Freddie Mac Gold Pool 3% 3/1/2043  | 322707 | 299017 |
| Freddie Mac Gold Pool 3% 3/1/2043  | 95790 | 88842 |
| Freddie Mac Gold Pool 3% 3/1/2043  | 35157 | 32699 |
| Freddie Mac Gold Pool 3% 3/1/2045  | 858454 | 789059 |
| Freddie Mac Gold Pool 3% 3/1/2045  | 841621 | 771060 |
| Freddie Mac Gold Pool 3% 3/1/2045  | 484754 | 445133 |
| Freddie Mac Gold Pool 3% 3/1/2047  | 8845595 | 8039016 |
| Freddie Mac Gold Pool 3% 3/1/2048  | 195939 | 177804 |
| Freddie Mac Gold Pool 3% 3/1/2049  | 230042 | 207816 |
| Freddie Mac Gold Pool 3% 3/1/2049  | 221382 | 200546 |
| Freddie Mac Gold Pool 3% 3/1/2050  | 3899866 | 3530386 |
| Freddie Mac Gold Pool 3% 3/1/2050  | 192664 | 173508 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 163561 | 145356 |
| Freddie Mac Gold Pool 3% 4/1/2027  | 32859 | 32584 |
| Freddie Mac Gold Pool 3% 4/1/2027  | 10592 | 10500 |
| Freddie Mac Gold Pool 3% 4/1/2028  | 91280 | 90325 |
| Freddie Mac Gold Pool 3% 4/1/2028  | 33729 | 33383 |
| Freddie Mac Gold Pool 3% 4/1/2028  | 17551 | 17367 |
| Freddie Mac Gold Pool 3% 4/1/2029  | 10570 | 10430 |
| Freddie Mac Gold Pool 3% 4/1/2030  | 110233 | 108484 |
| Freddie Mac Gold Pool 3% 4/1/2030  | 27755 | 27308 |
| Freddie Mac Gold Pool 3% 4/1/2030  | 17318 | 17040 |
| Freddie Mac Gold Pool 3% 4/1/2033  | 51055 | 49797 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 269117 | 262521 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 30621 | 29901 |
| Freddie Mac Gold Pool 3% 4/1/2038  | 92436 | 87752 |
| Freddie Mac Gold Pool 3% 4/1/2039  | 403388 | 381432 |
| Freddie Mac Gold Pool 3% 4/1/2040  | 536938 | 504022 |
| Freddie Mac Gold Pool 3% 4/1/2043  | 1802558 | 1671864 |
| Freddie Mac Gold Pool 3% 4/1/2043  | 111271 | 103401 |
| Freddie Mac Gold Pool 3% 4/1/2043  | 27736 | 25710 |
| Freddie Mac Gold Pool 3% 4/1/2043  | 15171 | 14045 |
| Freddie Mac Gold Pool 3% 4/1/2045  | 615120 | 564474 |
| Freddie Mac Gold Pool 3% 4/1/2045  | 60899 | 55667 |
| Freddie Mac Gold Pool 3% 4/1/2045  | 29422 | 26869 |
| Freddie Mac Gold Pool 3% 4/1/2045  | 19898 | 18339 |
| Freddie Mac Gold Pool 3% 4/1/2045  | 15849 | 14559 |
| Freddie Mac Gold Pool 3% 4/1/2047  | 255560 | 232257 |
| Freddie Mac Gold Pool 3% 4/1/2048  | 62351 | 56580 |
| Freddie Mac Gold Pool 3% 4/1/2049  | 245565 | 221839 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 12819538 | 11604992 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 2457931 | 2213540 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 286543 | 258052 |
| Freddie Mac Gold Pool 3% 4/1/2051  | 180903 | 162181 |
| Freddie Mac Gold Pool 3% 4/1/2052  | 866278 | 769857 |
| Freddie Mac Gold Pool 3% 5/1/2028  | 35909 | 35553 |
| Freddie Mac Gold Pool 3% 5/1/2029  | 16275 | 16095 |
| Freddie Mac Gold Pool 3% 5/1/2029  | 2446 | 2409 |
| Freddie Mac Gold Pool 3% 5/1/2029  | 1183 | 1167 |
| Freddie Mac Gold Pool 3% 5/1/2030  | 38656 | 38094 |
| Freddie Mac Gold Pool 3% 5/1/2030  | 30579 | 30080 |
| Freddie Mac Gold Pool 3% 5/1/2030  | 12177 | 11981 |
| Freddie Mac Gold Pool 3% 5/1/2032  | 2799635 | 2739744 |
| Freddie Mac Gold Pool 3% 5/1/2033  | 7531 | 7346 |
| Freddie Mac Gold Pool 3% 5/1/2043  | 4434368 | 4104927 |
| Freddie Mac Gold Pool 3% 5/1/2043  | 687327 | 636826 |
| Freddie Mac Gold Pool 3% 5/1/2043  | 644626 | 598392 |
| Freddie Mac Gold Pool 3% 5/1/2043  | 373328 | 345702 |
| Freddie Mac Gold Pool 3% 5/1/2043  | 224281 | 207001 |
| Freddie Mac Gold Pool 3% 5/1/2043  | 199788 | 185642 |
| Freddie Mac Gold Pool 3% 5/1/2043  | 848 | 781 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 1478077 | 1355896 |
| Freddie Mac Gold Pool 3% 5/1/2048  | 637997 | 578948 |
| Freddie Mac Gold Pool 3% 5/1/2050  | 3009323 | 2704466 |
| Freddie Mac Gold Pool 3% 5/1/2050  | 624926 | 561619 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 632960 | 569234 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 440019 | 395719 |
| Freddie Mac Gold Pool 3% 5/1/2052  | 11290707 | 10034003 |
| Freddie Mac Gold Pool 3% 5/1/2052  | 365869 | 326290 |
| Freddie Mac Gold Pool 3% 6/1/2027  | 23946 | 23732 |
| Freddie Mac Gold Pool 3% 6/1/2028  | 74769 | 74001 |
| Freddie Mac Gold Pool 3% 6/1/2028  | 37910 | 37473 |
| Freddie Mac Gold Pool 3% 6/1/2029  | 6325 | 6240 |
| Freddie Mac Gold Pool 3% 6/1/2030  | 572269 | 562937 |
| Freddie Mac Gold Pool 3% 6/1/2030  | 29162 | 28699 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 30556 | 29958 |
| Freddie Mac Gold Pool 3% 6/1/2043  | 2293231 | 2127582 |
| Freddie Mac Gold Pool 3% 6/1/2043  | 399607 | 370566 |
| Freddie Mac Gold Pool 3% 6/1/2043  | 397328 | 370197 |
| Freddie Mac Gold Pool 3% 6/1/2043  | 277153 | 256982 |
| Freddie Mac Gold Pool 3% 6/1/2043  | 269575 | 249571 |
| Freddie Mac Gold Pool 3% 6/1/2043  | 184370 | 170628 |
| Freddie Mac Gold Pool 3% 6/1/2043  | 63962 | 59177 |
| Freddie Mac Gold Pool 3% 6/1/2043  | 39873 | 36880 |
| Freddie Mac Gold Pool 3% 6/1/2043  | 36352 | 33647 |
| Freddie Mac Gold Pool 3% 6/1/2043  | 3040 | 2828 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 3959193 | 3630751 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 97331 | 89435 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 51050 | 46653 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 4290 | 3943 |
| Freddie Mac Gold Pool 3% 6/1/2049  | 413292 | 373361 |
| Freddie Mac Gold Pool 3% 6/1/2049  | 45175 | 40810 |
| Freddie Mac Gold Pool 3% 6/1/2049  | 3687 | 3331 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 58480571 | 52556239 |
| Freddie Mac Gold Pool 3% 6/1/2051  | 35727 | 31750 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 26243583 | 23396369 |
| Freddie Mac Gold Pool 3% 6/1/2053  | 791512 | 703414 |
| Freddie Mac Gold Pool 3% 7/1/2028  | 23044 | 22776 |
| Freddie Mac Gold Pool 3% 7/1/2028  | 13922 | 13767 |
| Freddie Mac Gold Pool 3% 7/1/2028  | 9800 | 9700 |
| Freddie Mac Gold Pool 3% 7/1/2028  | 1651 | 1634 |
| Freddie Mac Gold Pool 3% 7/1/2029  | 354701 | 349925 |
| Freddie Mac Gold Pool 3% 7/1/2031  | 6292 | 6164 |
| Freddie Mac Gold Pool 3% 7/1/2032  | 1197944 | 1175196 |
| Freddie Mac Gold Pool 3% 7/1/2032  | 400268 | 391420 |
| Freddie Mac Gold Pool 3% 7/1/2034  | 117395 | 114444 |
| Freddie Mac Gold Pool 3% 7/1/2034  | 12603 | 12286 |
| Freddie Mac Gold Pool 3% 7/1/2042  | 1272016 | 1182804 |
| Freddie Mac Gold Pool 3% 7/1/2042  | 73498 | 68420 |
| Freddie Mac Gold Pool 3% 7/1/2042  | 1493 | 1415 |
| Freddie Mac Gold Pool 3% 7/1/2043  | 8849758 | 8190497 |
| Freddie Mac Gold Pool 3% 7/1/2043  | 512870 | 475122 |
| Freddie Mac Gold Pool 3% 7/1/2043  | 500532 | 464989 |
| Freddie Mac Gold Pool 3% 7/1/2043  | 448903 | 415776 |
| Freddie Mac Gold Pool 3% 7/1/2043  | 230282 | 212447 |
| Freddie Mac Gold Pool 3% 7/1/2043  | 172029 | 159481 |
| Freddie Mac Gold Pool 3% 7/1/2043  | 54377 | 50316 |
| Freddie Mac Gold Pool 3% 7/1/2043  | 16435 | 15283 |
| Freddie Mac Gold Pool 3% 7/1/2043  | 689 | 640 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 6323038 | 5795948 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 209473 | 192206 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 136647 | 125208 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 7173 | 6574 |
| Freddie Mac Gold Pool 3% 7/1/2047  | 44589 | 40523 |
| Freddie Mac Gold Pool 3% 7/1/2048  | 463054 | 420197 |
| Freddie Mac Gold Pool 3% 7/1/2049  | 57846 | 52257 |
| Freddie Mac Gold Pool 3% 7/1/2049  | 37595 | 33963 |
| Freddie Mac Gold Pool 3% 7/1/2049  | 9332 | 8431 |
| Freddie Mac Gold Pool 3% 7/1/2051  | 533525 | 474141 |
| Freddie Mac Gold Pool 3% 7/1/2052  | 719137 | 639094 |
| Freddie Mac Gold Pool 3% 8/1/2027  | 25170 | 24952 |
| Freddie Mac Gold Pool 3% 8/1/2028  | 47559 | 46986 |
| Freddie Mac Gold Pool 3% 8/1/2028  | 24010 | 23727 |
| Freddie Mac Gold Pool 3% 8/1/2028  | 7764 | 7676 |
| Freddie Mac Gold Pool 3% 8/1/2028  | 3670 | 3636 |
| Freddie Mac Gold Pool 3% 8/1/2029  | 7137 | 7035 |
| Freddie Mac Gold Pool 3% 8/1/2030  | 949086 | 933596 |
| Freddie Mac Gold Pool 3% 8/1/2030  | 48035 | 47186 |
| Freddie Mac Gold Pool 3% 8/1/2031  | 57332 | 56211 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 1975020 | 1931411 |
| Freddie Mac Gold Pool 3% 8/1/2034  | 1537053 | 1498416 |
| Freddie Mac Gold Pool 3% 8/1/2042  | 86176 | 79963 |
| Freddie Mac Gold Pool 3% 8/1/2043  | 253327 | 234227 |
| Freddie Mac Gold Pool 3% 8/1/2043  | 132626 | 122827 |
| Freddie Mac Gold Pool 3% 8/1/2043  | 129303 | 119668 |
| Freddie Mac Gold Pool 3% 8/1/2043  | 106844 | 98848 |
| Freddie Mac Gold Pool 3% 8/1/2043  | 83183 | 77153 |
| Freddie Mac Gold Pool 3% 8/1/2043  | 76836 | 71332 |
| Freddie Mac Gold Pool 3% 8/1/2043  | 58086 | 53715 |
| Freddie Mac Gold Pool 3% 8/1/2043  | 44312 | 40982 |
| Freddie Mac Gold Pool 3% 8/1/2043  | 40475 | 37641 |
| Freddie Mac Gold Pool 3% 8/1/2043  | 38824 | 35973 |
| Freddie Mac Gold Pool 3% 8/1/2043  | 31140 | 28760 |
| Freddie Mac Gold Pool 3% 8/1/2047  | 145687 | 132357 |
| Freddie Mac Gold Pool 3% 8/1/2047  | 81677 | 74229 |
| Freddie Mac Gold Pool 3% 8/1/2049  | 162593 | 146884 |
| Freddie Mac Gold Pool 3% 8/1/2049  | 79280 | 71620 |
| Freddie Mac Gold Pool 3% 8/1/2049  | 32185 | 28985 |
| Freddie Mac Gold Pool 3% 8/1/2050  | 247990 | 222713 |
| Freddie Mac Gold Pool 3% 8/1/2050  | 12681 | 11424 |
| Freddie Mac Gold Pool 3% 8/1/2051  | 5420301 | 4816998 |
| Freddie Mac Gold Pool 3% 8/1/2052  | 7949999 | 7065130 |
| Freddie Mac Gold Pool 3% 8/1/2052  | 629781 | 561455 |
| Freddie Mac Gold Pool 3% 8/1/2053  | 2216072 | 1969413 |
| Freddie Mac Gold Pool 3% 9/1/2027  | 1174 | 1163 |
| Freddie Mac Gold Pool 3% 9/1/2028  | 67114 | 66351 |
| Freddie Mac Gold Pool 3% 9/1/2028  | 30813 | 30442 |
| Freddie Mac Gold Pool 3% 9/1/2029  | 64104 | 63118 |
| Freddie Mac Gold Pool 3% 9/1/2030  | 551424 | 542072 |
| Freddie Mac Gold Pool 3% 9/1/2032  | 324324 | 316674 |
| Freddie Mac Gold Pool 3% 9/1/2032  | 68738 | 67205 |
| Freddie Mac Gold Pool 3% 9/1/2033  | 511988 | 499016 |
| Freddie Mac Gold Pool 3% 9/1/2034  | 1078537 | 1051426 |
| Freddie Mac Gold Pool 3% 9/1/2039  | 49520 | 46655 |
| Freddie Mac Gold Pool 3% 9/1/2042  | 175038 | 162741 |
| Freddie Mac Gold Pool 3% 9/1/2043  | 919786 | 850603 |
| Freddie Mac Gold Pool 3% 9/1/2043  | 246012 | 226846 |
| Freddie Mac Gold Pool 3% 9/1/2043  | 220752 | 204167 |
| Freddie Mac Gold Pool 3% 9/1/2043  | 170667 | 158088 |
| Freddie Mac Gold Pool 3% 9/1/2043  | 103821 | 95794 |
| Freddie Mac Gold Pool 3% 9/1/2043  | 65675 | 60423 |
| Freddie Mac Gold Pool 3% 9/1/2043  | 10888 | 10008 |
| Freddie Mac Gold Pool 3% 9/1/2045  | 7895 | 7236 |
| Freddie Mac Gold Pool 3% 9/1/2046  | 3216424 | 2970250 |
| Freddie Mac Gold Pool 3% 9/1/2047  | 31407 | 28534 |
| Freddie Mac Gold Pool 3% 9/1/2049  | 5603064 | 5045955 |
| Freddie Mac Gold Pool 3% 9/1/2049  | 266245 | 239939 |
| Freddie Mac Gold Pool 3% 9/1/2050  | 1976093 | 1780229 |
| Freddie Mac Gold Pool 3.5% 1/1/2029  | 51863 | 51547 |
| Freddie Mac Gold Pool 3.5% 1/1/2029  | 3843 | 3817 |
| Freddie Mac Gold Pool 3.5% 1/1/2030  | 102576 | 101928 |
| Freddie Mac Gold Pool 3.5% 1/1/2030  | 16663 | 16585 |
| Freddie Mac Gold Pool 3.5% 1/1/2030  | 6537 | 6488 |
| Freddie Mac Gold Pool 3.5% 1/1/2031  | 95508 | 94723 |
| Freddie Mac Gold Pool 3.5% 1/1/2034  | 95557 | 94197 |
| Freddie Mac Gold Pool 3.5% 1/1/2034  | 6049 | 5984 |
| Freddie Mac Gold Pool 3.5% 1/1/2038  | 32447 | 31671 |
| Freddie Mac Gold Pool 3.5% 1/1/2044  | 7372059 | 7029487 |
| Freddie Mac Gold Pool 3.5% 1/1/2044  | 1294259 | 1235457 |
| Freddie Mac Gold Pool 3.5% 1/1/2045  | 432517 | 410439 |
| Freddie Mac Gold Pool 3.5% 1/1/2045  | 5945 | 5626 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 11326 | 10696 |
| Freddie Mac Gold Pool 3.5% 1/1/2047  | 104123 | 98036 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 1515138 | 1424196 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 417003 | 391974 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 44027 | 41384 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 29550 | 27776 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 11416 | 10719 |
| Freddie Mac Gold Pool 3.5% 1/1/2049  | 71411 | 66980 |
| Freddie Mac Gold Pool 3.5% 1/1/2050  | 372162 | 348137 |
| Freddie Mac Gold Pool 3.5% 1/1/2052  | 1291541 | 1202515 |
| Freddie Mac Gold Pool 3.5% 1/1/2052  | 369743 | 342177 |
| Freddie Mac Gold Pool 3.5% 1/1/2052  | 60475 | 56079 |
| Freddie Mac Gold Pool 3.5% 1/1/2054  | 247016 | 228599 |
| Freddie Mac Gold Pool 3.5% 10/1/2033  | 1513721 | 1495579 |
| Freddie Mac Gold Pool 3.5% 10/1/2033  | 243456 | 240295 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 244344 | 232991 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 132538 | 126607 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 29465 | 28157 |
| Freddie Mac Gold Pool 3.5% 10/1/2045  | 4003904 | 3780145 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 2059286 | 1936970 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 255611 | 240428 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 204007 | 191889 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 27816 | 26134 |
| Freddie Mac Gold Pool 3.5% 10/1/2048  | 275877 | 258844 |
| Freddie Mac Gold Pool 3.5% 10/1/2048  | 99910 | 93741 |
| Freddie Mac Gold Pool 3.5% 10/1/2048  | 15408 | 14473 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 584621 | 576300 |
| Freddie Mac Gold Pool 3.5% 11/1/2037  | 18624 | 18178 |
| Freddie Mac Gold Pool 3.5% 11/1/2039  | 50171 | 48641 |
| Freddie Mac Gold Pool 3.5% 11/1/2044  | 282949 | 267980 |
| Freddie Mac Gold Pool 3.5% 11/1/2045  | 5907125 | 5586660 |
| Freddie Mac Gold Pool 3.5% 11/1/2045  | 4835 | 4566 |
| Freddie Mac Gold Pool 3.5% 11/1/2046  | 45730 | 43057 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 866739 | 815257 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 170266 | 160153 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 25844 | 24309 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 22257 | 20935 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 21990 | 20683 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 5207 | 4898 |
| Freddie Mac Gold Pool 3.5% 11/1/2048  | 477898 | 448915 |
| Freddie Mac Gold Pool 3.5% 11/1/2048  | 267933 | 251390 |
| Freddie Mac Gold Pool 3.5% 11/1/2048  | 164557 | 154705 |
| Freddie Mac Gold Pool 3.5% 11/1/2048  | 89582 | 84023 |
| Freddie Mac Gold Pool 3.5% 11/1/2049  | 187577 | 175527 |
| Freddie Mac Gold Pool 3.5% 11/1/2049  | 8977 | 8425 |
| Freddie Mac Gold Pool 3.5% 11/1/2054  | 960811 | 889478 |
| Freddie Mac Gold Pool 3.5% 12/1/2025  | 11 | 11 |
| Freddie Mac Gold Pool 3.5% 12/1/2026  | 15158 | 15085 |
| Freddie Mac Gold Pool 3.5% 12/1/2029  | 215138 | 213692 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  | 341571 | 336709 |
| Freddie Mac Gold Pool 3.5% 12/1/2042  | 172372 | 164357 |
| Freddie Mac Gold Pool 3.5% 12/1/2042  | 115838 | 110517 |
| Freddie Mac Gold Pool 3.5% 12/1/2044  | 1389045 | 1326646 |
| Freddie Mac Gold Pool 3.5% 12/1/2044  | 4505 | 4264 |
| Freddie Mac Gold Pool 3.5% 12/1/2045  | 1972055 | 1859537 |
| Freddie Mac Gold Pool 3.5% 12/1/2045  | 6240 | 5893 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  | 470676 | 443160 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 4003509 | 3763209 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 2562640 | 2408825 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 1005330 | 944988 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 179592 | 168813 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 31509 | 29618 |
| Freddie Mac Gold Pool 3.5% 12/1/2048  | 676091 | 634770 |
| Freddie Mac Gold Pool 3.5% 12/1/2048  | 73856 | 69342 |
| Freddie Mac Gold Pool 3.5% 12/1/2048  | 71968 | 67581 |
| Freddie Mac Gold Pool 3.5% 12/1/2048  | 67261 | 63224 |
| Freddie Mac Gold Pool 3.5% 12/1/2051  | 463353 | 430545 |
| Freddie Mac Gold Pool 3.5% 12/1/2051  | 77087 | 71340 |
| Freddie Mac Gold Pool 3.5% 2/1/2033  | 27049 | 26733 |
| Freddie Mac Gold Pool 3.5% 2/1/2042  | 2714354 | 2595134 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 1302788 | 1236078 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 141648 | 135319 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 59585 | 56790 |
| Freddie Mac Gold Pool 3.5% 2/1/2044  | 938089 | 893303 |
| Freddie Mac Gold Pool 3.5% 2/1/2044  | 594243 | 566798 |
| Freddie Mac Gold Pool 3.5% 2/1/2044  | 2236 | 2124 |
| Freddie Mac Gold Pool 3.5% 2/1/2045  | 5179847 | 4901334 |
| Freddie Mac Gold Pool 3.5% 2/1/2045  | 976894 | 923466 |
| Freddie Mac Gold Pool 3.5% 2/1/2046  | 31552 | 29796 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 762844 | 717056 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 467594 | 439528 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 59382 | 55818 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 29521 | 27749 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 5227 | 4913 |
| Freddie Mac Gold Pool 3.5% 2/1/2049  | 157234 | 147477 |
| Freddie Mac Gold Pool 3.5% 2/1/2049  | 20011 | 18769 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 1425758 | 1319460 |
| Freddie Mac Gold Pool 3.5% 3/1/2030  | 7475 | 7425 |
| Freddie Mac Gold Pool 3.5% 3/1/2032  | 76282 | 75582 |
| Freddie Mac Gold Pool 3.5% 3/1/2033  | 169048 | 167075 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 1070052 | 1011846 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 6856475 | 6474931 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 11568 | 10924 |
| Freddie Mac Gold Pool 3.5% 3/1/2048  | 3989770 | 3762763 |
| Freddie Mac Gold Pool 3.5% 3/1/2048  | 1410646 | 1325976 |
| Freddie Mac Gold Pool 3.5% 3/1/2048  | 621277 | 583987 |
| Freddie Mac Gold Pool 3.5% 3/1/2048  | 560214 | 526588 |
| Freddie Mac Gold Pool 3.5% 3/1/2048  | 298031 | 280142 |
| Freddie Mac Gold Pool 3.5% 3/1/2048  | 60136 | 56527 |
| Freddie Mac Gold Pool 3.5% 3/1/2048  | 42292 | 39754 |
| Freddie Mac Gold Pool 3.5% 3/1/2048  | 25917 | 24362 |
| Freddie Mac Gold Pool 3.5% 3/1/2049  | 87121 | 81810 |
| Freddie Mac Gold Pool 3.5% 3/1/2049  | 74449 | 69829 |
| Freddie Mac Gold Pool 3.5% 3/1/2049  | 67616 | 63420 |
| Freddie Mac Gold Pool 3.5% 3/1/2049  | 15141 | 14225 |
| Freddie Mac Gold Pool 3.5% 3/1/2050  | 40569674 | 38267625 |
| Freddie Mac Gold Pool 3.5% 3/1/2050  | 444482 | 415650 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 949520 | 878728 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 866780 | 802157 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 838283 | 775784 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 767130 | 709936 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 272951 | 252601 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 220653 | 204202 |
| Freddie Mac Gold Pool 3.5% 4/1/2028  | 97786 | 97299 |
| Freddie Mac Gold Pool 3.5% 4/1/2029  | 7809 | 7765 |
| Freddie Mac Gold Pool 3.5% 4/1/2029  | 2696 | 2677 |
| Freddie Mac Gold Pool 3.5% 4/1/2030  | 252490 | 250613 |
| Freddie Mac Gold Pool 3.5% 4/1/2030  | 171731 | 170598 |
| Freddie Mac Gold Pool 3.5% 4/1/2033  | 148823 | 147086 |
| Freddie Mac Gold Pool 3.5% 4/1/2033  | 3489 | 3444 |
| Freddie Mac Gold Pool 3.5% 4/1/2034  | 98310 | 96849 |
| Freddie Mac Gold Pool 3.5% 4/1/2037  | 451664 | 441050 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 5077869 | 4855266 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 112483 | 107510 |
| Freddie Mac Gold Pool 3.5% 4/1/2044  | 302916 | 286011 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 4578953 | 4318424 |
| Freddie Mac Gold Pool 3.5% 4/1/2047  | 105455 | 99257 |
| Freddie Mac Gold Pool 3.5% 4/1/2047  | 18008 | 16950 |
| Freddie Mac Gold Pool 3.5% 4/1/2048  | 102956 | 96776 |
| Freddie Mac Gold Pool 3.5% 4/1/2048  | 28840 | 27109 |
| Freddie Mac Gold Pool 3.5% 4/1/2050  | 91119 | 85208 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 1544242 | 1429110 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 1017046 | 941219 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 961571 | 889880 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 139338 | 128949 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 66728 | 61795 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 39746 | 36807 |
| Freddie Mac Gold Pool 3.5% 4/1/2053  | 21922 | 20301 |
| Freddie Mac Gold Pool 3.5% 5/1/2032  | 481211 | 476790 |
| Freddie Mac Gold Pool 3.5% 5/1/2032  | 2737 | 2708 |
| Freddie Mac Gold Pool 3.5% 5/1/2033  | 40833 | 40356 |
| Freddie Mac Gold Pool 3.5% 5/1/2033  | 5657 | 5591 |
| Freddie Mac Gold Pool 3.5% 5/1/2037  | 680231 | 664384 |
| Freddie Mac Gold Pool 3.5% 5/1/2037  | 339108 | 331526 |
| Freddie Mac Gold Pool 3.5% 5/1/2037  | 225098 | 219741 |
| Freddie Mac Gold Pool 3.5% 5/1/2037  | 52382 | 51197 |
| Freddie Mac Gold Pool 3.5% 5/1/2038  | 20174 | 19704 |
| Freddie Mac Gold Pool 3.5% 5/1/2039  | 185414 | 180050 |
| Freddie Mac Gold Pool 3.5% 5/1/2042  | 176997 | 168416 |
| Freddie Mac Gold Pool 3.5% 5/1/2043  | 1880966 | 1788118 |
| Freddie Mac Gold Pool 3.5% 5/1/2043  | 1873865 | 1782572 |
| Freddie Mac Gold Pool 3.5% 5/1/2043  | 210383 | 200281 |
| Freddie Mac Gold Pool 3.5% 5/1/2043  | 157410 | 149605 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 2483047 | 2346951 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 1847197 | 1746137 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 241556 | 227812 |
| Freddie Mac Gold Pool 3.5% 5/1/2047  | 310234 | 292001 |
| Freddie Mac Gold Pool 3.5% 5/1/2047  | 38297 | 36046 |
| Freddie Mac Gold Pool 3.5% 5/1/2048  | 467047 | 439013 |
| Freddie Mac Gold Pool 3.5% 5/1/2048  | 236202 | 221765 |
| Freddie Mac Gold Pool 3.5% 5/1/2048  | 189286 | 177717 |
| Freddie Mac Gold Pool 3.5% 5/1/2048  | 101962 | 96002 |
| Freddie Mac Gold Pool 3.5% 5/1/2048  | 18664 | 17544 |
| Freddie Mac Gold Pool 3.5% 5/1/2049  | 136355 | 127808 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 7531245 | 6993284 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 2597592 | 2405550 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 788985 | 730162 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 39672 | 36838 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 34255 | 31915 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 21078 | 19573 |
| Freddie Mac Gold Pool 3.5% 6/1/2030  | 278716 | 276916 |
| Freddie Mac Gold Pool 3.5% 6/1/2032  | 22334 | 22115 |
| Freddie Mac Gold Pool 3.5% 6/1/2036  | 208418 | 204083 |
| Freddie Mac Gold Pool 3.5% 6/1/2037  | 709483 | 693620 |
| Freddie Mac Gold Pool 3.5% 6/1/2037  | 435305 | 426117 |
| Freddie Mac Gold Pool 3.5% 6/1/2037  | 185574 | 181657 |
| Freddie Mac Gold Pool 3.5% 6/1/2037  | 173276 | 169239 |
| Freddie Mac Gold Pool 3.5% 6/1/2037  | 149792 | 146181 |
| Freddie Mac Gold Pool 3.5% 6/1/2038  | 100044 | 97713 |
| Freddie Mac Gold Pool 3.5% 6/1/2039  | 1675392 | 1626922 |
| Freddie Mac Gold Pool 3.5% 6/1/2043  | 38319 | 36560 |
| Freddie Mac Gold Pool 3.5% 6/1/2043  | 22514 | 21423 |
| Freddie Mac Gold Pool 3.5% 6/1/2047  | 981889 | 924181 |
| Freddie Mac Gold Pool 3.5% 6/1/2047  | 400396 | 376989 |
| Freddie Mac Gold Pool 3.5% 6/1/2048  | 649795 | 610793 |
| Freddie Mac Gold Pool 3.5% 6/1/2048  | 228695 | 214718 |
| Freddie Mac Gold Pool 3.5% 6/1/2048  | 71316 | 66957 |
| Freddie Mac Gold Pool 3.5% 6/1/2049  | 10118714 | 9484467 |
| Freddie Mac Gold Pool 3.5% 6/1/2049  | 65666 | 61550 |
| Freddie Mac Gold Pool 3.5% 6/1/2052  | 5579466 | 5193127 |
| Freddie Mac Gold Pool 3.5% 6/1/2052  | 1326115 | 1227246 |
| Freddie Mac Gold Pool 3.5% 6/1/2052  | 604521 | 559451 |
| Freddie Mac Gold Pool 3.5% 6/1/2052  | 581328 | 537986 |
| Freddie Mac Gold Pool 3.5% 6/1/2052  | 218795 | 202483 |
| Freddie Mac Gold Pool 3.5% 6/1/2052  | 83767 | 77731 |
| Freddie Mac Gold Pool 3.5% 6/1/2052  | 79292 | 73381 |
| Freddie Mac Gold Pool 3.5% 6/1/2052  | 46782 | 43294 |
| Freddie Mac Gold Pool 3.5% 7/1/2029  | 547132 | 543840 |
| Freddie Mac Gold Pool 3.5% 7/1/2029  | 6082 | 6038 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 603771 | 597855 |
| Freddie Mac Gold Pool 3.5% 7/1/2033  | 1343981 | 1326531 |
| Freddie Mac Gold Pool 3.5% 7/1/2033  | 11665 | 11525 |
| Freddie Mac Gold Pool 3.5% 7/1/2034  | 134249 | 132087 |
| Freddie Mac Gold Pool 3.5% 7/1/2037  | 379834 | 370985 |
| Freddie Mac Gold Pool 3.5% 7/1/2037  | 268839 | 262577 |
| Freddie Mac Gold Pool 3.5% 7/1/2039  | 302876 | 294114 |
| Freddie Mac Gold Pool 3.5% 7/1/2043  | 97206 | 92561 |
| Freddie Mac Gold Pool 3.5% 7/1/2043  | 57130 | 54103 |
| Freddie Mac Gold Pool 3.5% 7/1/2045  | 7235376 | 6834872 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 25234070 | 23920495 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 8119 | 7657 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  | 3133414 | 2949256 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  | 10266 | 9656 |
| Freddie Mac Gold Pool 3.5% 7/1/2048  | 6660956 | 6256988 |
| Freddie Mac Gold Pool 3.5% 7/1/2048  | 385358 | 361564 |
| Freddie Mac Gold Pool 3.5% 7/1/2048  | 152237 | 142837 |
| Freddie Mac Gold Pool 3.5% 7/1/2048  | 115364 | 108368 |
| Freddie Mac Gold Pool 3.5% 7/1/2049  | 174572 | 163521 |
| Freddie Mac Gold Pool 3.5% 7/1/2052  | 35161287 | 32627720 |
| Freddie Mac Gold Pool 3.5% 7/1/2052  | 737748 | 682745 |
| Freddie Mac Gold Pool 3.5% 7/1/2052  | 556152 | 517642 |
| Freddie Mac Gold Pool 3.5% 7/1/2052  | 460399 | 426073 |
| Freddie Mac Gold Pool 3.5% 7/1/2052  | 65571 | 60682 |
| Freddie Mac Gold Pool 3.5% 7/1/2052  | 62979 | 58283 |
| Freddie Mac Gold Pool 3.5% 8/1/2026  | 17094 | 17019 |
| Freddie Mac Gold Pool 3.5% 8/1/2028  | 231900 | 230607 |
| Freddie Mac Gold Pool 3.5% 8/1/2032  | 1225519 | 1213512 |
| Freddie Mac Gold Pool 3.5% 8/1/2033  | 23590 | 23307 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 953716 | 938354 |
| Freddie Mac Gold Pool 3.5% 8/1/2037  | 289728 | 283250 |
| Freddie Mac Gold Pool 3.5% 8/1/2037  | 64803 | 63435 |
| Freddie Mac Gold Pool 3.5% 8/1/2039  | 525016 | 509827 |
| Freddie Mac Gold Pool 3.5% 8/1/2042  | 2115876 | 2020224 |
| Freddie Mac Gold Pool 3.5% 8/1/2042  | 196049 | 186778 |
| Freddie Mac Gold Pool 3.5% 8/1/2042  | 58681 | 56093 |
| Freddie Mac Gold Pool 3.5% 8/1/2043  | 757563 | 720647 |
| Freddie Mac Gold Pool 3.5% 8/1/2043  | 261595 | 248950 |
| Freddie Mac Gold Pool 3.5% 8/1/2043  | 86594 | 82070 |
| Freddie Mac Gold Pool 3.5% 8/1/2044  | 5221 | 4949 |
| Freddie Mac Gold Pool 3.5% 8/1/2045  | 3713457 | 3505747 |
| Freddie Mac Gold Pool 3.5% 8/1/2045  | 83337 | 78747 |
| Freddie Mac Gold Pool 3.5% 8/1/2045  | 79151 | 74848 |
| Freddie Mac Gold Pool 3.5% 8/1/2046  | 7869669 | 7421907 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 141959 | 133793 |
| Freddie Mac Gold Pool 3.5% 8/1/2048  | 10102738 | 9490035 |
| Freddie Mac Gold Pool 3.5% 8/1/2048  | 816063 | 765677 |
| Freddie Mac Gold Pool 3.5% 8/1/2048  | 325269 | 305185 |
| Freddie Mac Gold Pool 3.5% 8/1/2048  | 126207 | 119203 |
| Freddie Mac Gold Pool 3.5% 8/1/2049  | 7110571 | 6660432 |
| Freddie Mac Gold Pool 3.5% 8/1/2049  | 132878 | 124342 |
| Freddie Mac Gold Pool 3.5% 8/1/2051  | 15287 | 14257 |
| Freddie Mac Gold Pool 3.5% 8/1/2052  | 1003580 | 928757 |
| Freddie Mac Gold Pool 3.5% 8/1/2052  | 684922 | 633857 |
| Freddie Mac Gold Pool 3.5% 9/1/2031  | 3870 | 3833 |
| Freddie Mac Gold Pool 3.5% 9/1/2033  | 523814 | 517013 |
| Freddie Mac Gold Pool 3.5% 9/1/2033  | 366079 | 361692 |
| Freddie Mac Gold Pool 3.5% 9/1/2043  | 817457 | 778464 |
| Freddie Mac Gold Pool 3.5% 9/1/2043  | 358444 | 340063 |
| Freddie Mac Gold Pool 3.5% 9/1/2043  | 240650 | 228259 |
| Freddie Mac Gold Pool 3.5% 9/1/2043  | 43655 | 41554 |
| Freddie Mac Gold Pool 3.5% 9/1/2044  | 48354 | 45714 |
| Freddie Mac Gold Pool 3.5% 9/1/2045  | 1708279 | 1613136 |
| Freddie Mac Gold Pool 3.5% 9/1/2045  | 121967 | 115471 |
| Freddie Mac Gold Pool 3.5% 9/1/2045  | 71206 | 67189 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 1593603 | 1502931 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 5663639 | 5345079 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 5316157 | 5000392 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 86812 | 81655 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 77209 | 72623 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 35034 | 32953 |
| Freddie Mac Gold Pool 3.5% 9/1/2048  | 190404 | 178648 |
| Freddie Mac Gold Pool 3.5% 9/1/2049  | 175897 | 164761 |
| Freddie Mac Gold Pool 3.5% 9/1/2052  | 861958 | 797694 |
| Freddie Mac Gold Pool 4% 1/1/2039  | 181193 | 179421 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 732793 | 722853 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 364724 | 359779 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 290618 | 286720 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 108984 | 107514 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 66985 | 66063 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 54420 | 53682 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 30590 | 30168 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 12266 | 12088 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 6208 | 6125 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 2730 | 2694 |
| Freddie Mac Gold Pool 4% 1/1/2042  | 908930 | 895285 |
| Freddie Mac Gold Pool 4% 1/1/2042  | 90554 | 89248 |
| Freddie Mac Gold Pool 4% 1/1/2043  | 63290 | 62175 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 452239 | 442844 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 36818 | 36050 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 31683 | 31035 |
| Freddie Mac Gold Pool 4% 1/1/2045  | 852205 | 838846 |
| Freddie Mac Gold Pool 4% 1/1/2045  | 214170 | 209617 |
| Freddie Mac Gold Pool 4% 1/1/2046  | 9938 | 9697 |
| Freddie Mac Gold Pool 4% 1/1/2047  | 10171062 | 9944441 |
| Freddie Mac Gold Pool 4% 1/1/2049  | 743087 | 718170 |
| Freddie Mac Gold Pool 4% 1/1/2049  | 578436 | 559040 |
| Freddie Mac Gold Pool 4% 1/1/2052  | 677899 | 650931 |
| Freddie Mac Gold Pool 4% 1/1/2055  | 9089792 | 8662858 |
| Freddie Mac Gold Pool 4% 10/1/2033  | 65093 | 65402 |
| Freddie Mac Gold Pool 4% 10/1/2034  | 217252 | 218146 |
| Freddie Mac Gold Pool 4% 10/1/2037  | 409055 | 405428 |
| Freddie Mac Gold Pool 4% 10/1/2037  | 353339 | 350488 |
| Freddie Mac Gold Pool 4% 10/1/2037  | 172965 | 171569 |
| Freddie Mac Gold Pool 4% 10/1/2037  | 100674 | 99755 |
| Freddie Mac Gold Pool 4% 10/1/2039  | 1717096 | 1697167 |
| Freddie Mac Gold Pool 4% 10/1/2040  | 196944 | 194166 |
| Freddie Mac Gold Pool 4% 10/1/2040  | 157885 | 155780 |
| Freddie Mac Gold Pool 4% 10/1/2040  | 83761 | 82651 |
| Freddie Mac Gold Pool 4% 10/1/2040  | 45463 | 44832 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 2297054 | 2263017 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 651886 | 640863 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 67486 | 66459 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 12671 | 12473 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 6867 | 6773 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 161490 | 158690 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 30303 | 29736 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 30675 | 30067 |
| Freddie Mac Gold Pool 4% 10/1/2044  | 289197 | 282839 |
| Freddie Mac Gold Pool 4% 10/1/2044  | 8900 | 8715 |
| Freddie Mac Gold Pool 4% 10/1/2045  | 2579467 | 2521292 |
| Freddie Mac Gold Pool 4% 10/1/2045  | 1369961 | 1338526 |
| Freddie Mac Gold Pool 4% 10/1/2045  | 51618 | 50508 |
| Freddie Mac Gold Pool 4% 10/1/2045  | 6845 | 6684 |
| Freddie Mac Gold Pool 4% 10/1/2047  | 1198245 | 1162032 |
| Freddie Mac Gold Pool 4% 10/1/2048  | 1988042 | 1924854 |
| Freddie Mac Gold Pool 4% 10/1/2048  | 490197 | 474310 |
| Freddie Mac Gold Pool 4% 10/1/2048  | 343444 | 332142 |
| Freddie Mac Gold Pool 4% 10/1/2048  | 65545 | 63421 |
| Freddie Mac Gold Pool 4% 10/1/2049  | 40381 | 38977 |
| Freddie Mac Gold Pool 4% 10/1/2051  | 396693 | 381036 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 2082787 | 1995375 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 2063918 | 1977298 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 1657471 | 1589981 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 82399 | 78915 |
| Freddie Mac Gold Pool 4% 10/1/2055  | 1874546 | 1786501 |
| Freddie Mac Gold Pool 4% 10/1/2055  | 504207 | 480525 |
| Freddie Mac Gold Pool 4% 11/1/2033  | 61628 | 61920 |
| Freddie Mac Gold Pool 4% 11/1/2036  | 837001 | 829374 |
| Freddie Mac Gold Pool 4% 11/1/2037  | 54185 | 53748 |
| Freddie Mac Gold Pool 4% 11/1/2039  | 176681 | 174433 |
| Freddie Mac Gold Pool 4% 11/1/2039  | 41569 | 41072 |
| Freddie Mac Gold Pool 4% 11/1/2040  | 298714 | 294611 |
| Freddie Mac Gold Pool 4% 11/1/2040  | 87820 | 86813 |
| Freddie Mac Gold Pool 4% 11/1/2040  | 59568 | 58756 |
| Freddie Mac Gold Pool 4% 11/1/2040  | 7192 | 7091 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 21052 | 20710 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 15132 | 14875 |
| Freddie Mac Gold Pool 4% 11/1/2043  | 10000 | 9807 |
| Freddie Mac Gold Pool 4% 11/1/2045  | 792485 | 773240 |
| Freddie Mac Gold Pool 4% 11/1/2046  | 3284561 | 3196587 |
| Freddie Mac Gold Pool 4% 11/1/2048  | 387961 | 375388 |
| Freddie Mac Gold Pool 4% 11/1/2048  | 249090 | 240894 |
| Freddie Mac Gold Pool 4% 11/1/2048  | 170148 | 164549 |
| Freddie Mac Gold Pool 4% 11/1/2048  | 6254 | 6060 |
| Freddie Mac Gold Pool 4% 12/1/2037  | 4626272 | 4587489 |
| Freddie Mac Gold Pool 4% 12/1/2038  | 1166741 | 1155329 |
| Freddie Mac Gold Pool 4% 12/1/2039  | 83367 | 82294 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 569476 | 561921 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 389540 | 384263 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 31005 | 30569 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 25980 | 25620 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 24889 | 24537 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 20246 | 19975 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 16635 | 16403 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 16254 | 16038 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 13810 | 13624 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 5028 | 4962 |
| Freddie Mac Gold Pool 4% 12/1/2041  | 214480 | 211237 |
| Freddie Mac Gold Pool 4% 12/1/2041  | 18984 | 18666 |
| Freddie Mac Gold Pool 4% 12/1/2045  | 374710 | 365610 |
| Freddie Mac Gold Pool 4% 12/1/2045  | 309700 | 302180 |
| Freddie Mac Gold Pool 4% 12/1/2045  | 61214 | 59727 |
| Freddie Mac Gold Pool 4% 12/1/2045  | 30215 | 29481 |
| Freddie Mac Gold Pool 4% 12/1/2045  | 22591 | 22063 |
| Freddie Mac Gold Pool 4% 12/1/2045  | 10581 | 10312 |
| Freddie Mac Gold Pool 4% 12/1/2046  | 1711777 | 1665928 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 144756 | 140291 |
| Freddie Mac Gold Pool 4% 12/1/2048  | 236994 | 229313 |
| Freddie Mac Gold Pool 4% 12/1/2048  | 227364 | 220096 |
| Freddie Mac Gold Pool 4% 12/1/2048  | 76221 | 73665 |
| Freddie Mac Gold Pool 4% 12/1/2048  | 15915 | 15381 |
| Freddie Mac Gold Pool 4% 12/1/2049  | 167634 | 161385 |
| Freddie Mac Gold Pool 4% 12/1/2049  | 141365 | 136360 |
| Freddie Mac Gold Pool 4% 2/1/2039  | 28201 | 27925 |
| Freddie Mac Gold Pool 4% 2/1/2040  | 10344 | 10229 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 733239 | 723005 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 479315 | 472934 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 387597 | 382417 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 234748 | 231113 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 168110 | 165861 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 129157 | 127285 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 29317 | 28896 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 12553 | 12380 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 660358 | 647485 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 3731066 | 3657634 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 1105134 | 1081812 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 27422 | 26828 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 3767000 | 3675522 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 101541 | 99075 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 5909 | 5821 |
| Freddie Mac Gold Pool 4% 2/1/2047  | 1482785 | 1440753 |
| Freddie Mac Gold Pool 4% 2/1/2049  | 627668 | 606622 |
| Freddie Mac Gold Pool 4% 3/1/2026  | 4966 | 4957 |
| Freddie Mac Gold Pool 4% 3/1/2029  | 75462 | 75467 |
| Freddie Mac Gold Pool 4% 3/1/2034  | 13348 | 13395 |
| Freddie Mac Gold Pool 4% 3/1/2040  | 4095 | 4040 |
| Freddie Mac Gold Pool 4% 3/1/2041  | 819115 | 807066 |
| Freddie Mac Gold Pool 4% 3/1/2041  | 7646 | 7537 |
| Freddie Mac Gold Pool 4% 3/1/2041  | 2574 | 2537 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 37663 | 37090 |
| Freddie Mac Gold Pool 4% 3/1/2045  | 59019 | 57649 |
| Freddie Mac Gold Pool 4% 3/1/2046  | 423907 | 413348 |
| Freddie Mac Gold Pool 4% 3/1/2046  | 61610 | 60076 |
| Freddie Mac Gold Pool 4% 3/1/2049  | 2126023 | 2054735 |
| Freddie Mac Gold Pool 4% 3/1/2049  | 176130 | 170225 |
| Freddie Mac Gold Pool 4% 3/1/2049  | 92900 | 89785 |
| Freddie Mac Gold Pool 4% 3/1/2049  | 21533 | 20811 |
| Freddie Mac Gold Pool 4% 3/1/2050  | 73173 | 70377 |
| Freddie Mac Gold Pool 4% 3/1/2050  | 68921 | 66438 |
| Freddie Mac Gold Pool 4% 4/1/2035  | 1040795 | 1042152 |
| Freddie Mac Gold Pool 4% 4/1/2041  | 101440 | 100091 |
| Freddie Mac Gold Pool 4% 4/1/2041  | 17293 | 17049 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 291640 | 287545 |
| Freddie Mac Gold Pool 4% 4/1/2047  | 3272868 | 3176002 |
| Freddie Mac Gold Pool 4% 4/1/2047  | 741038 | 719106 |
| Freddie Mac Gold Pool 4% 4/1/2047  | 5533 | 5369 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 1150553 | 1115062 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 6303 | 6109 |
| Freddie Mac Gold Pool 4% 4/1/2049  | 19171606 | 18612639 |
| Freddie Mac Gold Pool 4% 4/1/2049  | 302799 | 292457 |
| Freddie Mac Gold Pool 4% 4/1/2050  | 286144 | 276013 |
| Freddie Mac Gold Pool 4% 4/1/2050  | 34771 | 33519 |
| Freddie Mac Gold Pool 4% 4/1/2051  | 237833 | 228669 |
| Freddie Mac Gold Pool 4% 5/1/2041  | 3702 | 3648 |
| Freddie Mac Gold Pool 4% 5/1/2042  | 450824 | 443231 |
| Freddie Mac Gold Pool 4% 5/1/2042  | 2127 | 2088 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 18514 | 18155 |
| Freddie Mac Gold Pool 4% 5/1/2044  | 4276 | 4189 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 1738163 | 1707391 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 45316 | 44297 |
| Freddie Mac Gold Pool 4% 5/1/2046  | 160882 | 156774 |
| Freddie Mac Gold Pool 4% 5/1/2046  | 19940 | 19444 |
| Freddie Mac Gold Pool 4% 5/1/2047  | 968887 | 940212 |
| Freddie Mac Gold Pool 4% 5/1/2047  | 16863 | 16364 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 3054550 | 2960328 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 704005 | 681499 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 388285 | 375943 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 277238 | 268375 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 21079 | 20302 |
| Freddie Mac Gold Pool 4% 5/1/2049  | 147739 | 142693 |
| Freddie Mac Gold Pool 4% 5/1/2049  | 108328 | 104628 |
| Freddie Mac Gold Pool 4% 5/1/2049  | 12026 | 11615 |
| Freddie Mac Gold Pool 4% 5/1/2049  | 8359 | 8074 |
| Freddie Mac Gold Pool 4% 5/1/2050  | 1736106 | 1673553 |
| Freddie Mac Gold Pool 4% 5/1/2050  | 29648 | 28570 |
| Freddie Mac Gold Pool 4% 5/1/2051  | 233184 | 222888 |
| Freddie Mac Gold Pool 4% 6/1/2034  | 119542 | 120146 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 14108 | 13918 |
| Freddie Mac Gold Pool 4% 6/1/2044  | 80627 | 79829 |
| Freddie Mac Gold Pool 4% 6/1/2045  | 38724 | 37836 |
| Freddie Mac Gold Pool 4% 6/1/2046  | 4948100 | 4857765 |
| Freddie Mac Gold Pool 4% 6/1/2046  | 37329 | 36375 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 1011201 | 981273 |
| Freddie Mac Gold Pool 4% 6/1/2048  | 333850 | 323551 |
| Freddie Mac Gold Pool 4% 6/1/2048  | 330426 | 319923 |
| Freddie Mac Gold Pool 4% 6/1/2048  | 107133 | 103608 |
| Freddie Mac Gold Pool 4% 6/1/2049  | 163772 | 158178 |
| Freddie Mac Gold Pool 4% 6/1/2050  | 72478 | 69843 |
| Freddie Mac Gold Pool 4% 6/1/2055  | 990922 | 944380 |
| Freddie Mac Gold Pool 4% 7/1/2029  | 586 | 585 |
| Freddie Mac Gold Pool 4% 7/1/2039  | 305112 | 301479 |
| Freddie Mac Gold Pool 4% 7/1/2039  | 66048 | 65316 |
| Freddie Mac Gold Pool 4% 7/1/2040  | 11183 | 11016 |
| Freddie Mac Gold Pool 4% 7/1/2040  | 3368 | 3326 |
| Freddie Mac Gold Pool 4% 7/1/2042  | 174876 | 172459 |
| Freddie Mac Gold Pool 4% 7/1/2042  | 50476 | 49581 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 59319 | 58259 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 20279 | 19885 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 14464 | 14295 |
| Freddie Mac Gold Pool 4% 7/1/2044  | 747717 | 732524 |
| Freddie Mac Gold Pool 4% 7/1/2044  | 3495 | 3441 |
| Freddie Mac Gold Pool 4% 7/1/2045  | 615002 | 606081 |
| Freddie Mac Gold Pool 4% 7/1/2046  | 59534 | 58014 |
| Freddie Mac Gold Pool 4% 7/1/2046  | 6211 | 6053 |
| Freddie Mac Gold Pool 4% 7/1/2047  | 4947152 | 4800733 |
| Freddie Mac Gold Pool 4% 7/1/2047  | 180937 | 175582 |
| Freddie Mac Gold Pool 4% 7/1/2048  | 3456650 | 3346783 |
| Freddie Mac Gold Pool 4% 7/1/2048  | 1468756 | 1422073 |
| Freddie Mac Gold Pool 4% 7/1/2048  | 300506 | 290618 |
| Freddie Mac Gold Pool 4% 7/1/2048  | 36910 | 35737 |
| Freddie Mac Gold Pool 4% 7/1/2048  | 17743 | 17179 |
| Freddie Mac Gold Pool 4% 7/1/2049  | 318705 | 307819 |
| Freddie Mac Gold Pool 4% 7/1/2049  | 193365 | 186761 |
| Freddie Mac Gold Pool 4% 7/1/2052  | 530619 | 509179 |
| Freddie Mac Gold Pool 4% 8/1/2031  | 14307 | 14268 |
| Freddie Mac Gold Pool 4% 8/1/2033  | 90779 | 91237 |
| Freddie Mac Gold Pool 4% 8/1/2035  | 3662 | 3631 |
| Freddie Mac Gold Pool 4% 8/1/2040  | 90616 | 89253 |
| Freddie Mac Gold Pool 4% 8/1/2042  | 389954 | 382765 |
| Freddie Mac Gold Pool 4% 8/1/2042  | 28802 | 28293 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 170850 | 167371 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 45072 | 44225 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 28534 | 27976 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 1423431 | 1394344 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 112359 | 110025 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 52637 | 51502 |
| Freddie Mac Gold Pool 4% 8/1/2045  | 19614 | 19178 |
| Freddie Mac Gold Pool 4% 8/1/2045  | 15071 | 14941 |
| Freddie Mac Gold Pool 4% 8/1/2046  | 21682 | 21128 |
| Freddie Mac Gold Pool 4% 8/1/2048  | 5162436 | 4998352 |
| Freddie Mac Gold Pool 4% 8/1/2048  | 366739 | 355083 |
| Freddie Mac Gold Pool 4% 8/1/2048  | 363925 | 351950 |
| Freddie Mac Gold Pool 4% 8/1/2048  | 108951 | 105366 |
| Freddie Mac Gold Pool 4% 8/1/2048  | 89106 | 85422 |
| Freddie Mac Gold Pool 4% 8/1/2048  | 74147 | 71767 |
| Freddie Mac Gold Pool 4% 8/1/2048  | 58678 | 56886 |
| Freddie Mac Gold Pool 4% 8/1/2048  | 20620 | 19965 |
| Freddie Mac Gold Pool 4% 8/1/2048  | 18653 | 18040 |
| Freddie Mac Gold Pool 4% 8/1/2048  | 18308 | 17728 |
| Freddie Mac Gold Pool 4% 8/1/2049  | 8445972 | 8157491 |
| Freddie Mac Gold Pool 4% 8/1/2049  | 2263612 | 2184881 |
| Freddie Mac Gold Pool 4% 8/1/2050  | 48814 | 47024 |
| Freddie Mac Gold Pool 4% 8/1/2052  | 1284719 | 1231604 |
| Freddie Mac Gold Pool 4% 8/1/2052  | 1077375 | 1032159 |
| Freddie Mac Gold Pool 4% 8/1/2052  | 806929 | 773568 |
| Freddie Mac Gold Pool 4% 8/1/2055  | 188980 | 180104 |
| Freddie Mac Gold Pool 4% 9/1/2037  | 397905 | 394694 |
| Freddie Mac Gold Pool 4% 9/1/2037  | 106822 | 105926 |
| Freddie Mac Gold Pool 4% 9/1/2039  | 481015 | 475188 |
| Freddie Mac Gold Pool 4% 9/1/2040  | 119569 | 117971 |
| Freddie Mac Gold Pool 4% 9/1/2040  | 4269 | 4205 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 16299 | 16056 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 10392 | 10221 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 36112 | 35400 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 27294 | 26783 |
| Freddie Mac Gold Pool 4% 9/1/2044  | 169549 | 166130 |
| Freddie Mac Gold Pool 4% 9/1/2044  | 123660 | 120926 |
| Freddie Mac Gold Pool 4% 9/1/2044  | 118783 | 116343 |
| Freddie Mac Gold Pool 4% 9/1/2045  | 5544195 | 5420240 |
| Freddie Mac Gold Pool 4% 9/1/2045  | 381341 | 372792 |
| Freddie Mac Gold Pool 4% 9/1/2045  | 288173 | 282043 |
| Freddie Mac Gold Pool 4% 9/1/2045  | 73619 | 71999 |
| Freddie Mac Gold Pool 4% 9/1/2045  | 58091 | 56753 |
| Freddie Mac Gold Pool 4% 9/1/2045  | 10266 | 10025 |
| Freddie Mac Gold Pool 4% 9/1/2045  | 1063 | 1039 |
| Freddie Mac Gold Pool 4% 9/1/2046  | 43273 | 42168 |
| Freddie Mac Gold Pool 4% 9/1/2047  | 609682 | 591256 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 624426 | 604579 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 588696 | 571457 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 550212 | 532552 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 459425 | 444822 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 350829 | 339678 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 332011 | 321458 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 143529 | 138806 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 95890 | 92735 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 54063 | 52412 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 48418 | 46824 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 43075 | 41706 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 5135 | 4972 |
| Freddie Mac Gold Pool 4% 9/1/2049  | 1098071 | 1059879 |
| Freddie Mac Gold Pool 4% 9/1/2052  | 1976796 | 1893833 |
| Freddie Mac Gold Pool 4% 9/1/2052  | 1974798 | 1893770 |
| Freddie Mac Gold Pool 4% 9/1/2052  | 1793452 | 1722667 |
| Freddie Mac Gold Pool 4% 9/1/2052  | 1365050 | 1311173 |
| Freddie Mac Gold Pool 4% 9/1/2052  | 1305918 | 1252335 |
| Freddie Mac Gold Pool 4% 9/1/2052  | 461055 | 441705 |
| Freddie Mac Gold Pool 4% 9/1/2052  | 460242 | 440926 |
| Freddie Mac Gold Pool 4% 9/1/2055  | 2743604 | 2614741 |
| Freddie Mac Gold Pool 4% 9/1/2055  | 192883 | 183824 |
| Freddie Mac Gold Pool 4.5% 1/1/2039  | 42724 | 42797 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 464407 | 468268 |
| Freddie Mac Gold Pool 4.5% 1/1/2042  | 327051 | 329758 |
| Freddie Mac Gold Pool 4.5% 1/1/2044  | 1157238 | 1164833 |
| Freddie Mac Gold Pool 4.5% 1/1/2048  | 171940 | 171596 |
| Freddie Mac Gold Pool 4.5% 1/1/2048  | 2814 | 2808 |
| Freddie Mac Gold Pool 4.5% 1/1/2049  | 2669399 | 2655976 |
| Freddie Mac Gold Pool 4.5% 1/1/2049  | 809255 | 806119 |
| Freddie Mac Gold Pool 4.5% 1/1/2049  | 166215 | 165535 |
| Freddie Mac Gold Pool 4.5% 1/1/2049  | 150449 | 149693 |
| Freddie Mac Gold Pool 4.5% 1/1/2049  | 107954 | 107411 |
| Freddie Mac Gold Pool 4.5% 1/1/2049  | 70653 | 70379 |
| Freddie Mac Gold Pool 4.5% 1/1/2049  | 66422 | 66026 |
| Freddie Mac Gold Pool 4.5% 1/1/2049  | 11238 | 11171 |
| Freddie Mac Gold Pool 4.5% 1/1/2054  | 25878 | 25440 |
| Freddie Mac Gold Pool 4.5% 10/1/2038  | 83112 | 83333 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 99335 | 100171 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 215038 | 216766 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 1058304 | 1066705 |
| Freddie Mac Gold Pool 4.5% 10/1/2043  | 334956 | 337014 |
| Freddie Mac Gold Pool 4.5% 10/1/2044  | 17506 | 17618 |
| Freddie Mac Gold Pool 4.5% 10/1/2044  | 3396 | 3418 |
| Freddie Mac Gold Pool 4.5% 10/1/2046  | 2165 | 2166 |
| Freddie Mac Gold Pool 4.5% 10/1/2047  | 49920 | 49836 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 231743 | 230795 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 127458 | 127083 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 22136 | 22046 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 10828 | 10784 |
| Freddie Mac Gold Pool 4.5% 10/1/2049  | 780439 | 774807 |
| Freddie Mac Gold Pool 4.5% 10/1/2052  | 20796479 | 20477440 |
| Freddie Mac Gold Pool 4.5% 10/1/2052  | 5702984 | 5615494 |
| Freddie Mac Gold Pool 4.5% 10/1/2052  | 425868 | 419335 |
| Freddie Mac Gold Pool 4.5% 10/1/2054  | 1317405 | 1295045 |
| Freddie Mac Gold Pool 4.5% 10/1/2054  | 1314301 | 1287567 |
| Freddie Mac Gold Pool 4.5% 11/1/2039  | 1770347 | 1785204 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 12548620 | 12637681 |
| Freddie Mac Gold Pool 4.5% 11/1/2041  | 1089201 | 1098152 |
| Freddie Mac Gold Pool 4.5% 11/1/2043  | 590 | 594 |
| Freddie Mac Gold Pool 4.5% 11/1/2044  | 31086 | 31286 |
| Freddie Mac Gold Pool 4.5% 11/1/2046  | 11594 | 11600 |
| Freddie Mac Gold Pool 4.5% 11/1/2047  | 571791 | 570826 |
| Freddie Mac Gold Pool 4.5% 11/1/2047  | 463684 | 462901 |
| Freddie Mac Gold Pool 4.5% 11/1/2047  | 146613 | 146366 |
| Freddie Mac Gold Pool 4.5% 11/1/2047  | 142084 | 141844 |
| Freddie Mac Gold Pool 4.5% 11/1/2047  | 56860 | 56764 |
| Freddie Mac Gold Pool 4.5% 11/1/2047  | 55122 | 55029 |
| Freddie Mac Gold Pool 4.5% 11/1/2048  | 65147 | 64895 |
| Freddie Mac Gold Pool 4.5% 11/1/2048  | 41391 | 41183 |
| Freddie Mac Gold Pool 4.5% 11/1/2048  | 12998 | 12933 |
| Freddie Mac Gold Pool 4.5% 11/1/2048  | 12537 | 12474 |
| Freddie Mac Gold Pool 4.5% 11/1/2048  | 7505 | 7467 |
| Freddie Mac Gold Pool 4.5% 11/1/2048  | 3195 | 3182 |
| Freddie Mac Gold Pool 4.5% 11/1/2048  | 1850 | 1843 |
| Freddie Mac Gold Pool 4.5% 11/1/2049  | 753602 | 748164 |
| Freddie Mac Gold Pool 4.5% 11/1/2049  | 86879 | 86252 |
| Freddie Mac Gold Pool 4.5% 11/1/2054  | 1174528 | 1153940 |
| Freddie Mac Gold Pool 4.5% 11/1/2054  | 974496 | 954674 |
| Freddie Mac Gold Pool 4.5% 11/1/2054  | 143801 | 141100 |
| Freddie Mac Gold Pool 4.5% 11/1/2054  | 95770 | 93822 |
| Freddie Mac Gold Pool 4.5% 11/1/2055  | 2984477 | 2922837 |
| Freddie Mac Gold Pool 4.5% 12/1/2043  | 1120918 | 1127863 |
| Freddie Mac Gold Pool 4.5% 12/1/2044  | 67276 | 67709 |
| Freddie Mac Gold Pool 4.5% 12/1/2046  | 7821 | 7825 |
| Freddie Mac Gold Pool 4.5% 12/1/2047  | 17668 | 17639 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 690120 | 688309 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 425718 | 423578 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 131087 | 130428 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 17648 | 17559 |
| Freddie Mac Gold Pool 4.5% 12/1/2052  | 17786767 | 17513900 |
| Freddie Mac Gold Pool 4.5% 12/1/2054  | 929690 | 913393 |
| Freddie Mac Gold Pool 4.5% 12/1/2054  | 465767 | 456147 |
| Freddie Mac Gold Pool 4.5% 12/1/2054  | 393330 | 385668 |
| Freddie Mac Gold Pool 4.5% 2/1/2031  | 16191 | 16303 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 94300 | 95030 |
| Freddie Mac Gold Pool 4.5% 2/1/2045  | 23471 | 23620 |
| Freddie Mac Gold Pool 4.5% 2/1/2046  | 86378 | 86691 |
| Freddie Mac Gold Pool 4.5% 2/1/2047  | 131233 | 131298 |
| Freddie Mac Gold Pool 4.5% 2/1/2048  | 136096 | 135824 |
| Freddie Mac Gold Pool 4.5% 2/1/2048  | 9000 | 8982 |
| Freddie Mac Gold Pool 4.5% 2/1/2049  | 2707483 | 2693869 |
| Freddie Mac Gold Pool 4.5% 2/1/2049  | 145239 | 144690 |
| Freddie Mac Gold Pool 4.5% 2/1/2049  | 48005 | 47819 |
| Freddie Mac Gold Pool 4.5% 2/1/2049  | 13207 | 13128 |
| Freddie Mac Gold Pool 4.5% 2/1/2050  | 183988 | 182545 |
| Freddie Mac Gold Pool 4.5% 2/1/2050  | 70892 | 70292 |
| Freddie Mac Gold Pool 4.5% 2/1/2053  | 7199307 | 7118110 |
| Freddie Mac Gold Pool 4.5% 2/1/2054  | 1244344 | 1220588 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 2560 | 2576 |
| Freddie Mac Gold Pool 4.5% 3/1/2047  | 41184 | 41153 |
| Freddie Mac Gold Pool 4.5% 3/1/2048  | 47101 | 46952 |
| Freddie Mac Gold Pool 4.5% 3/1/2049  | 2308706 | 2294932 |
| Freddie Mac Gold Pool 4.5% 3/1/2049  | 29591 | 29433 |
| Freddie Mac Gold Pool 4.5% 3/1/2050  | 623898 | 618616 |
| Freddie Mac Gold Pool 4.5% 3/1/2054  | 1143639 | 1128596 |
| Freddie Mac Gold Pool 4.5% 3/1/2054  | 22642 | 22209 |
| Freddie Mac Gold Pool 4.5% 4/1/2038  | 31232 | 31374 |
| Freddie Mac Gold Pool 4.5% 4/1/2039  | 1441065 | 1442632 |
| Freddie Mac Gold Pool 4.5% 4/1/2039  | 22224 | 22248 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 128021 | 129008 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 125075 | 126087 |
| Freddie Mac Gold Pool 4.5% 4/1/2044  | 477939 | 480936 |
| Freddie Mac Gold Pool 4.5% 4/1/2046  | 28122 | 28224 |
| Freddie Mac Gold Pool 4.5% 4/1/2047  | 324294 | 323443 |
| Freddie Mac Gold Pool 4.5% 4/1/2047  | 83350 | 83287 |
| Freddie Mac Gold Pool 4.5% 4/1/2047  | 39495 | 39465 |
| Freddie Mac Gold Pool 4.5% 4/1/2047  | 8254 | 8248 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 392837 | 391806 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 112344 | 112085 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 53358 | 52898 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 43599 | 43434 |
| Freddie Mac Gold Pool 4.5% 4/1/2049  | 724163 | 719842 |
| Freddie Mac Gold Pool 4.5% 4/1/2049  | 428682 | 425723 |
| Freddie Mac Gold Pool 4.5% 4/1/2049  | 62336 | 62042 |
| Freddie Mac Gold Pool 4.5% 4/1/2050  | 1292536 | 1281593 |
| Freddie Mac Gold Pool 4.5% 4/1/2053  | 10097163 | 9929641 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 2411036 | 2413658 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 551656 | 556519 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 136500 | 137591 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 133875 | 134905 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 124270 | 125295 |
| Freddie Mac Gold Pool 4.5% 5/1/2044  | 176392 | 177593 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 52466 | 52427 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 29170 | 29148 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 24704 | 24686 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 3452 | 3450 |
| Freddie Mac Gold Pool 4.5% 5/1/2048  | 3329814 | 3321073 |
| Freddie Mac Gold Pool 4.5% 5/1/2048  | 28280 | 28173 |
| Freddie Mac Gold Pool 4.5% 5/1/2049  | 1362819 | 1353411 |
| Freddie Mac Gold Pool 4.5% 5/1/2050  | 26449 | 26225 |
| Freddie Mac Gold Pool 4.5% 5/1/2053  | 1207745 | 1186726 |
| Freddie Mac Gold Pool 4.5% 5/1/2053  | 1199501 | 1179600 |
| Freddie Mac Gold Pool 4.5% 6/1/2039  | 1452643 | 1454223 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 125206 | 126258 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 103611 | 104431 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 87648 | 88383 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 78576 | 79195 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 41193 | 41555 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 268073 | 267872 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 29870 | 29848 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 20650 | 20701 |
| Freddie Mac Gold Pool 4.5% 6/1/2048  | 576256 | 574743 |
| Freddie Mac Gold Pool 4.5% 6/1/2048  | 509889 | 507803 |
| Freddie Mac Gold Pool 4.5% 6/1/2048  | 162443 | 161966 |
| Freddie Mac Gold Pool 4.5% 6/1/2048  | 20647 | 20562 |
| Freddie Mac Gold Pool 4.5% 6/1/2049  | 289639 | 287640 |
| Freddie Mac Gold Pool 4.5% 6/1/2049  | 228995 | 227414 |
| Freddie Mac Gold Pool 4.5% 7/1/2030  | 15308 | 15398 |
| Freddie Mac Gold Pool 4.5% 7/1/2038  | 113212 | 113512 |
| Freddie Mac Gold Pool 4.5% 7/1/2039  | 690172 | 695980 |
| Freddie Mac Gold Pool 4.5% 7/1/2041  | 4147604 | 4176254 |
| Freddie Mac Gold Pool 4.5% 7/1/2041  | 503163 | 507132 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 1088691 | 1087875 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 336203 | 334374 |
| Freddie Mac Gold Pool 4.5% 7/1/2048  | 209362 | 208506 |
| Freddie Mac Gold Pool 4.5% 7/1/2048  | 108399 | 107956 |
| Freddie Mac Gold Pool 4.5% 7/1/2048  | 63693 | 63506 |
| Freddie Mac Gold Pool 4.5% 7/1/2049  | 161070 | 159958 |
| Freddie Mac Gold Pool 4.5% 7/1/2049  | 64026 | 63584 |
| Freddie Mac Gold Pool 4.5% 7/1/2049  | 54695 | 54317 |
| Freddie Mac Gold Pool 4.5% 7/1/2050  | 254042 | 251812 |
| Freddie Mac Gold Pool 4.5% 8/1/2038  | 1214266 | 1217484 |
| Freddie Mac Gold Pool 4.5% 8/1/2039  | 140967 | 142153 |
| Freddie Mac Gold Pool 4.5% 8/1/2047  | 2963816 | 2961593 |
| Freddie Mac Gold Pool 4.5% 8/1/2048  | 6941054 | 6912658 |
| Freddie Mac Gold Pool 4.5% 8/1/2048  | 1915926 | 1910298 |
| Freddie Mac Gold Pool 4.5% 8/1/2048  | 13366 | 13311 |
| Freddie Mac Gold Pool 4.5% 8/1/2048  | 13333 | 13278 |
| Freddie Mac Gold Pool 4.5% 8/1/2049  | 142453 | 141469 |
| Freddie Mac Gold Pool 4.5% 8/1/2052  | 23533209 | 23179540 |
| Freddie Mac Gold Pool 4.5% 8/1/2054  | 1055262 | 1036764 |
| Freddie Mac Gold Pool 4.5% 9/1/2037  | 268921 | 269970 |
| Freddie Mac Gold Pool 4.5% 9/1/2037  | 43695 | 43866 |
| Freddie Mac Gold Pool 4.5% 9/1/2038  | 726991 | 728918 |
| Freddie Mac Gold Pool 4.5% 9/1/2038  | 1479 | 1492 |
| Freddie Mac Gold Pool 4.5% 9/1/2044  | 42673 | 42947 |
| Freddie Mac Gold Pool 4.5% 9/1/2044  | 14845 | 14941 |
| Freddie Mac Gold Pool 4.5% 9/1/2046  | 113122 | 113355 |
| Freddie Mac Gold Pool 4.5% 9/1/2046  | 54672 | 54939 |
| Freddie Mac Gold Pool 4.5% 9/1/2046  | 7682 | 7710 |
| Freddie Mac Gold Pool 4.5% 9/1/2047  | 390454 | 389795 |
| Freddie Mac Gold Pool 4.5% 9/1/2047  | 270500 | 270044 |
| Freddie Mac Gold Pool 4.5% 9/1/2047  | 111693 | 111504 |
| Freddie Mac Gold Pool 4.5% 9/1/2047  | 87971 | 87822 |
| Freddie Mac Gold Pool 4.5% 9/1/2047  | 15513 | 15496 |
| Freddie Mac Gold Pool 4.5% 9/1/2048  | 1787234 | 1781984 |
| Freddie Mac Gold Pool 4.5% 9/1/2048  | 1019595 | 1016600 |
| Freddie Mac Gold Pool 4.5% 9/1/2048  | 294034 | 292831 |
| Freddie Mac Gold Pool 4.5% 9/1/2049  | 174153 | 172950 |
| Freddie Mac Gold Pool 4.5% 9/1/2049  | 14931 | 14823 |
| Freddie Mac Gold Pool 4.5% 9/1/2050  | 307414 | 304715 |
| Freddie Mac Gold Pool 4.5% 9/1/2052  | 71646369 | 70547243 |
| Freddie Mac Gold Pool 5% 1/1/2030  | 3475 | 3505 |
| Freddie Mac Gold Pool 5% 1/1/2037  | 8516 | 8707 |
| Freddie Mac Gold Pool 5% 1/1/2039  | 8165 | 8361 |
| Freddie Mac Gold Pool 5% 1/1/2039  | 2017 | 2065 |
| Freddie Mac Gold Pool 5% 1/1/2040  | 50307 | 51555 |
| Freddie Mac Gold Pool 5% 1/1/2049  | 380669 | 387712 |
| Freddie Mac Gold Pool 5% 1/1/2049  | 96702 | 98491 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 1623640 | 1631356 |
| Freddie Mac Gold Pool 5% 1/1/2054  | 1694966 | 1697724 |
| Freddie Mac Gold Pool 5% 10/1/2026  | 6 | 6 |
| Freddie Mac Gold Pool 5% 10/1/2034  | 399 | 408 |
| Freddie Mac Gold Pool 5% 10/1/2038  | 15397 | 15767 |
| Freddie Mac Gold Pool 5% 10/1/2039  | 6675 | 6839 |
| Freddie Mac Gold Pool 5% 10/1/2048  | 168698 | 171820 |
| Freddie Mac Gold Pool 5% 10/1/2048  | 99397 | 101361 |
| Freddie Mac Gold Pool 5% 10/1/2048  | 3831 | 3906 |
| Freddie Mac Gold Pool 5% 10/1/2049  | 5097 | 5188 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 2588050 | 2601966 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 1716439 | 1724595 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 1251680 | 1257628 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 371348 | 373344 |
| Freddie Mac Gold Pool 5% 10/1/2054  | 21348072 | 21336104 |
| Freddie Mac Gold Pool 5% 10/1/2054  | 56487 | 56420 |
| Freddie Mac Gold Pool 5% 11/1/2038  | 36889 | 37763 |
| Freddie Mac Gold Pool 5% 11/1/2038  | 29987 | 30719 |
| Freddie Mac Gold Pool 5% 11/1/2048  | 371562 | 378437 |
| Freddie Mac Gold Pool 5% 11/1/2048  | 20097 | 20469 |
| Freddie Mac Gold Pool 5% 11/1/2048  | 17970 | 18302 |
| Freddie Mac Gold Pool 5% 11/1/2048  | 13598 | 13871 |
| Freddie Mac Gold Pool 5% 11/1/2049  | 16825 | 17125 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 24618093 | 24735076 |
| Freddie Mac Gold Pool 5% 11/1/2053  | 15843652 | 15884281 |
| Freddie Mac Gold Pool 5% 11/1/2054  | 18368280 | 18346502 |
| Freddie Mac Gold Pool 5% 12/1/2036  | 43854 | 44861 |
| Freddie Mac Gold Pool 5% 12/1/2038  | 346930 | 355126 |
| Freddie Mac Gold Pool 5% 12/1/2038  | 10645 | 10903 |
| Freddie Mac Gold Pool 5% 12/1/2048  | 1036972 | 1056158 |
| Freddie Mac Gold Pool 5% 12/1/2048  | 558420 | 568752 |
| Freddie Mac Gold Pool 5% 12/1/2049  | 10668 | 10839 |
| Freddie Mac Gold Pool 5% 12/1/2053  | 27267397 | 27635559 |
| Freddie Mac Gold Pool 5% 12/1/2053  | 194162 | 194478 |
| Freddie Mac Gold Pool 5% 12/1/2054  | 26679684 | 26639716 |
| Freddie Mac Gold Pool 5% 12/1/2054  | 113944 | 113773 |
| Freddie Mac Gold Pool 5% 2/1/2037  | 23419 | 23961 |
| Freddie Mac Gold Pool 5% 2/1/2038  | 479001 | 488978 |
| Freddie Mac Gold Pool 5% 2/1/2038  | 91022 | 93220 |
| Freddie Mac Gold Pool 5% 2/1/2038  | 8445 | 8645 |
| Freddie Mac Gold Pool 5% 2/1/2039  | 332667 | 340808 |
| Freddie Mac Gold Pool 5% 2/1/2039  | 9599 | 9830 |
| Freddie Mac Gold Pool 5% 2/1/2039  | 1149 | 1177 |
| Freddie Mac Gold Pool 5% 2/1/2040  | 443491 | 448655 |
| Freddie Mac Gold Pool 5% 2/1/2049  | 1781823 | 1816868 |
| Freddie Mac Gold Pool 5% 2/1/2049  | 250910 | 255552 |
| Freddie Mac Gold Pool 5% 2/1/2049  | 178439 | 181741 |
| Freddie Mac Gold Pool 5% 2/1/2049  | 9786 | 9967 |
| Freddie Mac Gold Pool 5% 2/1/2050  | 370994 | 376930 |
| Freddie Mac Gold Pool 5% 2/1/2053  | 14870171 | 14903193 |
| Freddie Mac Gold Pool 5% 3/1/2027  | 507 | 508 |
| Freddie Mac Gold Pool 5% 3/1/2037  | 5441 | 5568 |
| Freddie Mac Gold Pool 5% 3/1/2037  | 771 | 789 |
| Freddie Mac Gold Pool 5% 3/1/2038  | 34886 | 35707 |
| Freddie Mac Gold Pool 5% 3/1/2038  | 2342 | 2395 |
| Freddie Mac Gold Pool 5% 3/1/2039  | 12523 | 12829 |
| Freddie Mac Gold Pool 5% 3/1/2040  | 7370119 | 7455927 |
| Freddie Mac Gold Pool 5% 3/1/2040  | 2740335 | 2772240 |
| Freddie Mac Gold Pool 5% 3/1/2049  | 12745 | 12981 |
| Freddie Mac Gold Pool 5% 3/1/2049  | 3601 | 3667 |
| Freddie Mac Gold Pool 5% 3/1/2050  | 8282 | 8405 |
| Freddie Mac Gold Pool 5% 3/1/2053  | 16550973 | 16570141 |
| Freddie Mac Gold Pool 5% 3/1/2053  | 888370 | 889635 |
| Freddie Mac Gold Pool 5% 3/1/2053  | 319691 | 320146 |
| Freddie Mac Gold Pool 5% 4/1/2028  | 452 | 455 |
| Freddie Mac Gold Pool 5% 4/1/2038  | 176294 | 180496 |
| Freddie Mac Gold Pool 5% 4/1/2038  | 145408 | 148950 |
| Freddie Mac Gold Pool 5% 4/1/2038  | 11682 | 11968 |
| Freddie Mac Gold Pool 5% 4/1/2038  | 515 | 527 |
| Freddie Mac Gold Pool 5% 4/1/2038  | 501 | 512 |
| Freddie Mac Gold Pool 5% 4/1/2039  | 654015 | 662038 |
| Freddie Mac Gold Pool 5% 4/1/2039  | 1299 | 1332 |
| Freddie Mac Gold Pool 5% 4/1/2049  | 265676 | 270591 |
| Freddie Mac Gold Pool 5% 4/1/2049  | 4709 | 4794 |
| Freddie Mac Gold Pool 5% 4/1/2053  | 37190885 | 37507078 |
| Freddie Mac Gold Pool 5% 4/1/2053  | 4887067 | 4905708 |
| Freddie Mac Gold Pool 5% 4/1/2054  | 261068 | 261167 |
| Freddie Mac Gold Pool 5% 5/1/2028  | 11332 | 11413 |
| Freddie Mac Gold Pool 5% 5/1/2029  | 505 | 510 |
| Freddie Mac Gold Pool 5% 5/1/2029  | 3 | 3 |
| Freddie Mac Gold Pool 5% 5/1/2035  | 386403 | 394837 |
| Freddie Mac Gold Pool 5% 5/1/2037  | 5811 | 5943 |
| Freddie Mac Gold Pool 5% 5/1/2039  | 6808387 | 6891910 |
| Freddie Mac Gold Pool 5% 5/1/2049  | 38151 | 38833 |
| Freddie Mac Gold Pool 5% 5/1/2050  | 1617830 | 1641696 |
| Freddie Mac Gold Pool 5% 5/1/2055  | 635193 | 634241 |
| Freddie Mac Gold Pool 5% 6/1/2037  | 7798 | 7977 |
| Freddie Mac Gold Pool 5% 6/1/2037  | 6715 | 6873 |
| Freddie Mac Gold Pool 5% 6/1/2038  | 242566 | 248403 |
| Freddie Mac Gold Pool 5% 6/1/2038  | 36488 | 37346 |
| Freddie Mac Gold Pool 5% 6/1/2038  | 18983 | 19431 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 930559 | 941393 |
| Freddie Mac Gold Pool 5% 6/1/2049  | 13520 | 13762 |
| Freddie Mac Gold Pool 5% 6/1/2050  | 8006 | 8124 |
| Freddie Mac Gold Pool 5% 7/1/2031  | 3832 | 3889 |
| Freddie Mac Gold Pool 5% 7/1/2036  | 2561 | 2620 |
| Freddie Mac Gold Pool 5% 7/1/2038  | 2858 | 2926 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 968601 | 979878 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 562715 | 569266 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 88976 | 91130 |
| Freddie Mac Gold Pool 5% 7/1/2048  | 477947 | 478247 |
| Freddie Mac Gold Pool 5% 7/1/2048  | 406952 | 407207 |
| Freddie Mac Gold Pool 5% 7/1/2052  | 993735 | 999699 |
| Freddie Mac Gold Pool 5% 7/1/2054  | 460106 | 460135 |
| Freddie Mac Gold Pool 5% 8/1/2037  | 17391 | 17792 |
| Freddie Mac Gold Pool 5% 8/1/2038  | 44113 | 45167 |
| Freddie Mac Gold Pool 5% 8/1/2038  | 31782 | 32520 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 1068353 | 1095501 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 382479 | 391853 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 38636 | 39618 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 13751 | 14105 |
| Freddie Mac Gold Pool 5% 8/1/2048  | 802192 | 818037 |
| Freddie Mac Gold Pool 5% 8/1/2049  | 101541 | 103356 |
| Freddie Mac Gold Pool 5% 8/1/2049  | 63822 | 64963 |
| Freddie Mac Gold Pool 5% 8/1/2052  | 1517808 | 1523882 |
| Freddie Mac Gold Pool 5% 8/1/2052  | 181302 | 182255 |
| Freddie Mac Gold Pool 5% 8/1/2052  | 79994 | 80314 |
| Freddie Mac Gold Pool 5% 8/1/2052  | 23430 | 23483 |
| Freddie Mac Gold Pool 5% 8/1/2054  | 40821 | 40823 |
| Freddie Mac Gold Pool 5% 8/1/2055  | 9663809 | 9712750 |
| Freddie Mac Gold Pool 5% 9/1/2031  | 4996 | 5064 |
| Freddie Mac Gold Pool 5% 9/1/2038  | 732830 | 750402 |
| Freddie Mac Gold Pool 5% 9/1/2038  | 904 | 925 |
| Freddie Mac Gold Pool 5% 9/1/2039  | 649287 | 664857 |
| Freddie Mac Gold Pool 5% 9/1/2039  | 488289 | 500123 |
| Freddie Mac Gold Pool 5% 9/1/2039  | 15492 | 15881 |
| Freddie Mac Gold Pool 5% 9/1/2040  | 5625827 | 5691327 |
| Freddie Mac Gold Pool 5% 9/1/2049  | 322604 | 327767 |
| Freddie Mac Gold Pool 5% 9/1/2049  | 10809 | 10812 |
| Freddie Mac Gold Pool 5% 9/1/2052  | 29733068 | 29892940 |
| Freddie Mac Gold Pool 5% 9/1/2052  | 2849397 | 2881636 |
| Freddie Mac Gold Pool 5% 9/1/2052  | 1732726 | 1742043 |
| Freddie Mac Gold Pool 5% 9/1/2053  | 48908 | 49064 |
| Freddie Mac Gold Pool 5.5% 1/1/2036  | 116315 | 121002 |
| Freddie Mac Gold Pool 5.5% 1/1/2037  | 15762 | 16419 |
| Freddie Mac Gold Pool 5.5% 1/1/2037  | 11631 | 12100 |
| Freddie Mac Gold Pool 5.5% 1/1/2038  | 51248 | 53456 |
| Freddie Mac Gold Pool 5.5% 1/1/2038  | 18868 | 19621 |
| Freddie Mac Gold Pool 5.5% 1/1/2038  | 9050 | 9415 |
| Freddie Mac Gold Pool 5.5% 1/1/2039  | 240208 | 249120 |
| Freddie Mac Gold Pool 5.5% 1/1/2039  | 21935 | 22866 |
| Freddie Mac Gold Pool 5.5% 1/1/2040  | 17367140 | 17789970 |
| Freddie Mac Gold Pool 5.5% 1/1/2041  | 44626 | 46554 |
| Freddie Mac Gold Pool 5.5% 1/1/2053  | 8176465 | 8333891 |
| Freddie Mac Gold Pool 5.5% 1/1/2053  | 4163969 | 4229826 |
| Freddie Mac Gold Pool 5.5% 1/1/2053  | 817557 | 833298 |
| Freddie Mac Gold Pool 5.5% 1/1/2053  | 690790 | 701716 |
| Freddie Mac Gold Pool 5.5% 1/1/2053  | 365269 | 372301 |
| Freddie Mac Gold Pool 5.5% 1/1/2053  | 127341 | 129793 |
| Freddie Mac Gold Pool 5.5% 1/1/2054  | 111756 | 113419 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 4699820 | 4760935 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 252608 | 256604 |
| Freddie Mac Gold Pool 5.5% 10/1/2033  | 7208 | 7477 |
| Freddie Mac Gold Pool 5.5% 10/1/2035  | 52650 | 54771 |
| Freddie Mac Gold Pool 5.5% 10/1/2036  | 4326 | 4501 |
| Freddie Mac Gold Pool 5.5% 10/1/2053  | 10113726 | 10267364 |
| Freddie Mac Gold Pool 5.5% 10/1/2054  | 20202655 | 20698954 |
| Freddie Mac Gold Pool 5.5% 10/1/2054  | 1642907 | 1666247 |
| Freddie Mac Gold Pool 5.5% 10/1/2054  | 1279225 | 1297399 |
| Freddie Mac Gold Pool 5.5% 10/1/2054  | 944513 | 957931 |
| Freddie Mac Gold Pool 5.5% 10/1/2054  | 396978 | 403504 |
| Freddie Mac Gold Pool 5.5% 10/1/2054  | 248013 | 252091 |
| Freddie Mac Gold Pool 5.5% 10/1/2054  | 220537 | 223405 |
| Freddie Mac Gold Pool 5.5% 10/1/2054  | 69694 | 70601 |
| Freddie Mac Gold Pool 5.5% 11/1/2028  | 7033 | 7132 |
| Freddie Mac Gold Pool 5.5% 11/1/2037  | 43182 | 44924 |
| Freddie Mac Gold Pool 5.5% 11/1/2038  | 8768 | 9152 |
| Freddie Mac Gold Pool 5.5% 11/1/2052  | 6147201 | 6271319 |
| Freddie Mac Gold Pool 5.5% 11/1/2052  | 5452971 | 5563072 |
| Freddie Mac Gold Pool 5.5% 11/1/2052  | 1786577 | 1827675 |
| Freddie Mac Gold Pool 5.5% 11/1/2053  | 5823323 | 5911785 |
| Freddie Mac Gold Pool 5.5% 11/1/2054  | 18752658 | 19301239 |
| Freddie Mac Gold Pool 5.5% 11/1/2054  | 3789023 | 3838294 |
| Freddie Mac Gold Pool 5.5% 11/1/2054  | 314546 | 319717 |
| Freddie Mac Gold Pool 5.5% 12/1/2035  | 6218 | 6474 |
| Freddie Mac Gold Pool 5.5% 12/1/2037  | 3448 | 3598 |
| Freddie Mac Gold Pool 5.5% 12/1/2039  | 112234 | 117117 |
| Freddie Mac Gold Pool 5.5% 12/1/2052  | 26870894 | 27413444 |
| Freddie Mac Gold Pool 5.5% 12/1/2054  | 1364714 | 1383654 |
| Freddie Mac Gold Pool 5.5% 12/1/2054  | 239063 | 243815 |
| Freddie Mac Gold Pool 5.5% 2/1/2028  | 387 | 392 |
| Freddie Mac Gold Pool 5.5% 2/1/2036  | 3636 | 3781 |
| Freddie Mac Gold Pool 5.5% 2/1/2038  | 9596 | 10009 |
| Freddie Mac Gold Pool 5.5% 2/1/2039  | 12223 | 12747 |
| Freddie Mac Gold Pool 5.5% 2/1/2053  | 42854344 | 43712918 |
| Freddie Mac Gold Pool 5.5% 2/1/2053  | 26810618 | 27276546 |
| Freddie Mac Gold Pool 5.5% 2/1/2053  | 507895 | 516880 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 151188 | 155705 |
| Freddie Mac Gold Pool 5.5% 2/1/2055  | 10777287 | 10917429 |
| Freddie Mac Gold Pool 5.5% 2/1/2055  | 7069345 | 7161272 |
| Freddie Mac Gold Pool 5.5% 3/1/2034  | 507543 | 526459 |
| Freddie Mac Gold Pool 5.5% 3/1/2037  | 4171 | 4342 |
| Freddie Mac Gold Pool 5.5% 3/1/2038  | 17685 | 18459 |
| Freddie Mac Gold Pool 5.5% 3/1/2039  | 1090410 | 1137221 |
| Freddie Mac Gold Pool 5.5% 3/1/2039  | 30916 | 32291 |
| Freddie Mac Gold Pool 5.5% 3/1/2053  | 8601076 | 8766676 |
| Freddie Mac Gold Pool 5.5% 3/1/2053  | 138640 | 141309 |
| Freddie Mac Gold Pool 5.5% 3/1/2054  | 42175885 | 42803399 |
| Freddie Mac Gold Pool 5.5% 3/1/2054  | 458209 | 464597 |
| Freddie Mac Gold Pool 5.5% 3/1/2054  | 72667 | 73952 |
| Freddie Mac Gold Pool 5.5% 4/1/2027  | 346 | 350 |
| Freddie Mac Gold Pool 5.5% 4/1/2038  | 99521 | 103834 |
| Freddie Mac Gold Pool 5.5% 4/1/2038  | 17451 | 18196 |
| Freddie Mac Gold Pool 5.5% 4/1/2038  | 8354 | 8711 |
| Freddie Mac Gold Pool 5.5% 4/1/2038  | 7174 | 7475 |
| Freddie Mac Gold Pool 5.5% 4/1/2039  | 79686 | 83117 |
| Freddie Mac Gold Pool 5.5% 4/1/2040  | 271151 | 283184 |
| Freddie Mac Gold Pool 5.5% 4/1/2053  | 48190577 | 49028057 |
| Freddie Mac Gold Pool 5.5% 4/1/2053  | 578660 | 587324 |
| Freddie Mac Gold Pool 5.5% 4/1/2054  | 5389693 | 5464831 |
| Freddie Mac Gold Pool 5.5% 4/1/2054  | 1349966 | 1385661 |
| Freddie Mac Gold Pool 5.5% 4/1/2054  | 1364567 | 1384102 |
| Freddie Mac Gold Pool 5.5% 4/1/2054  | 379533 | 385258 |
| Freddie Mac Gold Pool 5.5% 5/1/2028  | 3497 | 3545 |
| Freddie Mac Gold Pool 5.5% 5/1/2036  | 21908 | 22737 |
| Freddie Mac Gold Pool 5.5% 5/1/2036  | 8681 | 9033 |
| Freddie Mac Gold Pool 5.5% 5/1/2036  | 3869 | 4029 |
| Freddie Mac Gold Pool 5.5% 5/1/2036  | 3295 | 3434 |
| Freddie Mac Gold Pool 5.5% 5/1/2037  | 307868 | 320878 |
| Freddie Mac Gold Pool 5.5% 5/1/2037  | 8834 | 9203 |
| Freddie Mac Gold Pool 5.5% 5/1/2037  | 2592 | 2698 |
| Freddie Mac Gold Pool 5.5% 5/1/2037  | 419 | 436 |
| Freddie Mac Gold Pool 5.5% 5/1/2038  | 167362 | 174660 |
| Freddie Mac Gold Pool 5.5% 5/1/2038  | 7551 | 7877 |
| Freddie Mac Gold Pool 5.5% 5/1/2038  | 7134 | 7447 |
| Freddie Mac Gold Pool 5.5% 5/1/2038  | 6728 | 7021 |
| Freddie Mac Gold Pool 5.5% 5/1/2040  | 8645 | 9019 |
| Freddie Mac Gold Pool 5.5% 5/1/2040  | 8385 | 8747 |
| Freddie Mac Gold Pool 5.5% 5/1/2054  | 10252810 | 10395744 |
| Freddie Mac Gold Pool 5.5% 5/1/2054  | 919051 | 931624 |
| Freddie Mac Gold Pool 5.5% 5/1/2055  | 43565742 | 44132249 |
| Freddie Mac Gold Pool 5.5% 5/1/2055  | 2143321 | 2171191 |
| Freddie Mac Gold Pool 5.5% 5/1/2055  | 397816 | 402989 |
| Freddie Mac Gold Pool 5.5% 6/1/2027  | 7182 | 7275 |
| Freddie Mac Gold Pool 5.5% 6/1/2038  | 85010 | 88678 |
| Freddie Mac Gold Pool 5.5% 6/1/2038  | 18785 | 19597 |
| Freddie Mac Gold Pool 5.5% 6/1/2038  | 13050 | 13630 |
| Freddie Mac Gold Pool 5.5% 6/1/2038  | 10172 | 10599 |
| Freddie Mac Gold Pool 5.5% 6/1/2040  | 74123 | 77435 |
| Freddie Mac Gold Pool 5.5% 6/1/2041  | 556126 | 577482 |
| Freddie Mac Gold Pool 5.5% 6/1/2041  | 368878 | 384356 |
| Freddie Mac Gold Pool 5.5% 6/1/2041  | 175768 | 182667 |
| Freddie Mac Gold Pool 5.5% 6/1/2049  | 2876283 | 2988288 |
| Freddie Mac Gold Pool 5.5% 6/1/2053  | 52761 | 53678 |
| Freddie Mac Gold Pool 5.5% 6/1/2054  | 3572922 | 3619802 |
| Freddie Mac Gold Pool 5.5% 6/1/2054  | 655568 | 664707 |
| Freddie Mac Gold Pool 5.5% 6/1/2054  | 649010 | 662317 |
| Freddie Mac Gold Pool 5.5% 6/1/2054  | 636565 | 648025 |
| Freddie Mac Gold Pool 5.5% 6/1/2054  | 551650 | 559186 |
| Freddie Mac Gold Pool 5.5% 6/1/2054  | 145675 | 147651 |
| Freddie Mac Gold Pool 5.5% 6/1/2055  | 4787032 | 4849280 |
| Freddie Mac Gold Pool 5.5% 6/1/2055  | 996466 | 1009423 |
| Freddie Mac Gold Pool 5.5% 6/1/2055  | 444659 | 450441 |
| Freddie Mac Gold Pool 5.5% 7/1/2028  | 3964 | 4016 |
| Freddie Mac Gold Pool 5.5% 7/1/2035  | 321497 | 333265 |
| Freddie Mac Gold Pool 5.5% 7/1/2036  | 158256 | 164843 |
| Freddie Mac Gold Pool 5.5% 7/1/2038  | 8816 | 9188 |
| Freddie Mac Gold Pool 5.5% 7/1/2038  | 5370 | 5603 |
| Freddie Mac Gold Pool 5.5% 7/1/2039  | 6450 | 6722 |
| Freddie Mac Gold Pool 5.5% 7/1/2053  | 12185780 | 12378511 |
| Freddie Mac Gold Pool 5.5% 7/1/2055  | 1968127 | 1995750 |
| Freddie Mac Gold Pool 5.5% 8/1/2038  | 19190 | 19971 |
| Freddie Mac Gold Pool 5.5% 8/1/2038  | 12909 | 13449 |
| Freddie Mac Gold Pool 5.5% 8/1/2038  | 8085 | 8437 |
| Freddie Mac Gold Pool 5.5% 8/1/2038  | 4623 | 4816 |
| Freddie Mac Gold Pool 5.5% 8/1/2039  | 4683237 | 4797257 |
| Freddie Mac Gold Pool 5.5% 8/1/2039  | 136241 | 142398 |
| Freddie Mac Gold Pool 5.5% 8/1/2040  | 33264 | 34706 |
| Freddie Mac Gold Pool 5.5% 8/1/2053  | 24508877 | 24896510 |
| Freddie Mac Gold Pool 5.5% 8/1/2053  | 4847094 | 4937692 |
| Freddie Mac Gold Pool 5.5% 8/1/2055  | 20787294 | 21057602 |
| Freddie Mac Gold Pool 5.5% 9/1/2038  | 118129 | 123286 |
| Freddie Mac Gold Pool 5.5% 9/1/2038  | 16237 | 16949 |
| Freddie Mac Gold Pool 5.5% 9/1/2038  | 8361 | 8730 |
| Freddie Mac Gold Pool 5.5% 9/1/2040  | 12512559 | 12809376 |
| Freddie Mac Gold Pool 5.5% 9/1/2040  | 548392 | 573612 |
| Freddie Mac Gold Pool 5.5% 9/1/2053  | 19073837 | 19602011 |
| Freddie Mac Gold Pool 5.5% 9/1/2053  | 4643114 | 4716550 |
| Freddie Mac Gold Pool 5.5% 9/1/2053  | 18298 | 18591 |
| Freddie Mac Gold Pool 5.5% 9/1/2054  | 20159511 | 20421655 |
| Freddie Mac Gold Pool 5.5% 9/1/2054  | 232514 | 236337 |
| Freddie Mac Gold Pool 6% 1/1/2053  | 15777554 | 16223739 |
| Freddie Mac Gold Pool 6% 1/1/2053  | 1697688 | 1745698 |
| Freddie Mac Gold Pool 6% 1/1/2055  | 18157418 | 18590048 |
| Freddie Mac Gold Pool 6% 10/1/2054  | 1999801 | 2048700 |
| Freddie Mac Gold Pool 6% 10/1/2054  | 985952 | 1011986 |
| Freddie Mac Gold Pool 6% 10/1/2055  | 40086802 | 41195390 |
| Freddie Mac Gold Pool 6% 10/1/2055  | 14816660 | 15176637 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 6237608 | 6437397 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 3608218 | 3702364 |
| Freddie Mac Gold Pool 6% 12/1/2052  | 18489858 | 19025747 |
| Freddie Mac Gold Pool 6% 12/1/2052  | 159572 | 164085 |
| Freddie Mac Gold Pool 6% 12/1/2053  | 26066045 | 27042015 |
| Freddie Mac Gold Pool 6% 12/1/2054  | 146330 | 149794 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 13876858 | 14203160 |
| Freddie Mac Gold Pool 6% 3/1/2053  | 17786 | 18289 |
| Freddie Mac Gold Pool 6% 3/1/2055  | 11519970 | 11790851 |
| Freddie Mac Gold Pool 6% 4/1/2032  | 178530 | 185573 |
| Freddie Mac Gold Pool 6% 4/1/2053  | 948596 | 975422 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 45017571 | 46856895 |
| Freddie Mac Gold Pool 6% 4/1/2055  | 12286234 | 12575134 |
| Freddie Mac Gold Pool 6% 4/1/2055  | 1999801 | 2046825 |
| Freddie Mac Gold Pool 6% 5/1/2053  | 4818416 | 4948566 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 51924535 | 54127196 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 25795881 | 26412523 |
| Freddie Mac Gold Pool 6% 5/1/2055  | 4759589 | 4879055 |
| Freddie Mac Gold Pool 6% 5/1/2055  | 2603258 | 2664878 |
| Freddie Mac Gold Pool 6% 5/1/2055  | 1999800 | 2047136 |
| Freddie Mac Gold Pool 6% 5/1/2055  | 1820456 | 1867870 |
| Freddie Mac Gold Pool 6% 5/1/2055  | 90971 | 93124 |
| Freddie Mac Gold Pool 6% 5/1/2055  | 77161 | 79186 |
| Freddie Mac Gold Pool 6% 6/1/2053  | 12120229 | 12442154 |
| Freddie Mac Gold Pool 6% 6/1/2053  | 2726577 | 2805814 |
| Freddie Mac Gold Pool 6% 6/1/2054  | 10248262 | 10555214 |
| Freddie Mac Gold Pool 6% 6/1/2055  | 2797201 | 2863412 |
| Freddie Mac Gold Pool 6% 6/1/2055  | 1999800 | 2047136 |
| Freddie Mac Gold Pool 6% 6/1/2055  | 1027567 | 1051890 |
| Freddie Mac Gold Pool 6% 6/1/2055  | 287923 | 294783 |
| Freddie Mac Gold Pool 6% 7/1/2053  | 3622856 | 3741273 |
| Freddie Mac Gold Pool 6% 7/1/2053  | 2244727 | 2302105 |
| Freddie Mac Gold Pool 6% 7/1/2053  | 166526 | 170949 |
| Freddie Mac Gold Pool 6% 7/1/2055  | 28837063 | 29524153 |
| Freddie Mac Gold Pool 6% 7/1/2055  | 12786566 | 13092225 |
| Freddie Mac Gold Pool 6% 7/1/2055  | 546074 | 559085 |
| Freddie Mac Gold Pool 6% 8/1/2037  | 23464 | 24809 |
| Freddie Mac Gold Pool 6% 8/1/2053  | 4322029 | 4436827 |
| Freddie Mac Gold Pool 6% 8/1/2053  | 3668008 | 3765434 |
| Freddie Mac Gold Pool 6% 8/1/2053  | 2588131 | 2660919 |
| Freddie Mac Gold Pool 6% 8/1/2053  | 382941 | 395314 |
| Freddie Mac Gold Pool 6% 8/1/2054  | 31431864 | 32202879 |
| Freddie Mac Gold Pool 6% 8/1/2054  | 1064000 | 1090049 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 10890486 | 11343106 |
| Freddie Mac Gold Pool 6% 9/1/2053  | 8409252 | 8632610 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 1999801 | 2048700 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 2405918 | 2493061 |
| Freddie Mac Gold Pool 6.5% 10/1/2037  | 10138 | 10863 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 23441227 | 24292102 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 695988 | 722991 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 87165 | 90322 |
| Freddie Mac Gold Pool 6.5% 10/1/2054  | 4378163 | 4531953 |
| Freddie Mac Gold Pool 6.5% 10/1/2055  | 80752 | 83772 |
| Freddie Mac Gold Pool 6.5% 11/1/2036  | 5193 | 5559 |
| Freddie Mac Gold Pool 6.5% 12/1/2037  | 8729 | 9356 |
| Freddie Mac Gold Pool 6.5% 12/1/2053  | 16491141 | 17320359 |
| Freddie Mac Gold Pool 6.5% 12/1/2053  | 15150208 | 15698950 |
| Freddie Mac Gold Pool 6.5% 12/1/2054  | 7264098 | 7532880 |
| Freddie Mac Gold Pool 6.5% 2/1/2054  | 22653242 | 23783458 |
| Freddie Mac Gold Pool 6.5% 3/1/2053  | 504651 | 524624 |
| Freddie Mac Gold Pool 6.5% 3/1/2055  | 10706362 | 11079092 |
| Freddie Mac Gold Pool 6.5% 4/1/2055  | 21054813 | 21787814 |
| Freddie Mac Gold Pool 6.5% 5/1/2053  | 830763 | 862865 |
| Freddie Mac Gold Pool 6.5% 5/1/2055  | 46991031 | 48630642 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 23189354 | 24444146 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 11678347 | 12350415 |
| Freddie Mac Gold Pool 6.5% 7/1/2054  | 67348 | 69954 |
| Freddie Mac Gold Pool 6.5% 8/1/2053  | 21335021 | 22129446 |
| Freddie Mac Gold Pool 6.5% 8/1/2054  | 52937031 | 54771702 |
| Freddie Mac Gold Pool 6.5% 8/1/2054  | 964272 | 1000388 |
| Freddie Mac Gold Pool 6.5% 8/1/2054  | 880828 | 914914 |
| Freddie Mac Gold Pool 6.5% 8/1/2055  | 30604 | 31691 |
| Freddie Mac Gold Pool 6.5% 9/1/2037  | 5987 | 6364 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 9300670 | 9646987 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 14037855 | 14850095 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 12494445 | 12933329 |
| Freddie Mac Gold Pool 6.5% 9/1/2055  | 460632 | 477065 |
| Freddie Mac Gold Pool 6.5% 9/1/2055  | 31041 | 32148 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 18644728 | 19751747 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 4646554 | 4919129 |
| Freddie Mac Manufactured Housing participation certificates 4.5% 1/1/2055  | 48976 | 47980 |
| Freddie Mac Manufactured Housing participation certificates 5.5% 12/1/2054  | 181418 | 183777 |
| Freddie Mac Manufactured Housing participation certificates 6% 1/1/2055  | 2192583 | 2244824 |
| Freddie Mac Manufactured Housing participation certificates 6% 2/1/2055  | 143199 | 146611 |
| Freddie Mac Manufactured Housing participation certificates 6% 4/1/2055  | 27849869 | 28926834 |
| Freddie Mac Multiclass Mortgage participation certificates 2.5% 1/1/2032  | 12758 | 12331 |
| Freddie Mac Multiclass Mortgage participation certificates 2.5% 12/1/2031  | 21182 | 20544 |
| Freddie Mac Multiclass Mortgage participation certificates 2.5% 12/1/2031  | 1808 | 1751 |
| Freddie Mac Multiclass Mortgage participation certificates 2.5% 2/1/2032  | 31666 | 30664 |
| Freddie Mac Multifamily Structured pass-thru certificates 4.5% 9/1/2054  | 1083111 | 1064126 |
| Freddie Mac Multifamily Structured pass-thru certificates 6% 9/1/2054  | 971090 | 994835 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.886%, 6.618% 9/1/2037 (b)(c) | 40039 | 41461 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 1.699%, 5.937% 3/1/2036 (b)(c) | 807314 | 817829 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.232%, 6.361% 12/1/2035 (b)(c) | 301142 | 307626 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.25%, 6.432% 3/1/2035 (b)(c) | 177010 | 180666 |
| Freddie Mac Non Gold Pool 3.5% 2/1/2055  | 613754 | 567995 |
| Freddie Mac Non Gold Pool 4% 10/1/2040  | 193264 | 190388 |
| Freddie Mac Non Gold Pool 4% 10/1/2040  | 2442 | 2424 |
| Freddie Mac Non Gold Pool 4% 4/1/2055  | 891484 | 849613 |
| Freddie Mac Non Gold Pool 4% 9/1/2040  | 358921 | 353814 |
| Freddie Mac Non Gold Pool 4% 9/1/2040  | 115419 | 113904 |
| Freddie Mac Non Gold Pool 4% 9/1/2040  | 12290 | 12131 |
| Freddie Mac Non Gold Pool 4% 9/1/2040  | 10154 | 10022 |
| Freddie Mac Non Gold Pool 4% 9/1/2040  | 2378 | 2345 |
| Freddie Mac Non Gold Pool 4.5% 2/1/2055  | 1153506 | 1136531 |
| Freddie Mac Non Gold Pool 4.5% 9/1/2040  | 681883 | 687420 |
| Freddie Mac Non Gold Pool 5% 11/1/2054  | 77282 | 77185 |
| Freddie Mac Non Gold Pool 5% 9/1/2040  | 114155 | 117082 |
| Freddie Mac Non Gold Pool 5.5% 1/1/2054  | 476033 | 482848 |
| Freddie Mac Non Gold Pool 5.5% 1/1/2055  | 477394 | 485243 |
| Freddie Mac Non Gold Pool 5.5% 3/1/2055  | 1935919 | 1961093 |
| Freddie Mac Non Gold Pool 5.5% 3/1/2055  | 1807003 | 1831855 |
| Freddie Mac Non Gold Pool 5.5% 4/1/2054  | 12877047 | 13088760 |
| Freddie Mac Non Gold Pool 5.5% 4/1/2054  | 450067 | 456341 |
| Freddie Mac Non Gold Pool 5.5% 6/1/2053  | 198225 | 202227 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 477431 | 485579 |
| Freddie Mac Non Gold Pool 6% 1/1/2055  | 1999800 | 2046824 |
| Freddie Mac Non Gold Pool 6% 1/1/2055  | 1999801 | 2046824 |
| Freddie Mac Non Gold Pool 6% 10/1/2054  | 3723991 | 3818830 |
| Freddie Mac Non Gold Pool 6% 10/1/2054  | 744353 | 762554 |
| Freddie Mac Non Gold Pool 6% 11/1/2054  | 2795763 | 2864124 |
| Freddie Mac Non Gold Pool 6% 12/1/2054  | 3630992 | 3717507 |
| Freddie Mac Non Gold Pool 6% 2/1/2055  | 1999800 | 2051980 |
| Freddie Mac Non Gold Pool 6% 2/1/2055  | 1200230 | 1228452 |
| Freddie Mac Non Gold Pool 6% 2/1/2055  | 256768 | 262886 |
| Freddie Mac Non Gold Pool 6% 3/1/2055  | 1066795 | 1095830 |
| Freddie Mac Non Gold Pool 6% 4/1/2055  | 2705497 | 2769114 |
| Freddie Mac Non Gold Pool 6% 4/1/2055  | 1118819 | 1145302 |
| Freddie Mac Non Gold Pool 6% 4/1/2055  | 1107539 | 1133755 |
| Freddie Mac Non Gold Pool 6% 4/1/2055  | 1042730 | 1067412 |
| Freddie Mac Non Gold Pool 6% 5/1/2055  | 999900 | 1024225 |
| Freddie Mac Non Gold Pool 6% 6/1/2055  | 5024150 | 5143074 |
| Freddie Mac Non Gold Pool 6% 6/1/2055  | 84703 | 86959 |
| Freddie Mac Non Gold Pool 6.5% 3/1/2055  | 8431973 | 8750424 |
| Freddie Mac Non Gold Pool 6.5% 5/1/2053  | 106445 | 111797 |
| Ginnie Mae I Pool 2% 8/20/2052  | 2062873 | 1730368 |
| Ginnie Mae I Pool 3% 1/15/2043  | 169648 | 156839 |
| Ginnie Mae I Pool 3% 1/15/2045  | 84662 | 77500 |
| Ginnie Mae I Pool 3% 1/15/2045  | 63349 | 58047 |
| Ginnie Mae I Pool 3% 1/15/2045  | 57211 | 52510 |
| Ginnie Mae I Pool 3% 1/15/2045  | 53819 | 49218 |
| Ginnie Mae I Pool 3% 1/15/2045  | 23625 | 21599 |
| Ginnie Mae I Pool 3% 10/15/2042  | 21788 | 20080 |
| Ginnie Mae I Pool 3% 10/15/2042  | 11359 | 10486 |
| Ginnie Mae I Pool 3% 10/20/2042  | 9936292 | 9249243 |
| Ginnie Mae I Pool 3% 11/15/2042  | 63869 | 59067 |
| Ginnie Mae I Pool 3% 2/15/2045  | 227950 | 208804 |
| Ginnie Mae I Pool 3% 2/15/2045  | 104387 | 95556 |
| Ginnie Mae I Pool 3% 2/15/2045  | 55222 | 50517 |
| Ginnie Mae I Pool 3% 2/20/2046  | 169538 | 155311 |
| Ginnie Mae I Pool 3% 3/15/2043  | 16156 | 15006 |
| Ginnie Mae I Pool 3% 3/15/2043  | 4269 | 3972 |
| Ginnie Mae I Pool 3% 3/15/2043  | 2469 | 2281 |
| Ginnie Mae I Pool 3% 3/15/2045  | 427301 | 390897 |
| Ginnie Mae I Pool 3% 3/15/2045  | 277944 | 254017 |
| Ginnie Mae I Pool 3% 3/15/2045  | 252732 | 231890 |
| Ginnie Mae I Pool 3% 3/15/2045  | 215225 | 196888 |
| Ginnie Mae I Pool 3% 3/15/2045  | 196066 | 180138 |
| Ginnie Mae I Pool 3% 3/15/2045  | 132101 | 120926 |
| Ginnie Mae I Pool 3% 3/15/2045  | 84058 | 76822 |
| Ginnie Mae I Pool 3% 3/15/2045  | 76967 | 70525 |
| Ginnie Mae I Pool 3% 3/15/2045  | 72671 | 66790 |
| Ginnie Mae I Pool 3% 3/15/2045  | 47761 | 44475 |
| Ginnie Mae I Pool 3% 3/15/2045  | 46389 | 42340 |
| Ginnie Mae I Pool 3% 3/15/2045  | 38203 | 35183 |
| Ginnie Mae I Pool 3% 3/15/2045  | 23352 | 21349 |
| Ginnie Mae I Pool 3% 4/15/2042  | 143172 | 132692 |
| Ginnie Mae I Pool 3% 5/15/2042  | 84833 | 78880 |
| Ginnie Mae I Pool 3% 5/15/2045  | 143907 | 131690 |
| Ginnie Mae I Pool 3% 6/15/2042  | 88306 | 81813 |
| Ginnie Mae I Pool 3% 6/15/2043  | 1406543 | 1296711 |
| Ginnie Mae I Pool 3% 6/15/2043  | 265871 | 244191 |
| Ginnie Mae I Pool 3% 6/15/2043  | 232276 | 214587 |
| Ginnie Mae I Pool 3% 6/15/2045  | 144955 | 133498 |
| Ginnie Mae I Pool 3% 6/15/2045  | 33436 | 30528 |
| Ginnie Mae I Pool 3% 6/15/2045  | 20632 | 18849 |
| Ginnie Mae I Pool 3% 7/15/2042  | 65111 | 60744 |
| Ginnie Mae I Pool 3% 7/15/2043  | 389896 | 359575 |
| Ginnie Mae I Pool 3% 7/15/2045  | 277655 | 253021 |
| Ginnie Mae I Pool 3% 7/15/2045  | 171313 | 156114 |
| Ginnie Mae I Pool 3% 7/15/2045  | 161056 | 147096 |
| Ginnie Mae I Pool 3% 7/15/2045  | 93270 | 85578 |
| Ginnie Mae I Pool 3% 7/15/2045  | 88097 | 80383 |
| Ginnie Mae I Pool 3% 7/15/2045  | 82074 | 75281 |
| Ginnie Mae I Pool 3% 7/15/2045  | 78424 | 71558 |
| Ginnie Mae I Pool 3% 7/15/2045  | 71640 | 65326 |
| Ginnie Mae I Pool 3% 7/15/2045  | 63830 | 58469 |
| Ginnie Mae I Pool 3% 7/15/2045  | 62102 | 56592 |
| Ginnie Mae I Pool 3% 7/15/2045  | 24025 | 21901 |
| Ginnie Mae I Pool 3% 7/20/2052  | 5712286 | 5160656 |
| Ginnie Mae I Pool 3.5% 1/15/2041  | 56743 | 54039 |
| Ginnie Mae I Pool 3.5% 1/15/2041  | 44368 | 42436 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 141518 | 134107 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 71946 | 68163 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 4528 | 4306 |
| Ginnie Mae I Pool 3.5% 1/15/2043  | 5316 | 5072 |
| Ginnie Mae I Pool 3.5% 10/15/2040  | 17631 | 16762 |
| Ginnie Mae I Pool 3.5% 10/15/2042  | 60933 | 57782 |
| Ginnie Mae I Pool 3.5% 10/15/2042  | 19828 | 18820 |
| Ginnie Mae I Pool 3.5% 11/15/2040  | 36723 | 34999 |
| Ginnie Mae I Pool 3.5% 11/15/2041  | 412171 | 391495 |
| Ginnie Mae I Pool 3.5% 11/15/2041  | 97836 | 93499 |
| Ginnie Mae I Pool 3.5% 11/15/2041  | 93776 | 89653 |
| Ginnie Mae I Pool 3.5% 11/15/2042  | 48468 | 45806 |
| Ginnie Mae I Pool 3.5% 11/20/2052  | 6711490 | 6218156 |
| Ginnie Mae I Pool 3.5% 12/15/2040  | 58635 | 55895 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 125771 | 119662 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 15194 | 14449 |
| Ginnie Mae I Pool 3.5% 12/15/2042  | 42387 | 40270 |
| Ginnie Mae I Pool 3.5% 12/15/2043  | 11761 | 11138 |
| Ginnie Mae I Pool 3.5% 2/15/2041  | 1135 | 1085 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 291339 | 277147 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 174457 | 165864 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 72518 | 68958 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 201600 | 190956 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 122033 | 115331 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 102479 | 97730 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 40209 | 38211 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 2111 | 2010 |
| Ginnie Mae I Pool 3.5% 4/15/2042  | 87274 | 82916 |
| Ginnie Mae I Pool 3.5% 4/15/2042  | 21473 | 20395 |
| Ginnie Mae I Pool 3.5% 4/15/2042  | 6801 | 6461 |
| Ginnie Mae I Pool 3.5% 4/15/2042  | 1763 | 1675 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 223218 | 211971 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 105801 | 100879 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 85357 | 81369 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 50775 | 48228 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 12065 | 11468 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 313589 | 297579 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 218507 | 206553 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 106705 | 100957 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 71990 | 68127 |
| Ginnie Mae I Pool 3.5% 6/15/2042  | 339292 | 322502 |
| Ginnie Mae I Pool 3.5% 6/15/2042  | 64840 | 61584 |
| Ginnie Mae I Pool 3.5% 6/15/2042  | 43332 | 41088 |
| Ginnie Mae I Pool 3.5% 6/15/2042  | 10256 | 9734 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 363612 | 343948 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 109125 | 103506 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 6296 | 5952 |
| Ginnie Mae I Pool 3.5% 6/20/2042  | 1776789 | 1693594 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 730837 | 693525 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 46251 | 44081 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 34824 | 33007 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 34377 | 32562 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 22902 | 21668 |
| Ginnie Mae I Pool 3.5% 8/15/2041  | 2290 | 2173 |
| Ginnie Mae I Pool 3.5% 8/15/2042  | 2342158 | 2221550 |
| Ginnie Mae I Pool 3.5% 8/15/2042  | 35671 | 33882 |
| Ginnie Mae I Pool 3.5% 8/15/2042  | 32434 | 30750 |
| Ginnie Mae I Pool 3.5% 8/15/2042  | 8251 | 7827 |
| Ginnie Mae I Pool 3.5% 8/15/2043  | 22875 | 21632 |
| Ginnie Mae I Pool 3.5% 8/20/2052  | 23990959 | 22281841 |
| Ginnie Mae I Pool 3.5% 9/15/2041  | 91456 | 87140 |
| Ginnie Mae I Pool 3.5% 9/15/2043  | 21936 | 20981 |
| Ginnie Mae I Pool 3.5% 9/20/2054  | 45997 | 42361 |
| Ginnie Mae I Pool 4% 1/15/2040  | 19506 | 19079 |
| Ginnie Mae I Pool 4% 1/15/2041  | 806705 | 787354 |
| Ginnie Mae I Pool 4% 1/15/2041  | 410967 | 401109 |
| Ginnie Mae I Pool 4% 1/15/2041  | 28937 | 28247 |
| Ginnie Mae I Pool 4% 1/15/2041  | 23404 | 22835 |
| Ginnie Mae I Pool 4% 10/15/2040  | 554511 | 541463 |
| Ginnie Mae I Pool 4% 10/15/2040  | 4375 | 4273 |
| Ginnie Mae I Pool 4% 10/15/2041  | 427155 | 416647 |
| Ginnie Mae I Pool 4% 10/15/2041  | 234591 | 228884 |
| Ginnie Mae I Pool 4% 10/15/2041  | 114722 | 112063 |
| Ginnie Mae I Pool 4% 10/15/2041  | 73334 | 71499 |
| Ginnie Mae I Pool 4% 10/15/2041  | 56964 | 55584 |
| Ginnie Mae I Pool 4% 10/15/2041  | 48150 | 47011 |
| Ginnie Mae I Pool 4% 10/15/2041  | 28052 | 27370 |
| Ginnie Mae I Pool 4% 10/15/2041  | 2898 | 2827 |
| Ginnie Mae I Pool 4% 10/20/2052  | 24800887 | 23749962 |
| Ginnie Mae I Pool 4% 11/15/2040  | 199802 | 194987 |
| Ginnie Mae I Pool 4% 11/15/2040  | 28088 | 27408 |
| Ginnie Mae I Pool 4% 11/15/2041  | 35531 | 34637 |
| Ginnie Mae I Pool 4% 11/15/2044  | 34807 | 33748 |
| Ginnie Mae I Pool 4% 12/15/2040  | 38451 | 37529 |
| Ginnie Mae I Pool 4% 12/15/2040  | 28224 | 27592 |
| Ginnie Mae I Pool 4% 12/15/2040  | 7973 | 7785 |
| Ginnie Mae I Pool 4% 12/15/2041  | 267229 | 260428 |
| Ginnie Mae I Pool 4% 12/15/2041  | 154051 | 150130 |
| Ginnie Mae I Pool 4% 12/15/2041  | 39299 | 38272 |
| Ginnie Mae I Pool 4% 12/15/2041  | 36152 | 35306 |
| Ginnie Mae I Pool 4% 12/15/2041  | 33780 | 33016 |
| Ginnie Mae I Pool 4% 2/15/2041  | 146324 | 142880 |
| Ginnie Mae I Pool 4% 2/15/2041  | 140241 | 136652 |
| Ginnie Mae I Pool 4% 2/15/2041  | 19499 | 19027 |
| Ginnie Mae I Pool 4% 2/20/2053  | 25900105 | 24778320 |
| Ginnie Mae I Pool 4% 3/15/2040  | 70848 | 69289 |
| Ginnie Mae I Pool 4% 3/15/2041  | 169353 | 165388 |
| Ginnie Mae I Pool 4% 3/15/2041  | 50120 | 48941 |
| Ginnie Mae I Pool 4% 3/15/2042  | 3141 | 3055 |
| Ginnie Mae I Pool 4% 3/15/2044  | 55308 | 53901 |
| Ginnie Mae I Pool 4% 4/15/2040  | 224464 | 219234 |
| Ginnie Mae I Pool 4% 4/15/2040  | 173644 | 169518 |
| Ginnie Mae I Pool 4% 4/15/2040  | 30255 | 29543 |
| Ginnie Mae I Pool 4% 4/15/2041  | 29200 | 28502 |
| Ginnie Mae I Pool 4% 4/15/2041  | 27264 | 26559 |
| Ginnie Mae I Pool 4% 4/15/2045  | 145168 | 140846 |
| Ginnie Mae I Pool 4% 5/15/2040  | 288887 | 281957 |
| Ginnie Mae I Pool 4% 5/15/2041  | 64969 | 63315 |
| Ginnie Mae I Pool 4% 5/15/2041  | 23030 | 22488 |
| Ginnie Mae I Pool 4% 5/15/2044  | 17969 | 17501 |
| Ginnie Mae I Pool 4% 6/15/2039  | 625881 | 612183 |
| Ginnie Mae I Pool 4% 6/15/2039  | 39870 | 38969 |
| Ginnie Mae I Pool 4% 6/15/2045  | 1152518 | 1117914 |
| Ginnie Mae I Pool 4% 7/15/2041  | 504105 | 490852 |
| Ginnie Mae I Pool 4% 7/15/2041  | 46943 | 45774 |
| Ginnie Mae I Pool 4% 7/20/2052  | 3217715 | 3087399 |
| Ginnie Mae I Pool 4% 8/15/2039  | 61969 | 60518 |
| Ginnie Mae I Pool 4% 8/15/2040  | 6365 | 6218 |
| Ginnie Mae I Pool 4% 8/15/2041  | 67710 | 66054 |
| Ginnie Mae I Pool 4% 8/15/2041  | 14880 | 14547 |
| Ginnie Mae I Pool 4% 8/20/2052  | 18378006 | 17622219 |
| Ginnie Mae I Pool 4% 9/15/2041  | 65925 | 64313 |
| Ginnie Mae I Pool 4% 9/15/2041  | 56990 | 55636 |
| Ginnie Mae I Pool 4% 9/15/2041  | 47148 | 46001 |
| Ginnie Mae I Pool 4% 9/15/2041  | 14452 | 14080 |
| Ginnie Mae I Pool 4% 9/15/2041  | 14007 | 13657 |
| Ginnie Mae I Pool 4% 9/15/2041  | 6899 | 6751 |
| Ginnie Mae I Pool 4% 9/15/2044  | 9431 | 9182 |
| Ginnie Mae I Pool 4% 9/20/2052  | 21919318 | 20990498 |
| Ginnie Mae I Pool 4.5% 1/20/2053  | 151494 | 149119 |
| Ginnie Mae I Pool 4.5% 10/15/2040  | 19763 | 19815 |
| Ginnie Mae I Pool 4.5% 10/15/2041  | 36979 | 37041 |
| Ginnie Mae I Pool 4.5% 10/15/2041  | 16794 | 16822 |
| Ginnie Mae I Pool 4.5% 10/20/2052  | 15355961 | 15134352 |
| Ginnie Mae I Pool 4.5% 11/20/2052  | 49997767 | 49276225 |
| Ginnie Mae I Pool 4.5% 2/15/2035  | 805 | 808 |
| Ginnie Mae I Pool 4.5% 2/15/2039  | 84129 | 84385 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 18510 | 18561 |
| Ginnie Mae I Pool 4.5% 2/20/2053  | 650917 | 640709 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 153309 | 153629 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 679443 | 681292 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 99485 | 99712 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 22023 | 22078 |
| Ginnie Mae I Pool 4.5% 3/20/2053  | 810537 | 797827 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 4134 | 4146 |
| Ginnie Mae I Pool 4.5% 4/15/2041  | 14132 | 14166 |
| Ginnie Mae I Pool 4.5% 4/20/2053  | 18307538 | 18019018 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 257518 | 258064 |
| Ginnie Mae I Pool 4.5% 5/15/2041  | 15808 | 15858 |
| Ginnie Mae I Pool 4.5% 5/15/2041  | 11465 | 11487 |
| Ginnie Mae I Pool 4.5% 5/15/2041  | 2197 | 2203 |
| Ginnie Mae I Pool 4.5% 5/20/2053  | 13505083 | 13283808 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 452240 | 453461 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 189634 | 190162 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 63025 | 63212 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 35764 | 35856 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 23704 | 23765 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 13962 | 13999 |
| Ginnie Mae I Pool 4.5% 6/15/2041  | 18985 | 19032 |
| Ginnie Mae I Pool 4.5% 6/15/2041  | 13916 | 13950 |
| Ginnie Mae I Pool 4.5% 6/15/2041  | 8159 | 8174 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 12180 | 12212 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 81290 | 81515 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 74804 | 75009 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 69920 | 70107 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 59184 | 59340 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 22368 | 22429 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 11354 | 11384 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 2636 | 2644 |
| Ginnie Mae I Pool 4.5% 7/15/2041  | 23412 | 23452 |
| Ginnie Mae I Pool 4.5% 7/15/2041  | 6040 | 6054 |
| Ginnie Mae I Pool 4.5% 7/20/2041  | 3040904 | 3050015 |
| Ginnie Mae I Pool 4.5% 7/20/2052  | 15980441 | 15749820 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 35376 | 35491 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 19503 | 19556 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 8023 | 8045 |
| Ginnie Mae I Pool 4.5% 8/20/2052  | 3800822 | 3745970 |
| Ginnie Mae I Pool 4.5% 9/15/2033  | 1311 | 1316 |
| Ginnie Mae I Pool 4.5% 9/15/2040  | 42918 | 43029 |
| Ginnie Mae I Pool 4.5% 9/15/2040  | 33074 | 33156 |
| Ginnie Mae I Pool 4.5% 9/15/2040  | 1504 | 1507 |
| Ginnie Mae I Pool 4.5% 9/15/2041  | 15701 | 15741 |
| Ginnie Mae I Pool 4.5% 9/15/2041  | 11974 | 12006 |
| Ginnie Mae I Pool 4.5% 9/20/2052  | 23586292 | 23245906 |
| Ginnie Mae I Pool 5% 1/20/2053  | 4529719 | 4557138 |
| Ginnie Mae I Pool 5% 10/15/2039  | 9513 | 9718 |
| Ginnie Mae I Pool 5% 10/20/2040  | 4181 | 4271 |
| Ginnie Mae I Pool 5% 10/20/2052  | 28096585 | 28284218 |
| Ginnie Mae I Pool 5% 10/20/2054  | 511955 | 512174 |
| Ginnie Mae I Pool 5% 11/15/2039  | 238614 | 243888 |
| Ginnie Mae I Pool 5% 11/20/2052  | 26873 | 27052 |
| Ginnie Mae I Pool 5% 12/20/2052  | 30198251 | 30381045 |
| Ginnie Mae I Pool 5% 2/20/2041  | 66733 | 68183 |
| Ginnie Mae I Pool 5% 2/20/2053  | 609758 | 613067 |
| Ginnie Mae I Pool 5% 3/15/2044  | 365843 | 373706 |
| Ginnie Mae I Pool 5% 3/20/2053  | 2153309 | 2164324 |
| Ginnie Mae I Pool 5% 4/15/2039  | 268837 | 274518 |
| Ginnie Mae I Pool 5% 4/15/2039  | 67760 | 69172 |
| Ginnie Mae I Pool 5% 4/15/2040  | 109314 | 111707 |
| Ginnie Mae I Pool 5% 4/20/2053  | 26465882 | 26593001 |
| Ginnie Mae I Pool 5% 5/15/2039  | 303356 | 309969 |
| Ginnie Mae I Pool 5% 5/15/2039  | 118751 | 121317 |
| Ginnie Mae I Pool 5% 5/15/2040  | 139215 | 142241 |
| Ginnie Mae I Pool 5% 5/15/2040  | 58920 | 60176 |
| Ginnie Mae I Pool 5% 5/20/2053  | 408892 | 410856 |
| Ginnie Mae I Pool 5% 6/15/2040  | 173831 | 177595 |
| Ginnie Mae I Pool 5% 6/20/2040  | 8853 | 9042 |
| Ginnie Mae I Pool 5% 6/20/2053  | 2845125 | 2858791 |
| Ginnie Mae I Pool 5% 7/15/2040  | 637234 | 651060 |
| Ginnie Mae I Pool 5% 7/15/2040  | 635135 | 649322 |
| Ginnie Mae I Pool 5% 7/15/2040  | 485528 | 496062 |
| Ginnie Mae I Pool 5% 7/15/2040  | 377837 | 386035 |
| Ginnie Mae I Pool 5% 7/15/2040  | 376129 | 384289 |
| Ginnie Mae I Pool 5% 7/15/2040  | 338808 | 346268 |
| Ginnie Mae I Pool 5% 7/15/2040  | 317674 | 324460 |
| Ginnie Mae I Pool 5% 7/15/2040  | 148970 | 152308 |
| Ginnie Mae I Pool 5% 7/15/2040  | 112783 | 115285 |
| Ginnie Mae I Pool 5% 7/20/2040  | 1450 | 1481 |
| Ginnie Mae I Pool 5% 7/20/2041  | 53187 | 54338 |
| Ginnie Mae I Pool 5% 7/20/2052  | 251597 | 253277 |
| Ginnie Mae I Pool 5% 8/15/2039  | 341656 | 348954 |
| Ginnie Mae I Pool 5% 8/15/2039  | 221336 | 226074 |
| Ginnie Mae I Pool 5% 8/15/2039  | 133852 | 136740 |
| Ginnie Mae I Pool 5% 8/15/2039  | 37754 | 38556 |
| Ginnie Mae I Pool 5% 8/20/2052  | 596861 | 600847 |
| Ginnie Mae I Pool 5% 9/15/2039  | 465850 | 475694 |
| Ginnie Mae I Pool 5% 9/15/2039  | 433570 | 442669 |
| Ginnie Mae I Pool 5% 9/15/2039  | 177102 | 180971 |
| Ginnie Mae I Pool 5% 9/15/2039  | 175416 | 179271 |
| Ginnie Mae I Pool 5% 9/15/2041  | 1898468 | 1939106 |
| Ginnie Mae I Pool 5% 9/20/2052  | 5868321 | 5907510 |
| Ginnie Mae I Pool 5.5% 1/15/2038  | 25975 | 26816 |
| Ginnie Mae I Pool 5.5% 1/20/2053  | 115967 | 117927 |
| Ginnie Mae I Pool 5.5% 10/15/2033  | 322 | 329 |
| Ginnie Mae I Pool 5.5% 10/15/2035  | 319989 | 329188 |
| Ginnie Mae I Pool 5.5% 10/15/2038  | 11090 | 11463 |
| Ginnie Mae I Pool 5.5% 10/20/2052  | 177687 | 180995 |
| Ginnie Mae I Pool 5.5% 11/15/2038  | 110990 | 114730 |
| Ginnie Mae I Pool 5.5% 11/15/2038  | 45412 | 46938 |
| Ginnie Mae I Pool 5.5% 11/15/2038  | 6178 | 6386 |
| Ginnie Mae I Pool 5.5% 12/15/2038  | 281791 | 290920 |
| Ginnie Mae I Pool 5.5% 12/20/2041  | 112770 | 117144 |
| Ginnie Mae I Pool 5.5% 12/20/2052  | 26045792 | 26496116 |
| Ginnie Mae I Pool 5.5% 2/15/2038  | 24683 | 25512 |
| Ginnie Mae I Pool 5.5% 2/15/2039  | 211743 | 219045 |
| Ginnie Mae I Pool 5.5% 2/15/2039  | 51665 | 53470 |
| Ginnie Mae I Pool 5.5% 3/15/2039  | 575172 | 594378 |
| Ginnie Mae I Pool 5.5% 3/15/2039  | 152714 | 157860 |
| Ginnie Mae I Pool 5.5% 3/15/2040  | 4827 | 4987 |
| Ginnie Mae I Pool 5.5% 4/15/2039  | 201104 | 208057 |
| Ginnie Mae I Pool 5.5% 4/15/2041  | 23248 | 24019 |
| Ginnie Mae I Pool 5.5% 4/20/2053  | 22310542 | 22659682 |
| Ginnie Mae I Pool 5.5% 5/15/2038  | 338 | 349 |
| Ginnie Mae I Pool 5.5% 5/15/2039  | 275084 | 284570 |
| Ginnie Mae I Pool 5.5% 5/15/2039  | 114310 | 118304 |
| Ginnie Mae I Pool 5.5% 5/20/2045  | 298141 | 309397 |
| Ginnie Mae I Pool 5.5% 5/20/2053  | 3905262 | 3966376 |
| Ginnie Mae I Pool 5.5% 6/15/2038  | 36286 | 37505 |
| Ginnie Mae I Pool 5.5% 6/15/2038  | 5547 | 5735 |
| Ginnie Mae I Pool 5.5% 6/20/2053  | 21484692 | 21836014 |
| Ginnie Mae I Pool 5.5% 8/15/2038  | 734 | 758 |
| Ginnie Mae I Pool 5.5% 8/15/2039  | 97389 | 100783 |
| Ginnie Mae I Pool 5.5% 9/15/2034  | 9207 | 9449 |
| Ginnie Mae I Pool 5.5% 9/15/2038  | 16725 | 17278 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 430075 | 445101 |
| Ginnie Mae I Pool 5.5% 9/20/2052  | 8928064 | 9094285 |
| Ginnie Mae I Pool 5.5% 9/20/2053  | 13695926 | 13924164 |
| Ginnie Mae I Pool 6% 1/15/2038  | 59974 | 62732 |
| Ginnie Mae I Pool 6% 1/15/2038  | 14026 | 14703 |
| Ginnie Mae I Pool 6% 10/15/2039  | 26227 | 27603 |
| Ginnie Mae I Pool 6% 11/15/2034  | 218804 | 227591 |
| Ginnie Mae I Pool 6% 11/15/2039  | 75002 | 79008 |
| Ginnie Mae I Pool 6% 11/15/2039  | 70140 | 73621 |
| Ginnie Mae I Pool 6% 11/15/2039  | 44640 | 47013 |
| Ginnie Mae I Pool 6% 11/15/2039  | 28486 | 29965 |
| Ginnie Mae I Pool 6% 11/15/2039  | 18077 | 18968 |
| Ginnie Mae I Pool 6% 11/15/2039  | 15375 | 16075 |
| Ginnie Mae I Pool 6% 11/15/2039  | 11459 | 12033 |
| Ginnie Mae I Pool 6% 11/15/2039  | 7259 | 7626 |
| Ginnie Mae I Pool 6% 11/15/2039  | 6932 | 7293 |
| Ginnie Mae I Pool 6% 11/20/2052  | 9976115 | 10255897 |
| Ginnie Mae I Pool 6% 12/15/2040  | 64955 | 68145 |
| Ginnie Mae I Pool 6% 12/20/2052  | 18694622 | 19207232 |
| Ginnie Mae I Pool 6% 6/15/2036  | 444831 | 465213 |
| Ginnie Mae I Pool 6% 8/15/2037  | 14581 | 15302 |
| Ginnie Mae I Pool 6.5% 1/15/2039  | 188751 | 199871 |
| Ginnie Mae I Pool 6.5% 1/15/2039  | 8375 | 8886 |
| Ginnie Mae I Pool 6.5% 10/15/2038  | 502 | 533 |
| Ginnie Mae I Pool 6.5% 11/15/2038  | 8043 | 8515 |
| Ginnie Mae I Pool 6.5% 2/15/2038  | 42130 | 44897 |
| Ginnie Mae I Pool 6.5% 6/20/2053  | 1201526 | 1241779 |
| Ginnie Mae I Pool 6.5% 9/20/2054  | 686628 | 707968 |
| Ginnie Mae II Pool 1.5% 10/20/2043  | 293287 | 245137 |
| Ginnie Mae II Pool 1.5% 12/20/2050  | 407935 | 326057 |
| Ginnie Mae II Pool 1.5% 12/20/2051  | 1286341 | 1027352 |
| Ginnie Mae II Pool 1.5% 2/20/2051  | 336672 | 268888 |
| Ginnie Mae II Pool 1.5% 3/20/2051  | 598311 | 477849 |
| Ginnie Mae II Pool 1.5% 3/20/2052  | 317269 | 253391 |
| Ginnie Mae II Pool 1.5% 4/20/2044  | 23173 | 19079 |
| Ginnie Mae II Pool 1.5% 4/20/2051  | 1807932 | 1443928 |
| Ginnie Mae II Pool 1.5% 5/20/2051  | 3449312 | 2754837 |
| Ginnie Mae II Pool 1.5% 7/20/2051  | 211195 | 168674 |
| Ginnie Mae II Pool 1.5% 8/20/2051  | 346594 | 276811 |
| Ginnie Mae II Pool 1.5% 9/20/2051  | 235552 | 188127 |
| Ginnie Mae II Pool 2% 1/20/2051  | 28505329 | 23772620 |
| Ginnie Mae II Pool 2% 1/20/2052  | 5434217 | 4531980 |
| Ginnie Mae II Pool 2% 10/20/2050  | 409579 | 341756 |
| Ginnie Mae II Pool 2% 11/20/2051  | 85559378 | 71327311 |
| Ginnie Mae II Pool 2% 12/20/2050  | 37170015 | 30995815 |
| Ginnie Mae II Pool 2% 12/20/2051  | 12933833 | 10786443 |
| Ginnie Mae II Pool 2% 2/20/2051  | 51601971 | 43020444 |
| Ginnie Mae II Pool 2% 4/20/2051  | 189861713 | 158279850 |
| Ginnie Mae II Pool 2% 4/20/2052  | 12932222 | 10785100 |
| Ginnie Mae II Pool 2% 6/20/2051  | 46009118 | 38355897 |
| Ginnie Mae II Pool 2% 7/20/2051  | 178889650 | 149132895 |
| Ginnie Mae II Pool 2% 9/20/2050  | 4592216 | 3836951 |
| Ginnie Mae II Pool 2% 9/20/2051  | 13422977 | 11190180 |
| Ginnie Mae II Pool 2.5% 1/20/2045  | 67294 | 60137 |
| Ginnie Mae II Pool 2.5% 1/20/2046  | 31824 | 28263 |
| Ginnie Mae II Pool 2.5% 1/20/2047  | 899058 | 794705 |
| Ginnie Mae II Pool 2.5% 1/20/2048  | 46324 | 40764 |
| Ginnie Mae II Pool 2.5% 1/20/2051  | 17687854 | 15365935 |
| Ginnie Mae II Pool 2.5% 1/20/2052  | 15463924 | 13431529 |
| Ginnie Mae II Pool 2.5% 10/20/2042  | 72806 | 65837 |
| Ginnie Mae II Pool 2.5% 10/20/2043  | 172955 | 155930 |
| Ginnie Mae II Pool 2.5% 10/20/2050  | 42785322 | 37208923 |
| Ginnie Mae II Pool 2.5% 10/20/2051  | 7833755 | 6802955 |
| Ginnie Mae II Pool 2.5% 11/20/2045  | 16301 | 14523 |
| Ginnie Mae II Pool 2.5% 11/20/2046  | 523904 | 463606 |
| Ginnie Mae II Pool 2.5% 11/20/2050  | 1394559 | 1212800 |
| Ginnie Mae II Pool 2.5% 11/20/2051  | 22544948 | 19578384 |
| Ginnie Mae II Pool 2.5% 12/20/2042  | 30510 | 27611 |
| Ginnie Mae II Pool 2.5% 12/20/2043  | 42170 | 37961 |
| Ginnie Mae II Pool 2.5% 12/20/2045  | 40064 | 35545 |
| Ginnie Mae II Pool 2.5% 12/20/2046  | 378787 | 334965 |
| Ginnie Mae II Pool 2.5% 12/20/2047  | 234282 | 206163 |
| Ginnie Mae II Pool 2.5% 12/20/2049  | 180895 | 158336 |
| Ginnie Mae II Pool 2.5% 12/20/2050  | 23953653 | 20805470 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 15047669 | 13069983 |
| Ginnie Mae II Pool 2.5% 2/20/2044  | 63701 | 57026 |
| Ginnie Mae II Pool 2.5% 2/20/2047  | 420904 | 372016 |
| Ginnie Mae II Pool 2.5% 2/20/2050  | 15926399 | 13860596 |
| Ginnie Mae II Pool 2.5% 2/20/2051  | 3288446 | 2856766 |
| Ginnie Mae II Pool 2.5% 2/20/2052  | 8417069 | 7311487 |
| Ginnie Mae II Pool 2.5% 2/20/2055  | 90205 | 78300 |
| Ginnie Mae II Pool 2.5% 3/20/2044  | 51003 | 45948 |
| Ginnie Mae II Pool 2.5% 3/20/2045  | 46665 | 41609 |
| Ginnie Mae II Pool 2.5% 3/20/2046  | 86636 | 77415 |
| Ginnie Mae II Pool 2.5% 3/20/2047  | 50495 | 44660 |
| Ginnie Mae II Pool 2.5% 3/20/2050  | 13437570 | 11694591 |
| Ginnie Mae II Pool 2.5% 3/20/2051  | 5718512 | 4967832 |
| Ginnie Mae II Pool 2.5% 3/20/2052  | 16692516 | 14499954 |
| Ginnie Mae II Pool 2.5% 4/20/2043  | 62461 | 56369 |
| Ginnie Mae II Pool 2.5% 4/20/2045  | 133575 | 119031 |
| Ginnie Mae II Pool 2.5% 4/20/2046  | 104590 | 92796 |
| Ginnie Mae II Pool 2.5% 4/20/2048  | 130583 | 114911 |
| Ginnie Mae II Pool 2.5% 4/20/2050  | 10827458 | 9423035 |
| Ginnie Mae II Pool 2.5% 4/20/2052  | 634001 | 550824 |
| Ginnie Mae II Pool 2.5% 5/20/2043  | 52152 | 47023 |
| Ginnie Mae II Pool 2.5% 5/20/2046  | 37171 | 32974 |
| Ginnie Mae II Pool 2.5% 5/20/2050  | 57917179 | 50404777 |
| Ginnie Mae II Pool 2.5% 5/20/2051  | 86416972 | 75045847 |
| Ginnie Mae II Pool 2.5% 5/20/2052  | 7711835 | 6700090 |
| Ginnie Mae II Pool 2.5% 6/20/2046  | 127135 | 112826 |
| Ginnie Mae II Pool 2.5% 6/20/2049  | 122473 | 108487 |
| Ginnie Mae II Pool 2.5% 6/20/2050  | 6839032 | 5951945 |
| Ginnie Mae II Pool 2.5% 6/20/2051  | 78441090 | 68119466 |
| Ginnie Mae II Pool 2.5% 7/20/2043  | 645399 | 580850 |
| Ginnie Mae II Pool 2.5% 7/20/2046  | 256760 | 228063 |
| Ginnie Mae II Pool 2.5% 7/20/2050  | 20670790 | 17976675 |
| Ginnie Mae II Pool 2.5% 7/20/2051  | 101009654 | 87718360 |
| Ginnie Mae II Pool 2.5% 8/20/2050  | 10941692 | 9511054 |
| Ginnie Mae II Pool 2.5% 8/20/2051  | 25694115 | 22313170 |
| Ginnie Mae II Pool 2.5% 9/20/2043  | 134462 | 121027 |
| Ginnie Mae II Pool 2.5% 9/20/2046  | 386022 | 341602 |
| Ginnie Mae II Pool 2.5% 9/20/2049  | 3713680 | 3250549 |
| Ginnie Mae II Pool 2.5% 9/20/2050  | 47618742 | 41412381 |
| Ginnie Mae II Pool 2.5% 9/20/2051  | 11602607 | 10075885 |
| Ginnie Mae II Pool 3% 1/20/2043  | 82598 | 76850 |
| Ginnie Mae II Pool 3% 1/20/2044  | 399641 | 371000 |
| Ginnie Mae II Pool 3% 1/20/2045  | 677921 | 625361 |
| Ginnie Mae II Pool 3% 1/20/2047  | 5527173 | 5059919 |
| Ginnie Mae II Pool 3% 1/20/2048  | 3345483 | 3056391 |
| Ginnie Mae II Pool 3% 1/20/2050  | 38244846 | 34641217 |
| Ginnie Mae II Pool 3% 1/20/2051  | 443255 | 400935 |
| Ginnie Mae II Pool 3% 10/20/2042  | 4005 | 3728 |
| Ginnie Mae II Pool 3% 10/20/2043  | 91363 | 84785 |
| Ginnie Mae II Pool 3% 10/20/2045  | 626693 | 576618 |
| Ginnie Mae II Pool 3% 10/20/2046  | 2053274 | 1879695 |
| Ginnie Mae II Pool 3% 10/20/2047  | 2426510 | 2216828 |
| Ginnie Mae II Pool 3% 10/20/2049  | 3850723 | 3491498 |
| Ginnie Mae II Pool 3% 10/20/2050  | 56868 | 51438 |
| Ginnie Mae II Pool 3% 11/20/2045  | 55333 | 50898 |
| Ginnie Mae II Pool 3% 11/20/2046  | 19041084 | 17431395 |
| Ginnie Mae II Pool 3% 11/20/2047  | 1762557 | 1610250 |
| Ginnie Mae II Pool 3% 11/20/2048  | 89315 | 81765 |
| Ginnie Mae II Pool 3% 11/20/2054  | 71535 | 64711 |
| Ginnie Mae II Pool 3% 12/20/2044  | 213573 | 197124 |
| Ginnie Mae II Pool 3% 12/20/2045  | 3739224 | 3437789 |
| Ginnie Mae II Pool 3% 12/20/2046  | 976970 | 894379 |
| Ginnie Mae II Pool 3% 12/20/2047  | 6874614 | 6280560 |
| Ginnie Mae II Pool 3% 12/20/2049  | 9794703 | 8871795 |
| Ginnie Mae II Pool 3% 12/20/2054  | 297977 | 269551 |
| Ginnie Mae II Pool 3% 2/20/2044  | 607166 | 563121 |
| Ginnie Mae II Pool 3% 2/20/2045  | 4986043 | 4599516 |
| Ginnie Mae II Pool 3% 2/20/2046  | 22023005 | 20174995 |
| Ginnie Mae II Pool 3% 2/20/2047  | 5011169 | 4587537 |
| Ginnie Mae II Pool 3% 2/20/2048  | 733803 | 669476 |
| Ginnie Mae II Pool 3% 2/20/2049  | 106748 | 97723 |
| Ginnie Mae II Pool 3% 2/20/2050  | 13882886 | 12566091 |
| Ginnie Mae II Pool 3% 2/20/2051  | 25031282 | 22625770 |
| Ginnie Mae II Pool 3% 3/20/2043  | 412930 | 383959 |
| Ginnie Mae II Pool 3% 3/20/2045  | 74831 | 68995 |
| Ginnie Mae II Pool 3% 3/20/2046  | 66268 | 60707 |
| Ginnie Mae II Pool 3% 3/20/2047  | 257466 | 235701 |
| Ginnie Mae II Pool 3% 3/20/2048  | 812749 | 741501 |
| Ginnie Mae II Pool 3% 3/20/2050  | 16435442 | 14876537 |
| Ginnie Mae II Pool 3% 3/20/2051  | 4328926 | 3912916 |
| Ginnie Mae II Pool 3% 3/20/2052  | 131207 | 118454 |
| Ginnie Mae II Pool 3% 4/20/2043  | 2435895 | 2264227 |
| Ginnie Mae II Pool 3% 4/20/2046  | 17229 | 15783 |
| Ginnie Mae II Pool 3% 4/20/2047  | 1440829 | 1319025 |
| Ginnie Mae II Pool 3% 4/20/2048  | 677877 | 619300 |
| Ginnie Mae II Pool 3% 4/20/2049  | 905044 | 826837 |
| Ginnie Mae II Pool 3% 4/20/2050  | 7749789 | 7014720 |
| Ginnie Mae II Pool 3% 4/20/2051  | 6552748 | 5923028 |
| Ginnie Mae II Pool 3% 4/20/2052  | 15441157 | 13940369 |
| Ginnie Mae II Pool 3% 5/20/2045  | 2108716 | 1942601 |
| Ginnie Mae II Pool 3% 5/20/2046  | 48774 | 44681 |
| Ginnie Mae II Pool 3% 5/20/2047  | 803633 | 735696 |
| Ginnie Mae II Pool 3% 5/20/2048  | 101965 | 93154 |
| Ginnie Mae II Pool 3% 5/20/2050  | 1822805 | 1649912 |
| Ginnie Mae II Pool 3% 5/20/2051  | 8056366 | 7274091 |
| Ginnie Mae II Pool 3% 5/20/2052  | 64599379 | 58320707 |
| Ginnie Mae II Pool 3% 6/20/2045  | 3003087 | 2765772 |
| Ginnie Mae II Pool 3% 6/20/2046  | 2282073 | 2090578 |
| Ginnie Mae II Pool 3% 6/20/2050  | 20254966 | 18333779 |
| Ginnie Mae II Pool 3% 6/20/2051  | 20875605 | 18849884 |
| Ginnie Mae II Pool 3% 6/20/2052  | 28111047 | 25396391 |
| Ginnie Mae II Pool 3% 7/20/2042  | 1384378 | 1289521 |
| Ginnie Mae II Pool 3% 7/20/2043  | 24252 | 22516 |
| Ginnie Mae II Pool 3% 7/20/2044  | 494529 | 457505 |
| Ginnie Mae II Pool 3% 7/20/2045  | 2846834 | 2621145 |
| Ginnie Mae II Pool 3% 7/20/2046  | 9864272 | 9036534 |
| Ginnie Mae II Pool 3% 7/20/2047  | 43440 | 39713 |
| Ginnie Mae II Pool 3% 7/20/2049  | 8337937 | 7570533 |
| Ginnie Mae II Pool 3% 7/20/2050  | 5084431 | 4593274 |
| Ginnie Mae II Pool 3% 7/20/2051  | 358708 | 324012 |
| Ginnie Mae II Pool 3% 8/20/2042  | 16706652 | 15558411 |
| Ginnie Mae II Pool 3% 8/20/2043  | 147229 | 136647 |
| Ginnie Mae II Pool 3% 8/20/2044  | 290597 | 269307 |
| Ginnie Mae II Pool 3% 8/20/2045  | 647237 | 595723 |
| Ginnie Mae II Pool 3% 8/20/2046  | 24112085 | 22088775 |
| Ginnie Mae II Pool 3% 8/20/2047  | 753632 | 688508 |
| Ginnie Mae II Pool 3% 8/20/2049  | 164083 | 148982 |
| Ginnie Mae II Pool 3% 8/20/2050  | 677964 | 613235 |
| Ginnie Mae II Pool 3% 8/20/2051  | 328731 | 296935 |
| Ginnie Mae II Pool 3% 9/20/2043  | 2897875 | 2688484 |
| Ginnie Mae II Pool 3% 9/20/2045  | 91071 | 83820 |
| Ginnie Mae II Pool 3% 9/20/2046  | 5940057 | 5441611 |
| Ginnie Mae II Pool 3% 9/20/2047  | 4958878 | 4530368 |
| Ginnie Mae II Pool 3% 9/20/2048  | 27998 | 25579 |
| Ginnie Mae II Pool 3% 9/20/2049  | 4317831 | 3915030 |
| Ginnie Mae II Pool 3.5% 1/20/2043  | 11997 | 11423 |
| Ginnie Mae II Pool 3.5% 1/20/2045  | 2740204 | 2593122 |
| Ginnie Mae II Pool 3.5% 1/20/2046  | 3180524 | 2993203 |
| Ginnie Mae II Pool 3.5% 1/20/2048  | 6428582 | 6021836 |
| Ginnie Mae II Pool 3.5% 1/20/2050  | 22798203 | 21241738 |
| Ginnie Mae II Pool 3.5% 1/20/2051  | 172724 | 160770 |
| Ginnie Mae II Pool 3.5% 10/20/2045  | 2782447 | 2627902 |
| Ginnie Mae II Pool 3.5% 10/20/2046  | 1288694 | 1211184 |
| Ginnie Mae II Pool 3.5% 10/20/2047  | 1788321 | 1677407 |
| Ginnie Mae II Pool 3.5% 10/20/2048  | 2217487 | 2069561 |
| Ginnie Mae II Pool 3.5% 10/20/2055  | 26256935 | 24086893 |
| Ginnie Mae II Pool 3.5% 11/20/2042  | 6535725 | 6222995 |
| Ginnie Mae II Pool 3.5% 11/20/2045  | 2179730 | 2058293 |
| Ginnie Mae II Pool 3.5% 11/20/2046  | 94815 | 89112 |
| Ginnie Mae II Pool 3.5% 11/20/2047  | 5764424 | 5403304 |
| Ginnie Mae II Pool 3.5% 11/20/2050  | 204790 | 190809 |
| Ginnie Mae II Pool 3.5% 12/1/2055 (g) | 2400000 | 2201250 |
| Ginnie Mae II Pool 3.5% 12/20/2041  | 2215179 | 2114644 |
| Ginnie Mae II Pool 3.5% 12/20/2042  | 3241239 | 3086118 |
| Ginnie Mae II Pool 3.5% 12/20/2043  | 261500 | 248260 |
| Ginnie Mae II Pool 3.5% 12/20/2044  | 32608 | 30864 |
| Ginnie Mae II Pool 3.5% 12/20/2045  | 814782 | 769245 |
| Ginnie Mae II Pool 3.5% 12/20/2047  | 1200081 | 1124900 |
| Ginnie Mae II Pool 3.5% 12/20/2048  | 93174 | 87162 |
| Ginnie Mae II Pool 3.5% 12/20/2049  | 9443671 | 8798938 |
| Ginnie Mae II Pool 3.5% 12/20/2050  | 292653 | 272399 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 4090346 | 3892867 |
| Ginnie Mae II Pool 3.5% 2/20/2044  | 252492 | 239603 |
| Ginnie Mae II Pool 3.5% 2/20/2045  | 1773712 | 1678524 |
| Ginnie Mae II Pool 3.5% 2/20/2046  | 14732715 | 13865012 |
| Ginnie Mae II Pool 3.5% 2/20/2047  | 339333 | 318923 |
| Ginnie Mae II Pool 3.5% 2/20/2048  | 1011614 | 947608 |
| Ginnie Mae II Pool 3.5% 2/20/2049  | 755431 | 706689 |
| Ginnie Mae II Pool 3.5% 2/20/2050  | 106852 | 99557 |
| Ginnie Mae II Pool 3.5% 2/20/2051  | 6465895 | 6024459 |
| Ginnie Mae II Pool 3.5% 3/20/2043  | 3370470 | 3207097 |
| Ginnie Mae II Pool 3.5% 3/20/2046  | 3906320 | 3676252 |
| Ginnie Mae II Pool 3.5% 3/20/2048  | 563904 | 528225 |
| Ginnie Mae II Pool 3.5% 3/20/2049  | 20629046 | 19240011 |
| Ginnie Mae II Pool 3.5% 3/20/2050  | 10749604 | 10015713 |
| Ginnie Mae II Pool 3.5% 3/20/2051  | 522405 | 486739 |
| Ginnie Mae II Pool 3.5% 4/20/2042  | 2161835 | 2061972 |
| Ginnie Mae II Pool 3.5% 4/20/2043  | 6226366 | 5923362 |
| Ginnie Mae II Pool 3.5% 4/20/2045  | 1883031 | 1780901 |
| Ginnie Mae II Pool 3.5% 4/20/2046  | 12801275 | 12047326 |
| Ginnie Mae II Pool 3.5% 4/20/2047  | 294090 | 276126 |
| Ginnie Mae II Pool 3.5% 4/20/2049  | 4149334 | 3869943 |
| Ginnie Mae II Pool 3.5% 4/20/2050  | 1134585 | 1057126 |
| Ginnie Mae II Pool 3.5% 5/20/2042  | 6316354 | 6023280 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 5217007 | 4940487 |
| Ginnie Mae II Pool 3.5% 5/20/2045  | 449565 | 425016 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 2811089 | 2645526 |
| Ginnie Mae II Pool 3.5% 5/20/2047  | 23021115 | 21614896 |
| Ginnie Mae II Pool 3.5% 5/20/2048  | 3751453 | 3514093 |
| Ginnie Mae II Pool 3.5% 5/20/2050  | 751084 | 699807 |
| Ginnie Mae II Pool 3.5% 5/20/2051  | 4976308 | 4621018 |
| Ginnie Mae II Pool 3.5% 6/20/2043  | 255260 | 242733 |
| Ginnie Mae II Pool 3.5% 6/20/2045  | 2473476 | 2338422 |
| Ginnie Mae II Pool 3.5% 6/20/2046  | 7199247 | 6775238 |
| Ginnie Mae II Pool 3.5% 6/20/2047  | 1774538 | 1666142 |
| Ginnie Mae II Pool 3.5% 6/20/2048  | 1380500 | 1293154 |
| Ginnie Mae II Pool 3.5% 6/20/2049  | 103598 | 96557 |
| Ginnie Mae II Pool 3.5% 6/20/2051  | 440800 | 409329 |
| Ginnie Mae II Pool 3.5% 6/20/2052  | 37991316 | 35284811 |
| Ginnie Mae II Pool 3.5% 6/20/2055  | 5860837 | 5376460 |
| Ginnie Mae II Pool 3.5% 7/20/2042  | 2315395 | 2206530 |
| Ginnie Mae II Pool 3.5% 7/20/2043  | 1473527 | 1401468 |
| Ginnie Mae II Pool 3.5% 7/20/2045  | 6219076 | 5877275 |
| Ginnie Mae II Pool 3.5% 7/20/2046  | 4609858 | 4338354 |
| Ginnie Mae II Pool 3.5% 7/20/2047  | 5034588 | 4727056 |
| Ginnie Mae II Pool 3.5% 8/20/2042  | 798565 | 760855 |
| Ginnie Mae II Pool 3.5% 8/20/2043  | 316322 | 300659 |
| Ginnie Mae II Pool 3.5% 8/20/2045  | 3860778 | 3647825 |
| Ginnie Mae II Pool 3.5% 8/20/2046  | 2537794 | 2388327 |
| Ginnie Mae II Pool 3.5% 8/20/2047  | 8255237 | 7743236 |
| Ginnie Mae II Pool 3.5% 8/20/2048  | 3938159 | 3688986 |
| Ginnie Mae II Pool 3.5% 8/20/2049  | 593649 | 553306 |
| Ginnie Mae II Pool 3.5% 8/20/2050  | 216459 | 201478 |
| Ginnie Mae II Pool 3.5% 9/20/2043  | 7258564 | 6895792 |
| Ginnie Mae II Pool 3.5% 9/20/2045  | 216673 | 204716 |
| Ginnie Mae II Pool 3.5% 9/20/2046  | 1751106 | 1647972 |
| Ginnie Mae II Pool 3.5% 9/20/2047  | 637854 | 598294 |
| Ginnie Mae II Pool 3.5% 9/20/2048  | 591376 | 553959 |
| Ginnie Mae II Pool 4% 1/20/2041  | 2111820 | 2068293 |
| Ginnie Mae II Pool 4% 1/20/2043  | 2838 | 2773 |
| Ginnie Mae II Pool 4% 1/20/2046  | 832632 | 808596 |
| Ginnie Mae II Pool 4% 1/20/2047  | 5717636 | 5551738 |
| Ginnie Mae II Pool 4% 1/20/2048  | 1161088 | 1124496 |
| Ginnie Mae II Pool 4% 1/20/2050  | 2782996 | 2685723 |
| Ginnie Mae II Pool 4% 1/20/2051  | 1287054 | 1238448 |
| Ginnie Mae II Pool 4% 10/20/2040  | 1252386 | 1226784 |
| Ginnie Mae II Pool 4% 10/20/2044  | 695663 | 677064 |
| Ginnie Mae II Pool 4% 10/20/2045  | 1913431 | 1858835 |
| Ginnie Mae II Pool 4% 10/20/2047  | 377214 | 365326 |
| Ginnie Mae II Pool 4% 10/20/2048  | 7236795 | 6992897 |
| Ginnie Mae II Pool 4% 10/20/2049  | 8324018 | 8017464 |
| Ginnie Mae II Pool 4% 11/20/2039  | 82968 | 81346 |
| Ginnie Mae II Pool 4% 11/20/2040  | 1679399 | 1644751 |
| Ginnie Mae II Pool 4% 11/20/2044  | 1462307 | 1423037 |
| Ginnie Mae II Pool 4% 11/20/2045  | 809651 | 786461 |
| Ginnie Mae II Pool 4% 11/20/2047  | 799970 | 774759 |
| Ginnie Mae II Pool 4% 11/20/2049  | 745112 | 717671 |
| Ginnie Mae II Pool 4% 12/20/2041  | 490633 | 479849 |
| Ginnie Mae II Pool 4% 12/20/2044  | 42596 | 41452 |
| Ginnie Mae II Pool 4% 12/20/2045  | 1599872 | 1554235 |
| Ginnie Mae II Pool 4% 12/20/2047  | 3403392 | 3296134 |
| Ginnie Mae II Pool 4% 12/20/2050  | 768163 | 739873 |
| Ginnie Mae II Pool 4% 2/20/2041  | 229835 | 225073 |
| Ginnie Mae II Pool 4% 2/20/2043  | 2694 | 2632 |
| Ginnie Mae II Pool 4% 2/20/2044  | 72360 | 70496 |
| Ginnie Mae II Pool 4% 2/20/2046  | 1555802 | 1511230 |
| Ginnie Mae II Pool 4% 2/20/2048  | 100386 | 97222 |
| Ginnie Mae II Pool 4% 2/20/2050  | 2812814 | 2714498 |
| Ginnie Mae II Pool 4% 2/20/2055  | 19252685 | 18274418 |
| Ginnie Mae II Pool 4% 3/20/2045  | 5010222 | 4876252 |
| Ginnie Mae II Pool 4% 3/20/2046  | 1440741 | 1399618 |
| Ginnie Mae II Pool 4% 3/20/2048  | 54391 | 52609 |
| Ginnie Mae II Pool 4% 3/20/2050  | 8027023 | 7731407 |
| Ginnie Mae II Pool 4% 3/20/2051  | 112611 | 108463 |
| Ginnie Mae II Pool 4% 4/20/2044  | 21961 | 21393 |
| Ginnie Mae II Pool 4% 4/20/2045  | 3799094 | 3696569 |
| Ginnie Mae II Pool 4% 4/20/2046  | 2096213 | 2038666 |
| Ginnie Mae II Pool 4% 4/20/2047  | 6182403 | 5995292 |
| Ginnie Mae II Pool 4% 4/20/2048  | 2738601 | 2648870 |
| Ginnie Mae II Pool 4% 4/20/2049  | 288085 | 278015 |
| Ginnie Mae II Pool 4% 4/20/2050  | 196618 | 189377 |
| Ginnie Mae II Pool 4% 5/20/2044  | 10122 | 9860 |
| Ginnie Mae II Pool 4% 5/20/2047  | 5802038 | 5626438 |
| Ginnie Mae II Pool 4% 5/20/2048  | 3843065 | 3717147 |
| Ginnie Mae II Pool 4% 5/20/2049  | 1627319 | 1567388 |
| Ginnie Mae II Pool 4% 5/20/2050  | 2075382 | 1998951 |
| Ginnie Mae II Pool 4% 6/20/2045  | 53488 | 52006 |
| Ginnie Mae II Pool 4% 6/20/2047  | 329582 | 319607 |
| Ginnie Mae II Pool 4% 6/20/2048  | 4839305 | 4680744 |
| Ginnie Mae II Pool 4% 6/20/2049  | 295265 | 284391 |
| Ginnie Mae II Pool 4% 6/20/2052  | 13195843 | 12665541 |
| Ginnie Mae II Pool 4% 6/20/2055  | 5980610 | 5674854 |
| Ginnie Mae II Pool 4% 7/20/2042  | 7628 | 7454 |
| Ginnie Mae II Pool 4% 7/20/2043  | 875607 | 855428 |
| Ginnie Mae II Pool 4% 7/20/2044  | 39550 | 38512 |
| Ginnie Mae II Pool 4% 7/20/2045  | 2616532 | 2543133 |
| Ginnie Mae II Pool 4% 7/20/2046  | 2424 | 2356 |
| Ginnie Mae II Pool 4% 7/20/2047  | 6523238 | 6325811 |
| Ginnie Mae II Pool 4% 7/20/2048  | 2701979 | 2610916 |
| Ginnie Mae II Pool 4% 7/20/2050  | 55560 | 53618 |
| Ginnie Mae II Pool 4% 8/20/2040  | 94664 | 92745 |
| Ginnie Mae II Pool 4% 8/20/2041  | 1645029 | 1609611 |
| Ginnie Mae II Pool 4% 8/20/2044  | 94377 | 91888 |
| Ginnie Mae II Pool 4% 8/20/2045  | 384087 | 373225 |
| Ginnie Mae II Pool 4% 8/20/2047  | 181634 | 176137 |
| Ginnie Mae II Pool 4% 9/20/2039  | 2796 | 2742 |
| Ginnie Mae II Pool 4% 9/20/2040  | 109701 | 107455 |
| Ginnie Mae II Pool 4% 9/20/2041  | 5275555 | 5161351 |
| Ginnie Mae II Pool 4% 9/20/2044  | 615582 | 599274 |
| Ginnie Mae II Pool 4% 9/20/2045  | 929837 | 903424 |
| Ginnie Mae II Pool 4% 9/20/2046  | 375627 | 365315 |
| Ginnie Mae II Pool 4% 9/20/2048  | 1761667 | 1702294 |
| Ginnie Mae II Pool 4% 9/20/2049  | 5377421 | 5179383 |
| Ginnie Mae II Pool 4.5% 1/20/2035  | 2242 | 2250 |
| Ginnie Mae II Pool 4.5% 1/20/2041  | 294839 | 295755 |
| Ginnie Mae II Pool 4.5% 1/20/2042  | 57316 | 57488 |
| Ginnie Mae II Pool 4.5% 1/20/2045  | 144103 | 144339 |
| Ginnie Mae II Pool 4.5% 1/20/2046  | 380951 | 382090 |
| Ginnie Mae II Pool 4.5% 1/20/2047  | 1598538 | 1603319 |
| Ginnie Mae II Pool 4.5% 1/20/2050  | 571865 | 570001 |
| Ginnie Mae II Pool 4.5% 1/20/2051  | 92495 | 92454 |
| Ginnie Mae II Pool 4.5% 1/20/2055  | 36930821 | 36149727 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 26062 | 26144 |
| Ginnie Mae II Pool 4.5% 10/20/2044  | 7580 | 7592 |
| Ginnie Mae II Pool 4.5% 10/20/2046  | 26603 | 26668 |
| Ginnie Mae II Pool 4.5% 10/20/2047  | 1179039 | 1179985 |
| Ginnie Mae II Pool 4.5% 10/20/2048  | 2162483 | 2158138 |
| Ginnie Mae II Pool 4.5% 10/20/2049  | 1045856 | 1044734 |
| Ginnie Mae II Pool 4.5% 11/20/2033  | 17780 | 17839 |
| Ginnie Mae II Pool 4.5% 11/20/2039  | 3545 | 3557 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 939530 | 942481 |
| Ginnie Mae II Pool 4.5% 11/20/2044  | 145839 | 146071 |
| Ginnie Mae II Pool 4.5% 11/20/2046  | 51245 | 51336 |
| Ginnie Mae II Pool 4.5% 11/20/2048  | 1909969 | 1906131 |
| Ginnie Mae II Pool 4.5% 11/20/2054  | 55568674 | 54449821 |
| Ginnie Mae II Pool 4.5% 12/20/2034  | 335 | 335 |
| Ginnie Mae II Pool 4.5% 12/20/2040  | 21973 | 22041 |
| Ginnie Mae II Pool 4.5% 12/20/2049  | 49268 | 49107 |
| Ginnie Mae II Pool 4.5% 12/20/2050  | 698409 | 696133 |
| Ginnie Mae II Pool 4.5% 12/20/2054  | 99131 | 97073 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 382836 | 384018 |
| Ginnie Mae II Pool 4.5% 2/20/2046  | 894291 | 896965 |
| Ginnie Mae II Pool 4.5% 2/20/2050  | 1178828 | 1174986 |
| Ginnie Mae II Pool 4.5% 2/20/2055  | 12086484 | 11830853 |
| Ginnie Mae II Pool 4.5% 3/20/2033  | 3314 | 3324 |
| Ginnie Mae II Pool 4.5% 3/20/2034  | 20870 | 20943 |
| Ginnie Mae II Pool 4.5% 3/20/2041  | 871826 | 874518 |
| Ginnie Mae II Pool 4.5% 3/20/2045  | 402415 | 403381 |
| Ginnie Mae II Pool 4.5% 3/20/2046  | 77879 | 78012 |
| Ginnie Mae II Pool 4.5% 3/20/2047  | 2038414 | 2042599 |
| Ginnie Mae II Pool 4.5% 3/20/2050  | 1657792 | 1650316 |
| Ginnie Mae II Pool 4.5% 3/20/2055  | 221169 | 216422 |
| Ginnie Mae II Pool 4.5% 4/20/2041  | 83270 | 83525 |
| Ginnie Mae II Pool 4.5% 4/20/2045  | 495255 | 496465 |
| Ginnie Mae II Pool 4.5% 4/20/2046  | 185805 | 186064 |
| Ginnie Mae II Pool 4.5% 4/20/2047  | 937002 | 938926 |
| Ginnie Mae II Pool 4.5% 4/20/2050  | 1157443 | 1152223 |
| Ginnie Mae II Pool 4.5% 5/20/2034  | 24750 | 24830 |
| Ginnie Mae II Pool 4.5% 5/20/2040  | 404507 | 405816 |
| Ginnie Mae II Pool 4.5% 5/20/2041  | 8263044 | 8288393 |
| Ginnie Mae II Pool 4.5% 5/20/2044  | 76450 | 76638 |
| Ginnie Mae II Pool 4.5% 5/20/2045  | 265823 | 266221 |
| Ginnie Mae II Pool 4.5% 5/20/2046  | 134158 | 134381 |
| Ginnie Mae II Pool 4.5% 5/20/2049  | 2001253 | 1994730 |
| Ginnie Mae II Pool 4.5% 5/20/2051  | 2331785 | 2324185 |
| Ginnie Mae II Pool 4.5% 6/20/2033  | 646 | 647 |
| Ginnie Mae II Pool 4.5% 6/20/2035  | 3150 | 3162 |
| Ginnie Mae II Pool 4.5% 6/20/2040  | 6380 | 6401 |
| Ginnie Mae II Pool 4.5% 6/20/2045  | 1771952 | 1775149 |
| Ginnie Mae II Pool 4.5% 6/20/2046  | 620426 | 621509 |
| Ginnie Mae II Pool 4.5% 7/20/2033  | 2201 | 2207 |
| Ginnie Mae II Pool 4.5% 7/20/2034  | 2055 | 2062 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 7024 | 7046 |
| Ginnie Mae II Pool 4.5% 7/20/2041  | 18483 | 18538 |
| Ginnie Mae II Pool 4.5% 7/20/2042  | 46770 | 46910 |
| Ginnie Mae II Pool 4.5% 7/20/2045  | 58201 | 58288 |
| Ginnie Mae II Pool 4.5% 7/20/2046  | 367097 | 367590 |
| Ginnie Mae II Pool 4.5% 7/20/2049  | 280227 | 279313 |
| Ginnie Mae II Pool 4.5% 7/20/2053  | 11688139 | 11485676 |
| Ginnie Mae II Pool 4.5% 8/20/2035  | 1901 | 1908 |
| Ginnie Mae II Pool 4.5% 8/20/2041  | 132612 | 133007 |
| Ginnie Mae II Pool 4.5% 8/20/2046  | 981232 | 982985 |
| Ginnie Mae II Pool 4.5% 8/20/2048  | 14858822 | 14842891 |
| Ginnie Mae II Pool 4.5% 9/20/2033  | 2323 | 2330 |
| Ginnie Mae II Pool 4.5% 9/20/2040  | 11440 | 11476 |
| Ginnie Mae II Pool 4.5% 9/20/2041  | 2150 | 2156 |
| Ginnie Mae II Pool 4.5% 9/20/2042  | 53951 | 54109 |
| Ginnie Mae II Pool 4.5% 9/20/2046  | 521028 | 522422 |
| Ginnie Mae II Pool 4.5% 9/20/2047  | 1479449 | 1480637 |
| Ginnie Mae II Pool 4.5% 9/20/2049  | 566253 | 565115 |
| Ginnie Mae II Pool 4.5% 9/20/2053  | 232139 | 228335 |
| Ginnie Mae II Pool 5% 1/1/2056 (g) | 61525000 | 61390414 |
| Ginnie Mae II Pool 5% 1/20/2039  | 27334 | 27906 |
| Ginnie Mae II Pool 5% 1/20/2046  | 31744 | 32451 |
| Ginnie Mae II Pool 5% 1/20/2047  | 314098 | 320861 |
| Ginnie Mae II Pool 5% 1/20/2049  | 416988 | 423682 |
| Ginnie Mae II Pool 5% 1/20/2051  | 27470 | 28074 |
| Ginnie Mae II Pool 5% 1/20/2054  | 3247029 | 3257551 |
| Ginnie Mae II Pool 5% 1/20/2055  | 88884885 | 88895160 |
| Ginnie Mae II Pool 5% 10/20/2039  | 622464 | 635724 |
| Ginnie Mae II Pool 5% 10/20/2046  | 67211 | 68667 |
| Ginnie Mae II Pool 5% 10/20/2047  | 108308 | 110960 |
| Ginnie Mae II Pool 5% 10/20/2048  | 37629 | 38257 |
| Ginnie Mae II Pool 5% 11/20/2039  | 1209 | 1234 |
| Ginnie Mae II Pool 5% 11/20/2043  | 12602 | 12884 |
| Ginnie Mae II Pool 5% 11/20/2044  | 259778 | 265581 |
| Ginnie Mae II Pool 5% 11/20/2045  | 23185 | 23703 |
| Ginnie Mae II Pool 5% 11/20/2047  | 372291 | 381409 |
| Ginnie Mae II Pool 5% 11/20/2048  | 646079 | 656854 |
| Ginnie Mae II Pool 5% 11/20/2053  | 19883503 | 19979005 |
| Ginnie Mae II Pool 5% 11/20/2054  | 980963 | 981383 |
| Ginnie Mae II Pool 5% 12/1/2055 (g) | 123150000 | 123015299 |
| Ginnie Mae II Pool 5% 12/20/2044  | 103684 | 105982 |
| Ginnie Mae II Pool 5% 12/20/2046  | 30402 | 31065 |
| Ginnie Mae II Pool 5% 12/20/2047  | 402767 | 412631 |
| Ginnie Mae II Pool 5% 12/20/2050  | 25026 | 25600 |
| Ginnie Mae II Pool 5% 12/20/2053  | 8562052 | 8592474 |
| Ginnie Mae II Pool 5% 12/20/2054  | 13170094 | 13171616 |
| Ginnie Mae II Pool 5% 2/20/2040  | 1926 | 1967 |
| Ginnie Mae II Pool 5% 2/20/2045  | 189422 | 193636 |
| Ginnie Mae II Pool 5% 2/20/2048  | 85932 | 87821 |
| Ginnie Mae II Pool 5% 2/20/2049  | 444153 | 451561 |
| Ginnie Mae II Pool 5% 2/20/2051  | 21274 | 21795 |
| Ginnie Mae II Pool 5% 2/20/2054  | 697379 | 699638 |
| Ginnie Mae II Pool 5% 2/20/2055  | 19639180 | 19641450 |
| Ginnie Mae II Pool 5% 3/20/2040  | 3813 | 3896 |
| Ginnie Mae II Pool 5% 3/20/2042  | 33564 | 34284 |
| Ginnie Mae II Pool 5% 3/20/2044  | 244111 | 249466 |
| Ginnie Mae II Pool 5% 3/20/2046  | 122798 | 125540 |
| Ginnie Mae II Pool 5% 3/20/2048  | 844915 | 864287 |
| Ginnie Mae II Pool 5% 3/20/2049  | 303746 | 308812 |
| Ginnie Mae II Pool 5% 4/20/2040  | 56676 | 57898 |
| Ginnie Mae II Pool 5% 4/20/2044  | 194539 | 198869 |
| Ginnie Mae II Pool 5% 4/20/2045  | 3910 | 3996 |
| Ginnie Mae II Pool 5% 4/20/2046  | 67984 | 69483 |
| Ginnie Mae II Pool 5% 4/20/2047  | 262101 | 268105 |
| Ginnie Mae II Pool 5% 4/20/2048  | 1181875 | 1207126 |
| Ginnie Mae II Pool 5% 4/20/2049  | 155657 | 158254 |
| Ginnie Mae II Pool 5% 4/20/2055  | 13631413 | 13624469 |
| Ginnie Mae II Pool 5% 5/20/2044  | 461570 | 471642 |
| Ginnie Mae II Pool 5% 5/20/2046  | 103163 | 105460 |
| Ginnie Mae II Pool 5% 5/20/2047  | 142324 | 145560 |
| Ginnie Mae II Pool 5% 5/20/2048  | 230049 | 234820 |
| Ginnie Mae II Pool 5% 5/20/2051  | 37915 | 38843 |
| Ginnie Mae II Pool 5% 6/20/2040  | 209990 | 214534 |
| Ginnie Mae II Pool 5% 6/20/2043  | 26570 | 27138 |
| Ginnie Mae II Pool 5% 6/20/2044  | 17145 | 17517 |
| Ginnie Mae II Pool 5% 6/20/2045  | 96473 | 98640 |
| Ginnie Mae II Pool 5% 6/20/2046  | 54300 | 55503 |
| Ginnie Mae II Pool 5% 6/20/2048  | 1196573 | 1220268 |
| Ginnie Mae II Pool 5% 6/20/2051  | 24608 | 25211 |
| Ginnie Mae II Pool 5% 7/20/2040  | 110739 | 113135 |
| Ginnie Mae II Pool 5% 7/20/2045  | 114100 | 116679 |
| Ginnie Mae II Pool 5% 7/20/2046  | 37153 | 37972 |
| Ginnie Mae II Pool 5% 7/20/2047  | 24492 | 25092 |
| Ginnie Mae II Pool 5% 7/20/2048  | 2245663 | 2286625 |
| Ginnie Mae II Pool 5% 7/20/2053  | 37899770 | 38081806 |
| Ginnie Mae II Pool 5% 8/20/2040  | 173605 | 177375 |
| Ginnie Mae II Pool 5% 8/20/2044  | 21839 | 22320 |
| Ginnie Mae II Pool 5% 8/20/2046  | 262990 | 268817 |
| Ginnie Mae II Pool 5% 8/20/2047  | 44054 | 45133 |
| Ginnie Mae II Pool 5% 9/20/2040  | 10810 | 11045 |
| Ginnie Mae II Pool 5% 9/20/2045  | 90620 | 92662 |
| Ginnie Mae II Pool 5% 9/20/2048  | 1264415 | 1286293 |
| Ginnie Mae II Pool 5.5% 1/1/2056 (g) | 99125000 | 100042679 |
| Ginnie Mae II Pool 5.5% 1/20/2033  | 164164 | 168561 |
| Ginnie Mae II Pool 5.5% 1/20/2049  | 20613 | 21317 |
| Ginnie Mae II Pool 5.5% 1/20/2055  | 41950733 | 42404023 |
| Ginnie Mae II Pool 5.5% 10/20/2032  | 119 | 121 |
| Ginnie Mae II Pool 5.5% 10/20/2043  | 24259 | 25132 |
| Ginnie Mae II Pool 5.5% 10/20/2053  | 9036282 | 9177692 |
| Ginnie Mae II Pool 5.5% 11/20/2033  | 17146 | 17648 |
| Ginnie Mae II Pool 5.5% 11/20/2046  | 143886 | 149272 |
| Ginnie Mae II Pool 5.5% 12/1/2055 (g) | 198250000 | 200263467 |
| Ginnie Mae II Pool 5.5% 12/20/2032  | 22211 | 22806 |
| Ginnie Mae II Pool 5.5% 12/20/2043  | 43385 | 44893 |
| Ginnie Mae II Pool 5.5% 12/20/2048  | 118018 | 122198 |
| Ginnie Mae II Pool 5.5% 2/20/2033  | 85532 | 87822 |
| Ginnie Mae II Pool 5.5% 2/20/2054  | 13768223 | 13967549 |
| Ginnie Mae II Pool 5.5% 2/20/2055  | 9095869 | 9190600 |
| Ginnie Mae II Pool 5.5% 3/20/2041  | 17236 | 17909 |
| Ginnie Mae II Pool 5.5% 3/20/2045  | 52366 | 54352 |
| Ginnie Mae II Pool 5.5% 3/20/2054  | 920875 | 933271 |
| Ginnie Mae II Pool 5.5% 4/20/2033  | 1746 | 1795 |
| Ginnie Mae II Pool 5.5% 4/20/2037  | 869 | 901 |
| Ginnie Mae II Pool 5.5% 4/20/2045  | 227169 | 235603 |
| Ginnie Mae II Pool 5.5% 4/20/2048  | 69496 | 72458 |
| Ginnie Mae II Pool 5.5% 5/20/2044  | 54677 | 56654 |
| Ginnie Mae II Pool 5.5% 5/20/2046  | 79965 | 83076 |
| Ginnie Mae II Pool 5.5% 5/20/2049  | 38878 | 40328 |
| Ginnie Mae II Pool 5.5% 5/20/2054  | 851714 | 861782 |
| Ginnie Mae II Pool 5.5% 5/20/2055  | 19496988 | 19709183 |
| Ginnie Mae II Pool 5.5% 6/20/2033  | 19381 | 19933 |
| Ginnie Mae II Pool 5.5% 6/20/2045  | 108952 | 113114 |
| Ginnie Mae II Pool 5.5% 6/20/2049  | 59992 | 62117 |
| Ginnie Mae II Pool 5.5% 6/20/2054  | 844708 | 854363 |
| Ginnie Mae II Pool 5.5% 6/20/2055  | 90487231 | 91472049 |
| Ginnie Mae II Pool 5.5% 7/20/2038  | 122430 | 127276 |
| Ginnie Mae II Pool 5.5% 7/20/2048  | 249241 | 258768 |
| Ginnie Mae II Pool 5.5% 7/20/2053  | 461686 | 468947 |
| Ginnie Mae II Pool 5.5% 7/20/2054  | 9881662 | 9991524 |
| Ginnie Mae II Pool 5.5% 8/20/2038  | 1876 | 1951 |
| Ginnie Mae II Pool 5.5% 8/20/2044  | 68770 | 71387 |
| Ginnie Mae II Pool 5.5% 8/20/2048  | 15151 | 15730 |
| Ginnie Mae II Pool 5.5% 8/20/2053  | 31092230 | 31559363 |
| Ginnie Mae II Pool 5.5% 8/20/2054  | 63826030 | 64530650 |
| Ginnie Mae II Pool 5.5% 9/20/2048  | 245163 | 254535 |
| Ginnie Mae II Pool 5.5% 9/20/2053  | 531246 | 539560 |
| Ginnie Mae II Pool 6% 1/1/2056 (g) | 26125000 | 26630150 |
| Ginnie Mae II Pool 6% 1/20/2037  | 13140 | 13799 |
| Ginnie Mae II Pool 6% 1/20/2055  | 52792641 | 53786542 |
| Ginnie Mae II Pool 6% 10/20/2035  | 53944 | 56491 |
| Ginnie Mae II Pool 6% 10/20/2037  | 96170 | 101204 |
| Ginnie Mae II Pool 6% 11/20/2037  | 336332 | 353935 |
| Ginnie Mae II Pool 6% 12/1/2055 (g) | 119925000 | 122201704 |
| Ginnie Mae II Pool 6% 12/20/2036  | 42476 | 44606 |
| Ginnie Mae II Pool 6% 12/20/2037  | 112588 | 118550 |
| Ginnie Mae II Pool 6% 12/20/2054  | 67576608 | 68864679 |
| Ginnie Mae II Pool 6% 2/1/2056 (g) | 28550000 | 29081966 |
| Ginnie Mae II Pool 6% 3/20/2055  | 55371091 | 56331342 |
| Ginnie Mae II Pool 6% 4/20/2037  | 22439 | 23580 |
| Ginnie Mae II Pool 6% 4/20/2055  | 458943 | 467547 |
| Ginnie Mae II Pool 6% 5/20/2034  | 28559 | 29777 |
| Ginnie Mae II Pool 6% 5/20/2055  | 27234069 | 27770196 |
| Ginnie Mae II Pool 6% 7/20/2036  | 66332 | 69659 |
| Ginnie Mae II Pool 6% 8/20/2053  | 120474 | 123580 |
| Ginnie Mae II Pool 6% 8/20/2054  | 5459875 | 5568210 |
| Ginnie Mae II Pool 6% 9/20/2037  | 97747 | 102846 |
| Ginnie Mae II Pool 6% 9/20/2038  | 15713 | 16569 |
| Ginnie Mae II Pool 6% 9/20/2055  | 993841 | 1016822 |
| Ginnie Mae II Pool 6.5% 1/1/2056 (g) | 31650000 | 32561175 |
| Ginnie Mae II Pool 6.5% 1/20/2055  | 27123824 | 27884180 |
| Ginnie Mae II Pool 6.5% 12/1/2055 (g) | 31650000 | 32616809 |
| Ginnie Mae II Pool 6.5% 2/20/2055  | 731394 | 751554 |
| Ginnie Mae II Pool 6.5% 3/20/2038  | 105538 | 112183 |
| Ginnie Mae II Pool 6.5% 4/20/2054  | 363110 | 375105 |
| Ginnie Mae II Pool 6.5% 5/20/2055  | 16497834 | 17008003 |
| Ginnie Mae II Pool 6.5% 6/20/2054  | 129276 | 133496 |
| Ginnie Mae II Pool 6.5% 7/20/2053  | 13378708 | 13826917 |
| Ginnie Mae II Pool 6.5% 7/20/2054  | 16080568 | 16602960 |
| Ginnie Mae II Pool 6.5% 7/20/2055  | 61563 | 63573 |
| Ginnie Mae II Pool 6.5% 8/20/2036  | 41128 | 43724 |
| Uniform Mortgage Backed Securities 2% 12/1/2055 (g) | 10350000 | 8425547 |
| Uniform Mortgage Backed Securities 2.5% 12/1/2055 (g) | 3300000 | 2808609 |
| Uniform Mortgage Backed Securities 3.5% 1/1/2056 (g) | 9475000 | 8762154 |
| Uniform Mortgage Backed Securities 3.5% 12/1/2055 (g) | 23750000 | 21968750 |
| Uniform Mortgage Backed Securities 5% 12/1/2055 (g) | 53950000 | 53848844 |
| Uniform Mortgage Backed Securities 5.5% 12/1/2055 (g) | 58125000 | 58860642 |
| Uniform Mortgage Backed Securities 6% 12/1/2055 (g) | 143625000 | 147069759 |
| TOTAL UNITED STATES |  | 17226981896 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $18,581,930,138) |  | <br> **17226981896** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.2%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.2%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.2%  |  |  |
| Financials - 0.2% |  |  |
| Financial Services - 0.2% |  |  |
| Fannie Mae 0.75% 10/8/2027  | 16844000 | 16014143 |
| Fannie Mae 0.875% 8/5/2030  | 40385000 | 35710915 |
| Fannie Mae 6.625% 11/15/2030  | 9666000 | 10968920 |
| Federal Home Loan Bank 3.5% 10/4/2027  | 13500000 | 13494680 |
| Federal Home Loan Bank 4.375% 9/8/2028  | 5990000 | 6121771 |
| Federal Home Loan Bank 5.5% 7/15/2036  | 13190000 | 14618730 |
| Freddie Mac Non Gold Pool 6.25% 7/15/2032  | 6116000 | 6984506 |
| Freddie Mac Non Gold Pool 6.75% 3/15/2031  | 20653000 | 23696526 |
|  |  | 127610191 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Tennessee Valley Authority 3.875% 8/1/2030  | 6000000 | 6049580 |
| Tennessee Valley Authority 4.25% 9/15/2065  | 5896000 | 4939620 |
| Tennessee Valley Authority 4.875% 5/15/2035  | 6050000 | 6320365 |
| Tennessee Valley Authority 5.25% 9/15/2039  | 15887000 | 17101021 |
| Tennessee Valley Authority 5.375% 4/1/2056  | 4286000 | 4424884 |
|  |  | 38835470 |
| TOTAL UNITED STATES |  | 166445661 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $172,848,738) |  | <br> **166445661** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 45.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 45.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 45.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 45.7%** |
|  | Yield (%) (h) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 1.125% 5/15/2040  | 1.08 to 1.20 | 172262300 | 111452363 |
| US Treasury Bonds 1.125% 8/15/2040  | 1.83 to 1.88 | 46741200 | 29934452 |
| US Treasury Bonds 1.375% 11/15/2040  | 1.67 to 2.09 | 42617700 | 28220908 |
| US Treasury Bonds 1.375% 8/15/2050  | 2.30 to 5.03 | 41247800 | 20979984 |
| US Treasury Bonds 1.625% 11/15/2050  | 1.58 to 1.84 | 144329200 | 78354969 |
| US Treasury Bonds 1.75% 8/15/2041  | 1.97 to 3.50 | 185755300 | 127830121 |
| US Treasury Bonds 1.875% 11/15/2051  | 1.89 to 2.35 | 107574100 | 61506332 |
| US Treasury Bonds 1.875% 2/15/2041  | 2.16 | 60554000 | 43147090 |
| US Treasury Bonds 1.875% 2/15/2051  | 2.12 to 2.41 | 176269200 | 101795463 |
| US Treasury Bonds 2% 11/15/2041  | 3.40 | 67944100 | 48380976 |
| US Treasury Bonds 2% 2/15/2050  | 1.43 to 1.70 | 17589900 | 10636393 |
| US Treasury Bonds 2% 8/15/2051  | 1.93 to 3.25 | 272799800 | 161580601 |
| US Treasury Bonds 2.25% 2/15/2052  | 3.15 to 3.20 | 109990100 | 68919968 |
| US Treasury Bonds 2.25% 5/15/2041  | 1.80 to 2.87 | 172934300 | 129775033 |
| US Treasury Bonds 2.25% 8/15/2046  | 3.07 to 3.15 | 25430300 | 17165453 |
| US Treasury Bonds 2.25% 8/15/2049  | 2.21 to 2.22 | 15289700 | 9867232 |
| US Treasury Bonds 2.375% 11/15/2049  | 2.39 | 8121000 | 5370011 |
| US Treasury Bonds 2.375% 2/15/2042  | 2.45 to 3.48 | 48988400 | 36749966 |
| US Treasury Bonds 2.375% 5/15/2051  | 1.90 to 3.09 | 188570400 | 122659152 |
| US Treasury Bonds 2.5% 2/15/2045  | 2.92 to 3.10 | 56988800 | 41303523 |
| US Treasury Bonds 2.5% 2/15/2046  | 3.09 | 20048400 | 14307196 |
| US Treasury Bonds 2.75% 11/15/2042  | 2.57 | 1066200 | 836009 |
| US Treasury Bonds 2.75% 11/15/2047  | 3.10 | 4358500 | 3185961 |
| US Treasury Bonds 2.75% 8/15/2047  | 2.94 | 7039000 | 5159917 |
| US Treasury Bonds 2.875% 5/15/2043  | 1.91 to 2.99 | 89343900 | 70787591 |
| US Treasury Bonds 2.875% 5/15/2052  | 2.92 to 3.34 | 124100000 | 89439257 |
| US Treasury Bonds 3% 11/15/2044  | 2.22 to 2.97 | 41912600 | 33155159 |
| US Treasury Bonds 3% 11/15/2045  | 2.61 | 16313000 | 12768109 |
| US Treasury Bonds 3% 2/15/2047  | 2.87 | 10813300 | 8346938 |
| US Treasury Bonds 3% 5/15/2045  | 1.38 to 2.96 | 119853100 | 94356225 |
| US Treasury Bonds 3% 5/15/2047  | 2.87 to 2.93 | 19395700 | 14934689 |
| US Treasury Bonds 3% 8/15/2052  | 3.27 to 4.39 | 353800000 | 261369750 |
| US Treasury Bonds 3.125% 2/15/2043  | 2.92 to 2.97 | 23006500 | 18992045 |
| US Treasury Bonds 3.125% 8/15/2044  | 2.41 to 3.09 | 72478200 | 58670537 |
| US Treasury Bonds 3.25% 5/15/2042  | 3.16 to 4.58 | 271300000 | 230615597 |
| US Treasury Bonds 3.375% 11/15/2048  | 3.01 | 4631400 | 3759032 |
| US Treasury Bonds 3.375% 5/15/2044  | 2.17 to 3.20 | 147526800 | 124429635 |
| US Treasury Bonds 3.375% 8/15/2042  | 3.51 to 4.61 | 273700000 | 235916569 |
| US Treasury Bonds 3.625% 2/15/2044  | 3.33 to 3.44 | 2123200 | 1861947 |
| US Treasury Bonds 3.625% 2/15/2053  | 3.66 to 4.11 | 87850000 | 73289549 |
| US Treasury Bonds 3.625% 5/15/2053  | 3.83 to 4.04 | 108800000 | 90665250 |
| US Treasury Bonds 3.625% 8/15/2043  | 2.06 to 3.81 | 65327400 | 57574875 |
| US Treasury Bonds 3.75% 11/15/2043  | 3.59 | 1969500 | 1762318 |
| US Treasury Bonds 3.875% 2/15/2043  | 4.12 to 4.28 | 54200000 | 49736969 |
| US Treasury Bonds 3.875% 5/15/2043  | 4.01 to 4.09 | 57550000 | 52692740 |
| US Treasury Bonds 4% 11/15/2042  | 3.74 to 4.13 | 245800000 | 229717382 |
| US Treasury Bonds 4% 11/15/2052  | 3.60 to 3.97 | 310100000 | 276849044 |
| US Treasury Bonds 4.125% 8/15/2044  | 4.13 to 4.60 | 281250000 | 263682861 |
| US Treasury Bonds 4.125% 8/15/2053  | 4.70 to 5.03 | 119400000 | 108882539 |
| US Treasury Bonds 4.25% 11/15/2040  | 4.58 | 644300 | 631666 |
| US Treasury Bonds 4.25% 2/15/2054  | 4.34 to 4.78 | 406859000 | 378871553 |
| US Treasury Bonds 4.25% 5/15/2039  | 4.57 | 6384200 | 6351281 |
| US Treasury Bonds 4.25% 8/15/2054  | 4.13 to 4.48 | 290200000 | 270260085 |
| US Treasury Bonds 4.375% 11/15/2039  | 4.71 | 79500 | 79634 |
| US Treasury Bonds 4.375% 2/15/2038  | 3.00 | 20954900 | 21425567 |
| US Treasury Bonds 4.375% 5/15/2040  | 3.99 | 6354800 | 6341644 |
| US Treasury Bonds 4.375% 5/15/2041  | 3.51 | 6610300 | 6551427 |
| US Treasury Bonds 4.375% 8/15/2043  | 4.90 to 5.23 | 185800000 | 181118711 |
| US Treasury Bonds 4.5% 11/15/2054  | 4.37 to 4.78 | 105440000 | 102408600 |
| US Treasury Bonds 4.5% 2/15/2036  | 2.16 to 2.94 | 20270200 | 21183151 |
| US Treasury Bonds 4.5% 2/15/2044  | 4.50 to 4.90 | 57150000 | 56466879 |
| US Treasury Bonds 4.5% 5/15/2038  | 3.07 to 3.18 | 5410000 | 5586036 |
| US Treasury Bonds 4.5% 8/15/2039  | 4.57 | 4449500 | 4527366 |
| US Treasury Bonds 4.625% 11/15/2044  | 4.86 | 41850000 | 41866347 |
| US Treasury Bonds 4.625% 11/15/2055  | 4.67 | 86500000 | 85878281 |
| US Treasury Bonds 4.625% 2/15/2040  | 4.53 | 8282000 | 8500049 |
| US Treasury Bonds 4.625% 2/15/2055  | 4.47 to 4.85 | 173660000 | 172235224 |
| US Treasury Bonds 4.625% 5/15/2044  | 4.16 to 4.71 | 71850000 | 72052078 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.34 to 4.63 | 108100000 | 107162570 |
| US Treasury Bonds 4.75% 11/15/2043  | 4.30 to 4.69 | 97000000 | 98993047 |
| US Treasury Bonds 4.75% 2/15/2041  | 4.50 | 4764800 | 4930265 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.79 to 4.91 | 271100000 | 274361672 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.67 to 4.92 | 57280000 | 57996000 |
| US Treasury Bonds 4.875% 8/15/2045  | 4.64 to 4.92 | 119030000 | 122749688 |
| US Treasury Bonds 5% 5/15/2045  | 4.79 to 5.00 | 223390000 | 234175548 |
| US Treasury Bonds 6.25% 5/15/2030  | 4.68 to 4.69 | 48578300 | 53882064 |
| US Treasury Notes 0.375% 7/31/2027  | 0.48 to 0.65 | 251926900 | 239163260 |
| US Treasury Notes 0.375% 9/30/2027  | 0.55 | 49873800 | 47117104 |
| US Treasury Notes 0.5% 10/31/2027  | 0.61 | 264566400 | 249922237 |
| US Treasury Notes 0.625% 11/30/2027  | 0.63 | 37166200 | 35119156 |
| US Treasury Notes 0.625% 12/31/2027  | 0.76 | 42643200 | 40201211 |
| US Treasury Notes 0.625% 5/15/2030  | 1.39 to 1.69 | 293611700 | 258114504 |
| US Treasury Notes 0.625% 8/15/2030  | 0.71 | 30689000 | 26767761 |
| US Treasury Notes 1.125% 2/28/2027  | 0.89 | 143363000 | 139090110 |
| US Treasury Notes 1.125% 2/29/2028  | 1.28 | 262029200 | 248723030 |
| US Treasury Notes 1.125% 8/31/2028  | 1.12 to 1.30 | 64237900 | 60283254 |
| US Treasury Notes 1.25% 12/31/2026  | 2.49 | 111103900 | 108330642 |
| US Treasury Notes 1.25% 5/31/2028  | 1.26 | 78200900 | 74040368 |
| US Treasury Notes 1.25% 6/30/2028  | 0.99 to 1.79 | 329982900 | 311846730 |
| US Treasury Notes 1.25% 8/15/2031  | 1.78 to 3.17 | 214724400 | 188034827 |
| US Treasury Notes 1.375% 12/31/2028  | 1.62 to 1.89 | 106426700 | 99883120 |
| US Treasury Notes 1.5% 1/31/2027  | 1.61 to 2.95 | 380445400 | 371350377 |
| US Treasury Notes 1.5% 11/30/2028  | 1.71 to 1.75 | 41895000 | 39526950 |
| US Treasury Notes 1.5% 2/15/2030  | 0.61 to 0.73 | 707689900 | 651157642 |
| US Treasury Notes 1.625% 5/15/2031  | 3.75 | 30670000 | 27618575 |
| US Treasury Notes 1.625% 8/15/2029  | 0.71 to 1.88 | 16548200 | 15473859 |
| US Treasury Notes 1.75% 1/31/2029  | 2.72 | 110873300 | 105052452 |
| US Treasury Notes 1.875% 2/28/2027  | 1.70 to 3.00 | 166928500 | 163472559 |
| US Treasury Notes 2% 11/15/2026  | 2.38 to 2.56 | 37465000 | 36885756 |
| US Treasury Notes 2.25% 11/15/2027  | 2.72 | 36348700 | 35488258 |
| US Treasury Notes 2.25% 2/15/2027  | 2.40 | 24750900 | 24361266 |
| US Treasury Notes 2.25% 8/15/2027  | 2.33 to 3.05 | 337064100 | 329927819 |
| US Treasury Notes 2.375% 5/15/2029  | 1.68 | 20543700 | 19777323 |
| US Treasury Notes 2.5% 3/31/2027  | 3.06 | 5000000 | 4930468 |
| US Treasury Notes 2.625% 2/15/2029  | 2.15 to 2.73 | 56726000 | 55192625 |
| US Treasury Notes 2.625% 5/31/2027  | 3.26 to 3.40 | 39800000 | 39262078 |
| US Treasury Notes 2.625% 7/31/2029  | 2.79 to 3.15 | 603100000 | 584229568 |
| US Treasury Notes 2.75% 2/15/2028  | 2.78 | 40000 | 39374 |
| US Treasury Notes 2.75% 4/30/2027  | 2.83 to 3.07 | 243000000 | 240285233 |
| US Treasury Notes 2.75% 5/31/2029  | 2.88 | 32300000 | 31476098 |
| US Treasury Notes 2.75% 7/31/2027  | 2.91 to 3.19 | 73600000 | 72662750 |
| US Treasury Notes 2.75% 8/15/2032  | 2.80 to 4.25 | 648086000 | 609074262 |
| US Treasury Notes 2.875% 4/30/2029  | 3.10 to 3.41 | 33500000 | 32799902 |
| US Treasury Notes 2.875% 5/15/2028  | 2.48 to 2.87 | 139624800 | 137601331 |
| US Treasury Notes 2.875% 5/15/2032  | 3.05 | 42500000 | 40381641 |
| US Treasury Notes 2.875% 8/15/2028  | 1.76 to 2.65 | 150635300 | 148275740 |
| US Treasury Notes 3.125% 11/15/2028  | 2.50 to 2.75 | 19870000 | 19664314 |
| US Treasury Notes 3.125% 8/31/2029  | 3.29 to 3.59 | 59600000 | 58717640 |
| US Treasury Notes 3.25% 6/30/2027  | 3.00 to 3.05 | 72000000 | 71682188 |
| US Treasury Notes 3.375% 5/15/2033  | 3.62 to 3.70 | 160450000 | 155736781 |
| US Treasury Notes 3.375% 9/15/2027  | 3.56 to 3.83 | 268360000 | 267657651 |
| US Treasury Notes 3.375% 9/15/2028  | 3.55 to 3.62 | 304820000 | 303867438 |
| US Treasury Notes 3.5% 1/31/2028  | 3.49 to 4.20 | 414100000 | 414100000 |
| US Treasury Notes 3.5% 1/31/2030  | 4.07 | 125900000 | 125570496 |
| US Treasury Notes 3.5% 10/15/2028  | 3.56 to 3.60 | 512640000 | 512640000 |
| US Treasury Notes 3.5% 11/30/2030  | 3.60 | 156200000 | 155504423 |
| US Treasury Notes 3.5% 2/15/2033  | 3.91 to 3.97 | 115200000 | 112936500 |
| US Treasury Notes 3.5% 4/30/2028  | 3.76 to 3.86 | 312800000 | 312841227 |
| US Treasury Notes 3.5% 9/30/2026  | 3.65 to 3.99 | 250600000 | 250243677 |
| US Treasury Notes 3.5% 9/30/2029  | 3.57 to 3.89 | 317990000 | 317406189 |
| US Treasury Notes 3.625% 10/31/2030  | 3.66 to 3.71 | 147180000 | 147306484 |
| US Treasury Notes 3.625% 3/31/2028  | 3.51 to 3.58 | 152800000 | 153259593 |
| US Treasury Notes 3.625% 3/31/2030  | 3.47 to 3.73 | 119300000 | 119523688 |
| US Treasury Notes 3.625% 5/31/2028  | 3.99 to 4.11 | 199900000 | 200548114 |
| US Treasury Notes 3.625% 8/15/2028  | 3.58 | 344440000 | 345624013 |
| US Treasury Notes 3.625% 8/31/2029  | 3.71 | 74150000 | 74341168 |
| US Treasury Notes 3.625% 8/31/2030  | 3.69 | 110240000 | 110351962 |
| US Treasury Notes 3.625% 9/30/2031  | 3.87 to 3.97 | 153460000 | 152920493 |
| US Treasury Notes 3.75% 10/31/2032  | 3.78 to 3.89 | 276550000 | 275901836 |
| US Treasury Notes 3.75% 12/31/2028  | 3.84 | 87800000 | 88431063 |
| US Treasury Notes 3.75% 12/31/2030  | 4.00 | 20950000 | 21070298 |
| US Treasury Notes 3.75% 4/15/2028  | 3.80 | 133810000 | 134578362 |
| US Treasury Notes 3.75% 5/15/2028  | 3.83 to 3.97 | 572820000 | 576366042 |
| US Treasury Notes 3.75% 5/31/2030  | 3.70 to 3.98 | 175600000 | 176793532 |
| US Treasury Notes 3.75% 6/30/2030  | 4.08 | 41700000 | 41981801 |
| US Treasury Notes 3.75% 8/31/2031  | 3.62 | 72350000 | 72601529 |
| US Treasury Notes 3.875% 10/15/2027  | 4.12 | 194800000 | 196040329 |
| US Treasury Notes 3.875% 11/30/2027  | 3.77 to 4.01 | 55100000 | 55487422 |
| US Treasury Notes 3.875% 11/30/2029  | 3.72 | 51600000 | 52198641 |
| US Treasury Notes 3.875% 12/31/2029  | 3.58 | 36600000 | 37024617 |
| US Treasury Notes 3.875% 3/15/2028  | 3.88 | 335500000 | 338343886 |
| US Treasury Notes 3.875% 3/31/2027  | 3.70 | 100000000 | 100363281 |
| US Treasury Notes 3.875% 4/30/2030  | 3.72 to 4.07 | 244540000 | 247472570 |
| US Treasury Notes 3.875% 5/31/2027  | 3.89 | 213200000 | 214182720 |
| US Treasury Notes 3.875% 6/15/2028  | 3.68 | 314050000 | 317018752 |
| US Treasury Notes 3.875% 6/30/2030  | 3.79 to 3.87 | 249400000 | 252410335 |
| US Treasury Notes 3.875% 7/15/2028  | 3.88 | 411450000 | 415371633 |
| US Treasury Notes 3.875% 7/31/2030  | 3.95 | 131550000 | 133122433 |
| US Treasury Notes 3.875% 8/15/2033  | 4.57 to 4.88 | 444400000 | 445233250 |
| US Treasury Notes 3.875% 8/15/2034  | 3.92 to 4.28 | 252340000 | 251345200 |
| US Treasury Notes 3.875% 8/31/2032  | 3.97 | 42920000 | 43173161 |
| US Treasury Notes 3.875% 9/30/2029  | 3.79 to 3.97 | 73200000 | 74037797 |
| US Treasury Notes 3.875% 9/30/2032  | 3.87 | 65890000 | 66250336 |
| US Treasury Notes 4% 1/15/2027  | 4.22 | 67450000 | 67734555 |
| US Treasury Notes 4% 1/31/2029  | 3.87 | 202100000 | 205005188 |
| US Treasury Notes 4% 1/31/2031  | 3.91 to 4.28 | 117950000 | 119977266 |
| US Treasury Notes 4% 10/31/2029  | 3.58 to 4.14 | 138800000 | 141028391 |
| US Treasury Notes 4% 11/15/2035  | 4.02 | 196150000 | 195843516 |
| US Treasury Notes 4% 12/15/2027  | 4.28 to 4.48 | 68000000 | 68672663 |
| US Treasury Notes 4% 2/15/2034  | 4.19 to 4.69 | 242150000 | 244060714 |
| US Treasury Notes 4% 2/28/2030  | 3.55 to 4.10 | 140000000 | 142335157 |
| US Treasury Notes 4% 2/29/2028  | 3.65 | 111400000 | 112601031 |
| US Treasury Notes 4% 3/31/2030  | 3.95 | 166150000 | 168940802 |
| US Treasury Notes 4% 4/30/2032  | 4.00 to 4.16 | 229780000 | 233154894 |
| US Treasury Notes 4% 5/31/2030  | 3.95 | 239150000 | 243269732 |
| US Treasury Notes 4% 6/30/2028  | 4.24 | 54700000 | 55394433 |
| US Treasury Notes 4% 6/30/2032  | 3.99 to 4.06 | 142200000 | 144205242 |
| US Treasury Notes 4% 7/31/2029  | 3.63 | 85400000 | 86727705 |
| US Treasury Notes 4% 7/31/2030  | 4.14 | 35300000 | 35909476 |
| US Treasury Notes 4% 7/31/2032  | 3.92 | 127700000 | 129440910 |
| US Treasury Notes 4.125% 1/31/2027  | 3.65 | 75000000 | 75430664 |
| US Treasury Notes 4.125% 10/31/2026  | 4.16 | 347600000 | 348990400 |
| US Treasury Notes 4.125% 10/31/2027  | 3.66 to 4.27 | 396200000 | 400672726 |
| US Treasury Notes 4.125% 10/31/2029  | 4.15 | 23150000 | 23626564 |
| US Treasury Notes 4.125% 10/31/2031  | 4.13 to 4.22 | 180620000 | 184669840 |
| US Treasury Notes 4.125% 11/15/2027  | 4.11 | 154400000 | 156167156 |
| US Treasury Notes 4.125% 11/30/2029  | 4.08 | 79800000 | 81464579 |
| US Treasury Notes 4.125% 11/30/2031  | 4.32 | 67050000 | 68550767 |
| US Treasury Notes 4.125% 2/28/2027  | 3.63 | 162870000 | 163900661 |
| US Treasury Notes 4.125% 2/29/2032  | 4.10 to 4.21 | 186500000 | 190565118 |
| US Treasury Notes 4.125% 3/31/2029  | 4.20 to 4.33 | 131700000 | 134164231 |
| US Treasury Notes 4.125% 3/31/2031  | 4.33 | 21850000 | 22355280 |
| US Treasury Notes 4.125% 3/31/2032  | 3.88 | 100000000 | 102175781 |
| US Treasury Notes 4.125% 7/31/2028  | 4.18 | 52950000 | 53800096 |
| US Treasury Notes 4.125% 7/31/2031  | 3.81 to 3.96 | 319950000 | 327257530 |
| US Treasury Notes 4.125% 8/31/2030  | 4.20 to 4.63 | 258800000 | 264643217 |
| US Treasury Notes 4.125% 9/30/2027  | 4.08 to 4.39 | 157400000 | 159072375 |
| US Treasury Notes 4.25% 1/15/2028  | 4.24 to 4.28 | 303350000 | 307935800 |
| US Treasury Notes 4.25% 1/31/2030  | 4.33 | 141900000 | 145608246 |
| US Treasury Notes 4.25% 11/15/2034  | 4.19 to 4.58 | 308630000 | 315550065 |
| US Treasury Notes 4.25% 11/30/2026  | 3.71 to 4.24 | 222500000 | 223796757 |
| US Treasury Notes 4.25% 12/31/2026  | 4.25 | 125150000 | 125961520 |
| US Treasury Notes 4.25% 2/15/2028  | 3.96 | 176150000 | 178948002 |
| US Treasury Notes 4.25% 2/28/2029  | 4.13 to 4.24 | 204400000 | 208943109 |
| US Treasury Notes 4.25% 2/28/2031  | 4.15 to 4.27 | 304850000 | 313745429 |
| US Treasury Notes 4.25% 5/15/2035  | 4.36 to 4.39 | 211400000 | 215760125 |
| US Treasury Notes 4.25% 8/15/2035  | 4.10 to 4.27 | 159450000 | 162539344 |
| US Treasury Notes 4.375% 1/31/2032  | 4.44 | 227100000 | 235181567 |
| US Treasury Notes 4.375% 11/30/2028  | 3.92 to 4.29 | 247600000 | 253693282 |
| US Treasury Notes 4.375% 11/30/2030  | 3.81 to 4.36 | 240500000 | 248767188 |
| US Treasury Notes 4.375% 12/15/2026  | 3.98 | 29250000 | 29472817 |
| US Treasury Notes 4.375% 12/31/2029  | 4.39 | 27450000 | 28287439 |
| US Treasury Notes 4.375% 5/15/2034  | 4.37 to 4.49 | 126050000 | 130314035 |
| US Treasury Notes 4.5% 11/15/2033  | 3.95 to 4.34 | 395900000 | 413174229 |
| US Treasury Notes 4.5% 12/31/2031  | 4.49 | 30700000 | 32004750 |
| US Treasury Notes 4.5% 5/31/2029  | 4.49 | 78350000 | 80832104 |
| US Treasury Notes 4.625% 2/15/2035  | 4.16 to 4.31 | 260530000 | 273709066 |
| US Treasury Notes 4.625% 4/30/2029  | 4.72 | 31000000 | 32087422 |
| US Treasury Notes 4.625% 4/30/2031  | 4.70 | 58900000 | 61706953 |
| US Treasury Notes 4.625% 5/31/2031  | 4.37 to 4.49 | 160200000 | 167853305 |
| US Treasury Notes 4.625% 9/30/2028  | 4.60 | 181900000 | 187428054 |
| US Treasury Notes 4.75% 2/15/2045  | 4.52 to 4.87 | 221150000 | 224640023 |
| US Treasury Notes 4.875% 10/31/2028  | 4.52 to 4.82 | 191946000 | 199188963 |
| US Treasury Notes 4.875% 10/31/2030  | 4.89 | 123100000 | 130043609 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $32,156,997,803) |  |  | **31171130061** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 0.9%** | &nbsp;&nbsp;**Money Market Funds - 0.9%** | &nbsp;&nbsp;**Money Market Funds - 0.9%** | &nbsp;&nbsp;**Money Market Funds - 0.9%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (i) | 4.02 | 348410555 | 348480237 |
| Fidelity Securities Lending Cash Central Fund (i)(j) | 4.02 | 278880348 | 278908236 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $627,388,473) |  |  | **627388473** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 101.9%**<br> (Cost $73,064,335,491)<br>| <br>**69496430075** |
| **NET OTHER ASSETS (LIABILITIES) - (1.9)%**  | **(1258055196)** |
| **NET ASSETS - 100.0%** | **68238374879** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 5% 12/1/2055 | (123150000) | (123015299) |
| Ginnie Mae II Pool 5.5% 12/1/2055 | (198250000) | (200263467) |
| Ginnie Mae II Pool 6% 1/1/2056 | (28550000) | (29102039) |
| Ginnie Mae II Pool 6% 12/1/2055 | (52250000) | (53241935) |
| Ginnie Mae II Pool 6.5% 12/1/2055 | (31650000) | (32616809) |
| Uniform Mortgage Backed Securities 3.5% 12/1/2055 | (23750000) | (21968750) |
| Uniform Mortgage Backed Securities 5% 12/1/2055 | (30050000) | (29993656) |
| Uniform Mortgage Backed Securities 5.5% 12/1/2055 | (41650000) | (42177131) |
| Uniform Mortgage Backed Securities 6% 12/1/2055 | (96300000) | (98609698) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (630988784) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $630,271,278) |  | <br> **(630988784)** |

---

**Legend**

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

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

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

(d) Security or a portion of the security is on loan at period end.

(e) 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 $75,268,343 or 0.1% of net assets.

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

(h) 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.

(i) 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.

(j) Investment made with cash collateral received from securities on loan.

**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 | 224186867 | 2029109079 | 1904815622 | 1543244 | (87) | - | 348480237 | 348410555 | 0.6% |
| Fidelity Securities Lending Cash Central Fund | 395189485 | 871775845 | 988057642 | 189253 | 548 | - | 278908236 | 278880348 | 1.0% |
| Total | 619376352 | 2900884924 | 2892873264 | 1732497 | 461 | - | 627388473 |  |  |

---

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

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.

**Investment Valuation**

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

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

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

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

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

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. Treasury Obligations, Bank Notes, Foreign Government and Government Agency Obligations, Municipal Securities, Non-Convertible Corporate Bonds and U.S. 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, 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. 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 any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

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

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Salem Street Trust

- **b. Investment Company Act file number:** 811-02105

- **c. CIK number of Registrant:** 0000035315

- **d. LEI of Registrant:** S4W85DGKOEJ24DPRB829

- **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 U.S. Bond Index Fund

- **b. EDGAR series identifier (if any):** S000017676

- **c. LEI of Series:** 5VUJ0DJSDOFYE2WQN531

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

- **a. Date of fiscal year-end:** 2026-08-31

- **b. Date as of which information is reported:** 2025-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $70146498635.79

**Total Liabilities:** $2113675003.72

**Net Assets:** $68032823632.07

**Delayed Delivery Securities:** $988449613.64

**Cash Not Reported:** $61474681.09

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 941079.19501099 | **1-Year:** 6274928.90332282 | **5-Year:** 12837431.06947300 | **10-Year:** 14053221.72320810 | **30-Year:** 6464167.08100134

**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 C000100043 | 1.07%                | 0.69%                | 0.58%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1433201.67             | $508058440.77                              |
| Month 2  | $7460925.06              | $189815409.25                              |
| Month 3  | $-20658939.71            | $240910173.11                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Bond Index

- **Index Identifier:** 19808143

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AON GLOBAL LTD                                                                  | AON GLOBAL LTD 4.6% 06/14/2044                                                                      | CUSIP: 00185AAG9<br>LEI: VVT2B79I2Z4U3R6BY589 | Long             | DBT              | CORP              | GB        |    1271000 | PA      | $1124818.02    | 0.00%             | 2044-06-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AON GLOBAL LTD                                                                  | AON GLOBAL LTD 4.75% 05/15/2045                                                                     | CUSIP: 00185AAH7<br>LEI: VVT2B79I2Z4U3R6BY589 | Long             | DBT              | CORP              | GB        |    4671000 | PA      | $4204987.22    | 0.01%             | 2045-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 4.35% 06/15/2045                                                                       | CUSIP: 00206RBK7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    5085000 | PA      | $4283346.04    | 0.01%             | 2045-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                      | ABBVIE INC 4.4% 11/06/2042                                                                          | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    3793000 | PA      | $3445784.95    | 0.01%             | 2042-11-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                      | ABBVIE INC 4.5% 05/14/2035                                                                          | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9922568.30    | 0.01%             | 2035-05-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                      | ABBVIE INC 4.7% 05/14/2045                                                                          | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   10467000 | PA      | $9642181.56    | 0.01%             | 2045-05-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS INC                                                          | CHUBB INA HOLDINGS INC 4.35% 11/03/2045                                                             | CUSIP: 00440EAW7<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |    3177000 | PA      | $2815408.35    | 0.00%             | 2045-11-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                         | ALABAMA POWER CO 5.2% 06/01/2041                                                                    | CUSIP: 010392FF0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    3058000 | PA      | $3035482.29    | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| ALABAMA POWER and LIGHT                                                         | ALABAMA POWER CO 4.15% 08/15/2044                                                                   | CUSIP: 010392FL7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    3694000 | PA      | $3141295.74    | 0.00%             | 2044-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                         | ALABAMA POWER CO 3.75% 03/01/2045                                                                   | CUSIP: 010392FM5<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     795000 | PA      | $635564.15     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 4.25% 08/09/2042                                                                   | CUSIP: 02209SAM5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    7768000 | PA      | $6597759.34    | 0.01%             | 2042-08-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | AMAZON.COM INC 4.8% 12/05/2034                                                                      | CUSIP: 023135AP1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    6766000 | PA      | $7020307.08    | 0.01%             | 2034-12-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| HESS CORP                                                                       | HESS CORP 7.875% 10/01/2029                                                                         | CUSIP: 023551AF1<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3752362.15    | 0.01%             | 2029-10-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AMERICA MOVIL SAB DE CV                                                         | AMERICA MOVIL SAB DE CV 6.125% 11/15/2037                                                           | CUSIP: 02364WAP0<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |    6645000 | PA      | $7226437.50    | 0.01%             | 2037-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                             | AMERICAN EXPRESS CO 4.05% 12/03/2042                                                                | CUSIP: 025816BF5<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    5541000 | PA      | $4807847.79    | 0.01%             | 2042-12-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL GROUP INC                                                | AMERICAN INTERNATIONAL GRP INC 4.5% 07/16/2044                                                      | CUSIP: 026874DA2<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |    7050000 | PA      | $6281420.84    | 0.01%             | 2044-07-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL GROUP INC                                                | AMERICAN INTERNATIONAL GRP INC 3.875% 01/15/2035                                                    | CUSIP: 026874DC8<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |    2145000 | PA      | $2019174.71    | 0.00%             | 2035-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN MUN PWR REV                                                            | AMERICAN MUN OH 8.084% 2/15/50                                                                      | CUSIP: 02765UEK6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    7725000 | PA      | $9957178.92    | 0.01%             | 2050-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAP CORP                                                         | AMER WATER CAP CORP 6.593% 10/15/2037                                                               | CUSIP: 03040WAD7<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    5173000 | PA      | $5919402.70    | 0.01%             | 2037-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | AMGEN INC 4.4% 05/01/2045                                                                           | CUSIP: 031162BZ2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    7888000 | PA      | $6882460.40    | 0.01%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 8.2% 01/15/2039                                                      | CUSIP: 03523TBF4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    3624000 | PA      | $4716950.42    | 0.01%             | 2039-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV FIN INC                                                    | ANHEUSER-BUSCH INBEV FIN INC 4.625% 02/01/2044                                                      | CUSIP: 03524BAF3<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |    4567000 | PA      | $4180826.13    | 0.01%             | 2044-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                                            | APPALACHIAN POWER CO 4.45% 06/01/2045                                                               | CUSIP: 037735CV7<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |    4766000 | PA      | $4063902.00    | 0.01%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| APPLE INC                                                                       | APPLE INC 3.85% 05/04/2043                                                                          | CUSIP: 037833AL4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   10327000 | PA      | $8885471.01    | 0.01%             | 2043-05-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | APPLE INC 4.375% 05/13/2045                                                                         | CUSIP: 037833BH2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    3725000 | PA      | $3385815.47    | 0.00%             | 2045-05-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA PLC                                                                 | ASTRAZENECA PLC 6.45% 09/15/2037                                                                    | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    4582000 | PA      | $5287353.95    | 0.01%             | 2037-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA PLC                                                                 | ASTRAZENECA PLC 4.375% 11/16/2045                                                                   | CUSIP: 046353AM0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    5989000 | PA      | $5375728.68    | 0.01%             | 2045-11-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                        | BHP BILLITON FIN USA LTD 5% 09/30/2043                                                              | CUSIP: 055451AV0<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |    3783000 | PA      | $3635850.91    | 0.01%             | 2043-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES A GE CO LLC                                                        | BAKER HUGHES A GE CO LLC 5.125% 09/15/2040                                                          | CUSIP: 057224AZ0<br>LEI: 549300XU3XH6F05YEQ93 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1573470.91    | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA, N.A.                                                           | BANK OF AMERICA NA 6% 10/15/2036                                                                    | CUSIP: 06050TJZ6<br>LEI: B4TYDEB6GKMZO031MB27 | Long             | DBT              | CORP              | US        |    4075000 | PA      | $4473292.99    | 0.01%             | 2036-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 5.875% 02/07/2042                                                       | CUSIP: 06051GEN5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2610000 | PA      | $2817141.24    | 0.00%             | 2042-02-07      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 5% 01/21/2044                                                           | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4265000 | PA      | $4204977.12    | 0.01%             | 2044-01-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.25% 10/22/2026                                                        | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3177000 | PA      | $3183774.41    | 0.00%             | 2026-10-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 5.25% 08/17/2045                                                                       | CUSIP: 06738EAJ4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    4602000 | PA      | $4470013.54    | 0.01%             | 2045-08-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARRICK MINING CORP                                                             | BARRICK MINING CORP 5.25% 04/01/2042                                                                | CUSIP: 067901AH1<br>LEI: 0O4KBQCJZX82UKGCBV73 | Long             | DBT              | CORP              | CA        |    3575000 | PA      | $3548368.57    | 0.01%             | 2042-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARRICK NORTH AMERICA FINANCE LLC                                               | BARRICK NORTH AMER FIN LLC 5.75% 05/01/2043                                                         | CUSIP: 06849RAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2065113.12    | 0.00%             | 2043-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARRICK PD AUSTRALIA FIN PTY LTD                                                | BARRICK PD AUSTRALIA FIN P LTD 5.95% 10/15/2039                                                     | CUSIP: 06849UAD7<br>LEI: 5493008DX0TK7OFLV260 | Long             | DBT              | CORP              | AU        |    2000000 | PA      | $2136552.88    | 0.00%             | 2039-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAY AREA TOLL AU CA BRIDGE REV                                                  | BAY AREA TA CA 6.263% 4/1/49                                                                        | CUSIP: 072024ND0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3750000 | PA      | $4039598.63    | 0.01%             | 2049-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAY AREA TOLL AU CA BRIDGE REV                                                  | BAY AREA TOLL AUTH CALIF TOLL BRDG REV BUILD AMERICA BONDS-SER S1                                   | CUSIP: 072024NV0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    5635000 | PA      | $6571396.13    | 0.01%             | 2050-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                                                     | TRUIST BANK 3.8% 10/30/2026                                                                         | CUSIP: 07330MAA5<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |    2573000 | PA      | $2565362.49    | 0.00%             | 2026-10-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON and CO                                                         | BECTON DICKINSON and CO 4.685% 12/15/2044                                                           | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    8630000 | PA      | $7736228.79    | 0.01%             | 2044-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                               | BERKSHIRE HATHAWAY ENERGY COMPANY 4.5% 02/01/2045                                                   | CUSIP: 084659AF8<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    5282000 | PA      | $4647351.17    | 0.01%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN CORP                                                     | BERKSHIRE HATHAWAY FIN CORP 5.75% 01/15/2040                                                        | CUSIP: 084664BL4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |   11222000 | PA      | $12313086.44   | 0.02%             | 2040-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY INC DEL                                                      | BERKSHIRE HATHAWAY INC DEL 4.5% 02/11/2043                                                          | CUSIP: 084670BK3<br>LEI: 5493000C01ZX7D35SD85 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1512835.86    | 0.00%             | 2043-02-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 6.875% 03/15/2039                                                                         | CUSIP: 097023AX3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    2622000 | PA      | $2978908.84    | 0.00%             | 2039-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                         | BRISTOL-MYERS SQUIBB CO 3.25% 08/01/2042                                                            | CUSIP: 110122AU2<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    2224000 | PA      | $1739004.00    | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRITISH TELECOMMUNICATION PLC                                                   | BRITISH TELECOMMUNICATION PLC STEP 12/15/2030                                                       | CUSIP: 111021AE1<br>LEI: 549300OWFMSO9NYV4H90 | Long             | DBT              | CORP              | GB        |   12479000 | PA      | $15348128.75   | 0.02%             | 2030-12-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                  | BURLINGTON NORTHN SANTA FE LLC 4.375% 09/01/2042                                                    | CUSIP: 12189LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3575000 | PA      | $3227374.44    | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                  | BURLINGTON NORTHN SANTA FE LLC 4.45% 03/15/2043                                                     | CUSIP: 12189LAN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1807072.10    | 0.00%             | 2043-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                  | BURLINGTON NORTHN SANTA FE LLC 4.9% 04/01/2044                                                      | CUSIP: 12189LAS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3177000 | PA      | $3039174.08    | 0.00%             | 2044-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                  | BURLINGTON NORTHN SANTA FE LLC 4.55% 09/01/2044                                                     | CUSIP: 12189LAU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2383000 | PA      | $2157644.22    | 0.00%             | 2044-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                  | BURLINGTON NORTHN SANTA FE LLC 4.15% 04/01/2045                                                     | CUSIP: 12189LAW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1350000 | PA      | $1153499.13    | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                  | BURLINGTON NORTHN SANTA FE LLC 6.15% 05/01/2037                                                     | CUSIP: 12189TAZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2250875.72    | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                | PARAMOUNT GLOBAL 4.6% 01/15/2045                                                                    | CUSIP: 124857AN3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    5799000 | PA      | $4405850.10    | 0.01%             | 2045-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CF INDUSTRIES INC                                                               | CF INDUSTRIES INC 4.95% 06/01/2043                                                                  | CUSIP: 12527GAD5<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $5351501.90    | 0.01%             | 2043-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| CME GROUP INC                                                                   | CME GROUP INC 5.3% 09/15/2043                                                                       | CUSIP: 12572QAF2<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | DBT              | CORP              | US        |    4930000 | PA      | $5010441.87    | 0.01%             | 2043-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP                                                                 | CMS ENERGY CORP 4.875% 03/01/2044                                                                   | CUSIP: 125896BN9<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    3972000 | PA      | $3590669.49    | 0.01%             | 2044-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                        | CSX CORP 4.1% 03/15/2044                                                                            | CUSIP: 126408GY3<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    5382000 | PA      | $4575003.71    | 0.01%             | 2044-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                        | CSX CORP 3.95% 05/01/2050                                                                           | CUSIP: 126408HC0<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    2840000 | PA      | $2253276.90    | 0.00%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 5.3% 12/05/2043                                                                     | CUSIP: 126650CD0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    3489000 | PA      | $3310223.47    | 0.00%             | 2043-12-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 4.875% 07/20/2035                                                                   | CUSIP: 126650CM0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    2462000 | PA      | $2438290.15    | 0.00%             | 2035-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 5.125% 07/20/2045                                                                   | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    6997000 | PA      | $6408773.83    | 0.01%             | 2045-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                   | CALIFORNIA ST BUILD AMERICA BONDS-TAXABLE-VA                                                        | CUSIP: 13063A5G5<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |   19660000 | PA      | $24203614.74   | 0.04%             | 2039-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                   | CA ST GO 7.6% 11/01/40                                                                              | CUSIP: 13063BJC7<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |   10305000 | PA      | $12822024.07   | 0.02%             | 2040-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                  | CANADIAN NATL RESOURCES LTD 5.85% 02/01/2035                                                        | CUSIP: 136385AG6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    9570000 | PA      | $10030169.05   | 0.01%             | 2035-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                  | CANADIAN NATL RESOURCES LTD 6.25% 03/15/2038                                                        | CUSIP: 136385AL5<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    5441000 | PA      | $5843745.49    | 0.01%             | 2038-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR INC                                                                 | CATERPILLAR INC 5.3% 09/15/2035                                                                     | CUSIP: 149123BL4<br>LEI: WRJR7GS4GTRECRRTVX92 | Long             | DBT              | CORP              | US        |    5561000 | PA      | $5881507.01    | 0.01%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR INC                                                                 | CATERPILLAR INC 3.803% 08/15/2042                                                                   | CUSIP: 149123CB5<br>LEI: WRJR7GS4GTRECRRTVX92 | Long             | DBT              | CORP              | US        |    1986000 | PA      | $1688209.23    | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                             | COMMONSPIRIT HEALTH 4.35% 11/01/2042                                                                | CUSIP: 14916RAD6<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1385837.21    | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                              | CENOVUS ENERGY INC 6.75% 11/15/2039                                                                 | CUSIP: 15135UAF6<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     457000 | PA      | $509376.08     | 0.00%             | 2039-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY HOUSTON ELECTRIC LLC                                         | CENTERPOINT ENERGY HOUSTON ELECTRIC LLC 3.55% 08/01/2042                                            | CUSIP: 15189XAM0<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    1509000 | PA      | $1218095.96    | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO IL OHARE INTL ARPT REV                                                  | CHICAGO ILL O HARE INTL ARPT BUILD AMERICA BONDS                                                    | CUSIP: 167593AN2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    7250000 | PA      | $8181628.63    | 0.01%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHILDREN'S HOSPITAL MEDICAL CENTER/CINCINNATI OH                                | CHILDRENS HOSP MED CTR 4.268% 05/15/2044                                                            | CUSIP: 16876AAA2<br>LEI: 549300EKVCKSAOOWU002 | Long             | DBT              | CORP              | US        |    2637000 | PA      | $2349228.67    | 0.00%             | 2044-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                               | CHILE REPUBLIC OF 3.625% 10/30/2042                                                                 | CUSIP: 168863BP2<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   10385000 | PA      | $8557240.00    | 0.01%             | 2042-10-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHUBB CORP                                                                      | CHUBB CORP 6.5% 05/15/2038                                                                          | CUSIP: 171232AS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2788000 | PA      | $3168155.76    | 0.00%             | 2038-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CISCO SYSTEMS INC                                                               | CISCO SYSTEMS INC 5.9% 02/15/2039                                                                   | CUSIP: 17275RAD4<br>LEI: 8E6NF1YAL0WT6CWXXV93 | Long             | DBT              | CORP              | US        |    9863000 | PA      | $10766327.51   | 0.02%             | 2039-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 8.125% 07/15/2039                                                                     | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6356000 | PA      | $8220564.13    | 0.01%             | 2039-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 5.875% 01/30/2042                                                                     | CUSIP: 172967FX4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    4328000 | PA      | $4606490.05    | 0.01%             | 2042-01-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 5.3% 05/06/2044                                                                       | CUSIP: 172967HS3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1550609.55    | 0.00%             | 2044-05-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.45% 09/29/2027                                                                      | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   28129000 | PA      | $28266964.59   | 0.04%             | 2027-09-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| CITIBANK CR CARD ISSUANCE TR                                                    | CITIBANK CR CARD ISSUANCE TR 2007-A3 A3 6.15% 06/15/2039                                            | CUSIP: 17305EDT9<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-CBDO         | CORP              | US        |    9616000 | PA      | $10741923.98   | 0.02%             | 2039-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | COMCAST CORP 4.4% 08/15/2035                                                                        | CUSIP: 20030NBP5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $7401547.23    | 0.01%             | 2035-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| COMERICA INC                                                                    | COMERICA INC 3.8% 07/22/2026                                                                        | CUSIP: 200340AQ0<br>LEI: I9Q57JVPWHHZ3ZGBW498 | Long             | DBT              | CORP              | US        |    2899000 | PA      | $2887262.47    | 0.00%             | 2026-07-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                          | COMMONWEALTH EDISON CO 3.7% 03/01/2045                                                              | CUSIP: 202795JF8<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    2462000 | PA      | $1958820.55    | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS INC                                                              | CONOCOPHILLIPS INC 6.5% 02/01/2039                                                                  | CUSIP: 20825CAQ7<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | DBT              | CORP              | US        |    5981000 | PA      | $6799665.40    | 0.01%             | 2039-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                          | CONSOLIDATED EDISON CO OF NY 5.5% 12/01/2039                                                        | CUSIP: 209111EY5<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    1986000 | PA      | $2047974.90    | 0.00%             | 2039-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                          | CONSOLIDATED EDISON CO OF NY 4.45% 03/15/2044                                                       | CUSIP: 209111FD0<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    6356000 | PA      | $5622003.91    | 0.01%             | 2044-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                        | COOPERATIEVE RABOBANK UA 5.25% 05/24/2041                                                           | CUSIP: 21685WCJ4<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    4583000 | PA      | $4636733.20    | 0.01%             | 2041-05-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CORNING INC                                                                     | CORNING INC 4.75% 03/15/2042                                                                        | CUSIP: 219350AW5<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |    3972000 | PA      | $3691277.19    | 0.01%             | 2042-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                                         | MERCEDES-BENZ FINANCE NORTH AMERICA LLC 8.5% 01/18/2031                                             | CUSIP: 233835AQ0<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2383509.42    | 0.00%             | 2031-01-18      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| DANAHER CORP                                                                    | DANAHER CORP 4.375% 09/15/2045                                                                      | CUSIP: 235851AR3<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | DBT              | CORP              | US        |    1883000 | PA      | $1678466.30    | 0.00%             | 2045-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEERE and CO                                                                    | DEERE and CO 5.375% 10/16/2029                                                                      | CUSIP: 244199BD6<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |     795000 | PA      | $838594.76     | 0.00%             | 2029-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DEERE and CO                                                                    | DEERE and CO 3.9% 06/09/2042                                                                        | CUSIP: 244199BF1<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6104915.46    | 0.01%             | 2042-06-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| DELMARVA POWER and LIGHT                                                        | DELMARVA POWER and LIGHT 4% 06/01/2042                                                              | CUSIP: 247109BR1<br>LEI: NJ98T8DDD027ZFXUDB24 | Long             | DBT              | CORP              | US        |    3177000 | PA      | $2682351.17    | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORP NEW                                                           | DEVON ENERGY CORP NEW 5.6% 07/15/2041                                                               | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    2283000 | PA      | $2227570.18    | 0.00%             | 2041-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORP NEW                                                           | DEVON ENERGY CORP NEW 5% 06/15/2045                                                                 | CUSIP: 25179MAU7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   13220000 | PA      | $11567024.87   | 0.02%             | 2045-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| TWDC ENTERPRISES 18 CORP                                                        | TWDC ENTERPRISES 18 CORP 4.375% 08/16/2041                                                          | CUSIP: 25468PCP9<br>LEI: 7260JQNI6SCF9FIV2392 | Long             | DBT              | CORP              | US        |    5200000 | PA      | $4724617.46    | 0.01%             | 2041-08-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TWDC ENTERPRISES 18 CORP                                                        | TWDC ENTERPRISES 18 CORP 4.125% 06/01/2044                                                          | CUSIP: 25468PDB9<br>LEI: 7260JQNI6SCF9FIV2392 | Long             | DBT              | CORP              | US        |    4528000 | PA      | $3876045.93    | 0.01%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                             | DOMINION ENERGY INC 4.9% 08/01/2041                                                                 | CUSIP: 25746UBM0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1484407.70    | 0.00%             | 2041-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO                                                                 | DOW CHEMICAL CO 9.4% 05/15/2039                                                                     | CUSIP: 260543BY8<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |    2383000 | PA      | $3109654.53    | 0.00%             | 2039-05-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: —       |
| DOW CHEMICAL CO                                                                 | DOW CHEMICAL CO 4.375% 11/15/2042                                                                   | CUSIP: 260543CG6<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |    3872000 | PA      | $3126908.68    | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                      | DCP MIDSTREAM OPER LP 8.125% 08/16/2030                                                             | CUSIP: 26439XAC7<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2310302.08    | 0.00%             | 2030-08-16      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                            | DUKE ENERGY CORP NEW 4.8% 12/15/2045                                                                | CUSIP: 26441CAP0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    2216000 | PA      | $1995718.23    | 0.00%             | 2045-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                       | DUKE ENERGY CAROLINAS LLC 6% 01/15/2038                                                             | CUSIP: 26442CAB0<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1957620.65    | 0.00%             | 2038-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                       | DUKE ENERGY CAROLINAS LLC 4% 09/30/2042                                                             | CUSIP: 26442CAN4<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    2979000 | PA      | $2541729.33    | 0.00%             | 2042-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                       | DUKE ENERGY CAROLINAS LLC 3.75% 06/01/2045                                                          | CUSIP: 26442CAP9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1270393.36    | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                        | DUKE ENERGY PROGRESS LLC 4.375% 03/30/2044                                                          | CUSIP: 26442RAB7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1387653.03    | 0.00%             | 2044-03-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                        | DUKE ENERGY PROGRESS LLC 4.15% 12/01/2044                                                           | CUSIP: 26442RAD3<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1430000 | PA      | $1211831.58    | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EASTMAN CHEMICAL CO                                                             | EASTMAN CHEMICAL CO 4.65% 10/15/2044                                                                | CUSIP: 277432AP5<br>LEI: FDPVHDGJ1IQZFK9KH630 | Long             | DBT              | CORP              | US        |    2383000 | PA      | $2042982.43    | 0.00%             | 2044-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| EATON CORP                                                                      | EATON CORP 4% 11/02/2032                                                                            | CUSIP: 278062AD6<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |    1509000 | PA      | $1487579.32    | 0.00%             | 2032-11-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EATON CORP                                                                      | EATON CORP 4.15% 11/02/2042                                                                         | CUSIP: 278062AE4<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |    1509000 | PA      | $1334396.60    | 0.00%             | 2042-11-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EBAY INC                                                                        | EBAY INC 4% 07/15/2042                                                                              | CUSIP: 278642AF0<br>LEI: OML71K8X303XQONU6T67 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $3497794.36    | 0.01%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| KINDER MORGAN ENERGY PARTNERS LP                                                | KINDER MORGAN ENERGY PTNRS LP 4.7% 11/01/2042                                                       | CUSIP: 28370TAF6<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    3019000 | PA      | $2676740.41    | 0.00%             | 2042-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                     | OVINTIV INC 6.5% 02/01/2038                                                                         | CUSIP: 292505AG9<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |    7055000 | PA      | $7442227.93    | 0.01%             | 2038-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 5.15% 03/15/2045                                                                 | CUSIP: 29273RBF5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    6356000 | PA      | $5683010.19    | 0.01%             | 2045-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | ENTERPRISE PRODS OPER LLC 7.55% 04/15/2038                                                          | CUSIP: 29379VAM5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1935287.21    | 0.00%             | 2038-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | ENTERPRISE PRODS OPER LLC 5.7% 02/15/2042                                                           | CUSIP: 29379VAV5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1635341.74    | 0.00%             | 2042-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | ENTERPRISE PRODS OPER LLC 4.85% 08/15/2042                                                          | CUSIP: 29379VAW3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1986000 | PA      | $1858167.02    | 0.00%             | 2042-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | ENTERPRISE PRODS OPER LLC 4.85% 03/15/2044                                                          | CUSIP: 29379VBA0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    3972000 | PA      | $3688797.11    | 0.01%             | 2044-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | ENTERPRISE PRODS OPER LLC 3.7% 02/15/2026                                                           | CUSIP: 29379VBH5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1405000 | PA      | $1403215.23    | 0.00%             | 2026-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | ENTERPRISE PRODS OPER LLC 4.9% 05/15/2046                                                           | CUSIP: 29379VBJ1<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3135069.14    | 0.00%             | 2046-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                             | CONSTELLATION ENERGY GENERATION LLC 6.25% 10/01/2039                                                | CUSIP: 30161MAG8<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2191383.32    | 0.00%             | 2039-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORP                                                                | EXXON MOBIL CORP 3.567% 03/06/2045                                                                  | CUSIP: 30231GAN2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    5282000 | PA      | $4203918.50    | 0.01%             | 2045-03-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 3/34 #G01665                                                                             | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     507543 | PA      | $526458.70     | 0.00%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 5.0% 03/01/2027#G30321                                                                    | CUSIP: 3128CULA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        507 | PA      | $507.61        | 0.00%             | 2027-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 07/01/2028#G30414                                                                    | CUSIP: 3128CUN77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3964 | PA      | $4015.85       | 0.00%             | 2028-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 5.5% 11/01/2028#G30432                                                                    | CUSIP: 3128CUPR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7033 | PA      | $7132.49       | 0.00%             | 2028-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 10/01/2026#G30477                                                                    | CUSIP: 3128CUQ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.52          | 0.00%             | 2026-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 05/01/2029#G30459                                                                    | CUSIP: 3128CUQL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $2.69          | 0.00%             | 2029-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 04/01/2027#D97258                                                                    | CUSIP: 3128E4B35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        346 | PA      | $350.27        | 0.00%             | 2027-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 4% 08/01/2031#D98743                                                                      | CUSIP: 3128E5WC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14307 | PA      | $14267.71      | 0.00%             | 2031-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.03% 12/35 #847473                                                                        | CUSIP: 3128JRJS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     301142 | PA      | $307626.31     | 0.00%             | 2035-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 05/01/2036#A48531                                                                    | CUSIP: 3128K9PQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3295 | PA      | $3433.61       | 0.00%             | 2036-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 05/01/2036#A49049                                                                    | CUSIP: 3128KABS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21908 | PA      | $22736.77      | 0.00%             | 2036-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 05/01/2036#A49143                                                                    | CUSIP: 3128KAEQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3869 | PA      | $4028.65       | 0.00%             | 2036-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 07/01/2036#A50765                                                                    | CUSIP: 3128KCZ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2561 | PA      | $2619.64       | 0.00%             | 2036-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 10/01/2036#A53040                                                                    | CUSIP: 3128KFLV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4326 | PA      | $4501.01       | 0.00%             | 2036-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.50% 11/36 #A54094                                                                            | CUSIP: 3128KGRP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5193 | PA      | $5558.90       | 0.00%             | 2036-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 01/01/2037#                                                                          | CUSIP: 3128KJXD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15762 | PA      | $16419.47      | 0.00%             | 2037-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 03/01/2037#A57604                                                                    | CUSIP: 3128KLNV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        771 | PA      | $788.85        | 0.00%             | 2037-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 02/01/2037#A57714                                                                    | CUSIP: 3128KLSB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23419 | PA      | $23961.29      | 0.00%             | 2037-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 03/01/2037#A58602                                                                    | CUSIP: 3128KMRX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5441 | PA      | $5567.60       | 0.00%             | 2037-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 05/01/2037#                                                                          | CUSIP: 3128KQBR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2592 | PA      | $2698.42       | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 05/01/2037#A60352                                                                    | CUSIP: 3128KQL95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        419 | PA      | $436.49        | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 06/01/2037#A61766                                                                    | CUSIP: 3128KR6B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6715 | PA      | $6873.22       | 0.00%             | 2037-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 11/37 #A68546                                                                            | CUSIP: 3128L0P71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43182 | PA      | $44923.98      | 0.00%             | 2037-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.50% 12/37 #A69121                                                                            | CUSIP: 3128L1D23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8729 | PA      | $9356.38       | 0.00%             | 2037-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 12/37 #A69653                                                                            | CUSIP: 3128L1WN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3448 | PA      | $3598.18       | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 02/01/2038#                                                                          | CUSIP: 3128L6BS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9596 | PA      | $10008.67      | 0.00%             | 2038-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLM 5.00% 3/38 #A73705                                                                             | CUSIP: 3128L7DJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34886 | PA      | $35706.89      | 0.00%             | 2038-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 02/01/2038#A73952                                                                    | CUSIP: 3128L7L96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8445 | PA      | $8645.21       | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 04/01/2038#                                                                            | CUSIP: 3128L8Y33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        501 | PA      | $512.21        | 0.00%             | 2038-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 04/01/2038#A75789                                                                    | CUSIP: 3128L9NE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     145408 | PA      | $148949.86     | 0.00%             | 2038-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 4/38 #A76485                                                                             | CUSIP: 3128LAF21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11682 | PA      | $11968.14      | 0.00%             | 2038-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 04/01/2038#A76566                                                                    | CUSIP: 3128LAJK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17451 | PA      | $18195.98      | 0.00%             | 2038-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 06/01/2038#A78032                                                                    | CUSIP: 3128LB4R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85010 | PA      | $88678.45      | 0.00%             | 2038-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 04/01/2038#A77293                                                                    | CUSIP: 3128LBC63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        515 | PA      | $527.48        | 0.00%             | 2038-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 06/01/2038#                                                                            | CUSIP: 3128LBR42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18983 | PA      | $19430.77      | 0.00%             | 2038-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 5/38 #A77808                                                                             | CUSIP: 3128LBU97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7134 | PA      | $7446.85       | 0.00%             | 2038-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.50% 9/37 #A78968                                                                             | CUSIP: 3128LC6D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5987 | PA      | $6363.55       | 0.00%             | 2037-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 6/38 #A78227                                                                             | CUSIP: 3128LCD86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18785 | PA      | $19596.68      | 0.00%             | 2038-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 06/01/2038#                                                                            | CUSIP: 3128LCNW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     242566 | PA      | $248402.68     | 0.00%             | 2038-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 06/01/2038#                                                                            | CUSIP: 3128LCNX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36488 | PA      | $37346.44      | 0.00%             | 2038-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 6/38 #A78623                                                                             | CUSIP: 3128LCSL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13050 | PA      | $13629.72      | 0.00%             | 2038-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 06/01/2038#                                                                          | CUSIP: 3128LCSM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10172 | PA      | $10598.53      | 0.00%             | 2038-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 07/01/2038#                                                                          | CUSIP: 3128LCYB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8816 | PA      | $9188.22       | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 5/35 #G01818                                                                             | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     386403 | PA      | $394837.06     | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 10/01/2035#G01918                                                                    | CUSIP: 3128LXDX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52650 | PA      | $54771.44      | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 5/36 #G02162                                                                             | CUSIP: 3128LXMK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8681 | PA      | $9032.94       | 0.00%             | 2036-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 7/36 #G02252                                                                             | CUSIP: 3128LXQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158256 | PA      | $164842.68     | 0.00%             | 2036-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 8/37 #G03180                                                                             | CUSIP: 3128M42M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17391 | PA      | $17791.64      | 0.00%             | 2037-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 03/01/2037#G02788                                                                    | CUSIP: 3128M4ND1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4171 | PA      | $4341.60       | 0.00%             | 2037-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 5/37 #G02793                                                                             | CUSIP: 3128M4NJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5811 | PA      | $5943.43       | 0.00%             | 2037-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 5/37 #G02834                                                                             | CUSIP: 3128M4PT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8834 | PA      | $9203.16       | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 6/37 #G03054                                                                             | CUSIP: 3128M4WP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7798 | PA      | $7977.10       | 0.00%             | 2037-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 4/38 #G04121                                                                             | CUSIP: 3128M54E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8354 | PA      | $8711.19       | 0.00%             | 2038-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 5/38 #G04176                                                                             | CUSIP: 3128M56M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7551 | PA      | $7876.99       | 0.00%             | 2038-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.50% 10/37 #G03620                                                                            | CUSIP: 3128M5K90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10138 | PA      | $10862.77      | 0.00%             | 2037-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 2/38 #G03854                                                                             | CUSIP: 3128M5TK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91022 | PA      | $93219.58      | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 03/01/2038#G04012                                                                    | CUSIP: 3128M5YH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17685 | PA      | $18458.73      | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 5/38 #G04214                                                                             | CUSIP: 3128M6AP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167362 | PA      | $174660.31     | 0.00%             | 2038-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 4/38 #G04219                                                                             | CUSIP: 3128M6AU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99521 | PA      | $103833.89     | 0.00%             | 2038-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 4/38 #G04222                                                                             | CUSIP: 3128M6AX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7174 | PA      | $7475.27       | 0.00%             | 2038-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 4/38 #G04334                                                                             | CUSIP: 3128M6EF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176294 | PA      | $180496.22     | 0.00%             | 2038-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 7/38 #G04448                                                                             | CUSIP: 3128M6HZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5370 | PA      | $5602.61       | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 8/38 #G04488                                                                             | CUSIP: 3128M6J90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44113 | PA      | $45167.08      | 0.00%             | 2038-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 7/38 #G04468                                                                             | CUSIP: 3128M6JM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2858 | PA      | $2925.97       | 0.00%             | 2038-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 8/38 #G04587                                                                             | CUSIP: 3128M6NC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8085 | PA      | $8436.58       | 0.00%             | 2038-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 9/38 #G04684                                                                             | CUSIP: 3128M6RD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8361 | PA      | $8729.71       | 0.00%             | 2038-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 08/01/2038#                                                                          | CUSIP: 3128M6SD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4623 | PA      | $4815.79       | 0.00%             | 2038-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 9/38 #G04729                                                                             | CUSIP: 3128M6SS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     118129 | PA      | $123285.99     | 0.00%             | 2038-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 9/38 #G04773                                                                             | CUSIP: 3128M6T65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1479 | PA      | $1492.27       | 0.00%             | 2038-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 09/01/2038#                                                                          | CUSIP: 3128M6TT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16237 | PA      | $16949.03      | 0.00%             | 2038-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 1/36 #G04794                                                                             | CUSIP: 3128M6UT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     116315 | PA      | $121001.93     | 0.00%             | 2036-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 9/38 #G04817                                                                             | CUSIP: 3128M6VJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     732830 | PA      | $750402.06     | 0.00%             | 2038-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 10/38 #G04832                                                                            | CUSIP: 3128M6VZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15397 | PA      | $15766.50      | 0.00%             | 2038-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 3/38 #G04913                                                                             | CUSIP: 3128M6YJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2342 | PA      | $2394.83       | 0.00%             | 2038-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 11/38 #G04951                                                                            | CUSIP: 3128M6ZQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36889 | PA      | $37763.23      | 0.00%             | 2038-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 07/01/2039#G05922                                                                    | CUSIP: 3128M74F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6450 | PA      | $6721.65       | 0.00%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2040#G05936                                                                    | CUSIP: 3128M74V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3368 | PA      | $3326.28       | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 8/40 #G05955                                                                             | CUSIP: 3128M75Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1068353 | PA      | $1095500.81    | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 8/40 #G05969                                                                             | CUSIP: 3128M76E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     382479 | PA      | $391852.76     | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 12/38 #G05132                                                                            | CUSIP: 3128M7A97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     346930 | PA      | $355126.29     | 0.00%             | 2038-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 1/39 #G05181                                                                             | CUSIP: 3128M7CS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21935 | PA      | $22866.32      | 0.00%             | 2039-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 9/38 #G05188                                                                             | CUSIP: 3128M7CZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        904 | PA      | $925.14        | 0.00%             | 2038-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 01/01/2037#G05259                                                                    | CUSIP: 3128M7E85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11631 | PA      | $12099.93      | 0.00%             | 2037-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 1/39 #G05249                                                                             | CUSIP: 3128M7EW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2017 | PA      | $2065.25       | 0.00%             | 2039-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 03/01/2039#G05341                                                                    | CUSIP: 3128M7HS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12523 | PA      | $12829.32      | 0.00%             | 2039-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 01/01/2039#G05342                                                                    | CUSIP: 3128M7HT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8165 | PA      | $8361.45       | 0.00%             | 2039-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 12/35 #G05367                                                                            | CUSIP: 3128M7JL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6218 | PA      | $6473.69       | 0.00%             | 2035-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 12/01/2036#G05408                                                                    | CUSIP: 3128M7KV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43854 | PA      | $44861.47      | 0.00%             | 2036-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 3/39 #G05409                                                                             | CUSIP: 3128M7KW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1090410 | PA      | $1137221.44    | 0.00%             | 2039-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 2/39 #G05452                                                                             | CUSIP: 3128M7L95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12223 | PA      | $12747.10      | 0.00%             | 2039-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 5/39 #G05457                                                                             | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     551656 | PA      | $556519.49     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 2/39 #G05507                                                                             | CUSIP: 3128M7NY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9599 | PA      | $9830.43       | 0.00%             | 2039-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 7/39 #G05527                                                                             | CUSIP: 3128M7PL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     305112 | PA      | $301479.28     | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 01/01/2038#G05599                                                                    | CUSIP: 3128M7RU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18868 | PA      | $19621.29      | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 01/01/2038#G05613                                                                    | CUSIP: 3128M7SA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9050 | PA      | $9415.26       | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 9/39 #G05651                                                                             | CUSIP: 3128M7TG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     488289 | PA      | $500123.32     | 0.00%             | 2039-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 25YR 5.50% 7/35 #G05815                                                                        | CUSIP: 3128M7YL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     321497 | PA      | $333265.27     | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 3/39 #G05852                                                                             | CUSIP: 3128M7ZR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30916 | PA      | $32291.14      | 0.00%             | 2039-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 01/01/2037#G06870                                                                    | CUSIP: 3128M86F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8516 | PA      | $8706.91       | 0.00%             | 2037-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 01/01/2042#G06892                                                                    | CUSIP: 3128M87D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90554 | PA      | $89247.72      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 12/39 #G06020                                                                            | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112234 | PA      | $117116.97     | 0.00%             | 2039-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/2040#G06056                                                                    | CUSIP: 3128M8BZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157885 | PA      | $155779.72     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.00% 8/37 #G06089                                                                             | CUSIP: 3128M8C28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23464 | PA      | $24809.41      | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 01/01/2041#                                                                            | CUSIP: 3128M8G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     290618 | PA      | $286719.50     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 5/40 #G06193                                                                             | CUSIP: 3128M8GA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8385 | PA      | $8747.19       | 0.00%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 12/01/2040#G06197                                                                    | CUSIP: 3128M8GE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16635 | PA      | $16403.48      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 5/40 #G06209                                                                             | CUSIP: 3128M8GS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8645 | PA      | $9018.75       | 0.00%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 12/40 #G06231                                                                            | CUSIP: 3128M8HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13810 | PA      | $13624.39      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 06/01/2041#G07794                                                                    | CUSIP: 3128M97F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     368878 | PA      | $384355.59     | 0.00%             | 2041-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 8/40 #G06990                                                                             | CUSIP: 3128M9C34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33264 | PA      | $34706.41      | 0.00%             | 2040-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 08/01/2038#G06991                                                                    | CUSIP: 3128M9C42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12909 | PA      | $13448.88      | 0.00%             | 2038-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 09/01/2039#G07021                                                                    | CUSIP: 3128M9D25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     649287 | PA      | $664857.16     | 0.00%             | 2039-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 04/01/2039#G07519                                                                    | CUSIP: 3128M9VL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79686 | PA      | $83116.72      | 0.00%             | 2039-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 08/01/2043#G07550                                                                    | CUSIP: 3128M9WK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83183 | PA      | $77153.33      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 10/01/2043#G07551                                                                    | CUSIP: 3128M9WL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38238 | PA      | $35376.09      | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 01/01/2041#G07605                                                                    | CUSIP: 3128M9YA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44626 | PA      | $46554.12      | 0.00%             | 2041-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 07/01/2029#G15145                                                                    | CUSIP: 3128MD5E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     354701 | PA      | $349924.55     | 0.00%             | 2029-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 10/01/2034#G08014                                                                    | CUSIP: 3128MJAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        399 | PA      | $407.53        | 0.00%             | 2034-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 02/01/2036#                                                                          | CUSIP: 3128MJDR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3636 | PA      | $3781.37       | 0.00%             | 2036-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.50% 5/38 #G08269                                                                             | CUSIP: 3128MJJP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6728 | PA      | $7020.99       | 0.00%             | 2038-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 2/39 #G08323                                                                             | CUSIP: 3128MJLD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     332667 | PA      | $340808.39     | 0.00%             | 2039-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 7/39 #G08353                                                                             | CUSIP: 3128MJMB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     690172 | PA      | $695979.86     | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 11/39 #G08372                                                                            | CUSIP: 3128MJMW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1770347 | PA      | $1785203.57    | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 8/40 #G08417                                                                             | CUSIP: 3128MJPB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38636 | PA      | $39617.51      | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 10/01/2042#G08508                                                                    | CUSIP: 3128MJR69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     132538 | PA      | $126606.73     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 07/01/2043#G08537                                                                    | CUSIP: 3128MJS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8849758 | PA      | $8190497.23    | 0.01%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2043#G08538                                                                    | CUSIP: 3128MJS43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97206 | PA      | $92561.45      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 08/01/2043#G08540                                                                    | CUSIP: 3128MJS68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106844 | PA      | $98848.18      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2043#G08541                                                                    | CUSIP: 3128MJS76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     261595 | PA      | $248949.70     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 05/01/2043#G08525                                                                    | CUSIP: 3128MJSP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4434368 | PA      | $4104927.24    | 0.01%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 06/01/2043#G08534                                                                    | CUSIP: 3128MJSY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     269575 | PA      | $249571.39     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2044#G08572                                                                    | CUSIP: 3128MJT67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2236 | PA      | $2124.45       | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2044#G08573                                                                    | CUSIP: 3128MJT75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3731066 | PA      | $3657634.17    | 0.01%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 09/01/2043#G08544                                                                    | CUSIP: 3128MJTA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     919786 | PA      | $850603.33     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2043#G08552                                                                    | CUSIP: 3128MJTJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     334956 | PA      | $337014.19     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 11/01/2043#G08558                                                                    | CUSIP: 3128MJTQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10000 | PA      | $9806.69       | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 08/01/2044#G08601                                                                    | CUSIP: 3128MJU32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1423431 | PA      | $1394343.96    | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2044#G08606                                                                    | CUSIP: 3128MJU81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     118783 | PA      | $116342.64     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/01/2044#                                                                          | CUSIP: 3128MJU99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42673 | PA      | $42947.36      | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2044#G08578                                                                    | CUSIP: 3128MJUC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2560 | PA      | $2575.58       | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2044#G08595                                                                    | CUSIP: 3128MJUV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     747717 | PA      | $732524.15     | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2044#G08599                                                                    | CUSIP: 3128MJUZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5221 | PA      | $4948.65       | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2045#G08632                                                                    | CUSIP: 3128MJV23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1070052 | PA      | $1011846.19    | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 04/01/2045#G08635                                                                    | CUSIP: 3128MJV56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     615120 | PA      | $564473.54     | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2044#G08615                                                                    | CUSIP: 3128MJVH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     282949 | PA      | $267980.17     | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/01/2044#G08620                                                                    | CUSIP: 3128MJVN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4505 | PA      | $4264.29       | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 01/01/2045#G08622                                                                    | CUSIP: 3128MJVQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     998565 | PA      | $917339.48     | 0.00%             | 2045-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2045#G08623                                                                    | CUSIP: 3128MJVR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5945 | PA      | $5626.45       | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 01/01/45#G08624                                                                      | CUSIP: 3128MJVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214170 | PA      | $209617.00     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2045#G08627                                                                    | CUSIP: 3128MJVV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5179847 | PA      | $4901334.17    | 0.01%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 03/01/2045#G08631                                                                    | CUSIP: 3128MJVZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     484754 | PA      | $445132.60     | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 09/01/2045#G08666                                                                    | CUSIP: 3128MJW48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7895 | PA      | $7235.99       | 0.00%             | 2045-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.5% 09/45#G08667                                                                              | CUSIP: 3128MJW55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1708279 | PA      | $1613135.55    | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/45#G08669                                                                         | CUSIP: 3128MJW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5544195 | PA      | $5420240.29    | 0.01%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 10/01/2045#G08671                                                                    | CUSIP: 3128MJW97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4003904 | PA      | $3780144.74    | 0.01%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 05/01/2045#G08640                                                                    | CUSIP: 3128MJWA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1478077 | PA      | $1355895.81    | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 06/01/2045#G08648                                                                    | CUSIP: 3128MJWJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3959193 | PA      | $3630750.66    | 0.01%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 07/01/2045#G08653                                                                    | CUSIP: 3128MJWP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6323038 | PA      | $5795947.51    | 0.01%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/45#G08654                                                                      | CUSIP: 3128MJWQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7235376 | PA      | $6834872.16    | 0.01%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/45#G08659                                                                      | CUSIP: 3128MJWV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3713457 | PA      | $3505746.55    | 0.01%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 08/01/2045#G08660                                                                    | CUSIP: 3128MJWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19614 | PA      | $19177.67      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/45#G08672                                                                         | CUSIP: 3128MJXA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2579467 | PA      | $2521291.53    | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2045#G08676                                                                    | CUSIP: 3128MJXE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4835 | PA      | $4565.71       | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 04/01/2029#G18508                                                                    | CUSIP: 3128MMR62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10570 | PA      | $10430.08      | 0.00%             | 2029-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 09/01/2028#G18481                                                                    | CUSIP: 3128MMRB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67114 | PA      | $66350.88      | 0.00%             | 2028-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 10/01/2028#G18484                                                                    | CUSIP: 3128MMRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     733408 | PA      | $724870.36     | 0.00%             | 2028-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 01/01/2030#G18536                                                                    | CUSIP: 3128MMS20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33628 | PA      | $32901.25      | 0.00%             | 2030-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 02/30#G18541                                                                           | CUSIP: 3128MMS79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11394 | PA      | $11218.50      | 0.00%             | 2030-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 10/29#G18527                                                                           | CUSIP: 3128MMSR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107990 | PA      | $106428.27     | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 10/01/2029#G18529                                                                    | CUSIP: 3128MMST1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     327786 | PA      | $321067.41     | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 11/29#G18531                                                                           | CUSIP: 3128MMSV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22419 | PA      | $22083.64      | 0.00%             | 2029-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 12/29#G18534                                                                           | CUSIP: 3128MMSY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1158198 | PA      | $1140893.24    | 0.00%             | 2029-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 09/01/2030#G18569                                                                    | CUSIP: 3128MMT37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     551424 | PA      | $542072.02     | 0.00%             | 2030-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 03/01/2030#G18546                                                                    | CUSIP: 3128MMTC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7475 | PA      | $7424.53       | 0.00%             | 2030-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 04/01/2030#G18549                                                                    | CUSIP: 3128MMTF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14861 | PA      | $14523.73      | 0.00%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 05/30#G18552                                                                           | CUSIP: 3128MMTJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12177 | PA      | $11981.32      | 0.00%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 06/01/2030#G18556                                                                    | CUSIP: 3128MMTN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     297081 | PA      | $290137.08     | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 06/30#G18557                                                                           | CUSIP: 3128MMTP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     572269 | PA      | $562937.19     | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 07/01/2030#G18560                                                                    | CUSIP: 3128MMTS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5340838 | PA      | $5214122.35    | 0.01%             | 2030-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 5.5% 06/01/2027#                                                                          | CUSIP: 3128P7EE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7182 | PA      | $7274.95       | 0.00%             | 2027-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 5.5% 02/01/2028#C91162                                                                    | CUSIP: 3128P7JF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        387 | PA      | $392.40        | 0.00%             | 2028-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 4/28 20YR #C91167                                                                        | CUSIP: 3128P7JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        452 | PA      | $454.72        | 0.00%             | 2028-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 5.00% 5/28 #C91175                                                                        | CUSIP: 3128P7JU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11332 | PA      | $11413.24      | 0.00%             | 2028-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 5.5% 05/01/2028#                                                                          | CUSIP: 3128P7JV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3497 | PA      | $3544.80       | 0.00%             | 2028-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 05/01/2029#C91246                                                                    | CUSIP: 3128P7L35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        505 | PA      | $510.29        | 0.00%             | 2029-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 4.50% 7/30 #C91309                                                                        | CUSIP: 3128P7N25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15308 | PA      | $15398.01      | 0.00%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 4.5% 02/01/2031#C91359                                                                    | CUSIP: 3128P7QL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16191 | PA      | $16302.88      | 0.00%             | 2031-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.50% 5/32 #C91447                                                                        | CUSIP: 3128P7TC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2737 | PA      | $2707.90       | 0.00%             | 2032-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4.0% 03/01/2026#J14732                                                                    | CUSIP: 3128PUHH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4966 | PA      | $4957.37       | 0.00%             | 2026-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 08/01/2027#J19969                                                                    | CUSIP: 3128Q1CE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25170 | PA      | $24951.97      | 0.00%             | 2027-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.44% 3/36 #1H2600                                                                         | CUSIP: 3128QLRV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     807314 | PA      | $817829.48     | 0.00%             | 2036-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.85% 9/37 #1Q0743                                                                         | CUSIP: 3128S4ZG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40039 | PA      | $41460.96      | 0.00%             | 2037-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 08/01/2038#A81264                                                                    | CUSIP: 312927MM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31782 | PA      | $32519.94      | 0.00%             | 2038-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 12/01/2038#                                                                            | CUSIP: 3129296L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10645 | PA      | $10903.28      | 0.00%             | 2038-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 11/01/2038#                                                                          | CUSIP: 312929JK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8768 | PA      | $9151.88       | 0.00%             | 2038-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 11/01/2038#A83067                                                                    | CUSIP: 312929MQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29987 | PA      | $30719.12      | 0.00%             | 2038-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.00% 4/32 #C01344                                                                             | CUSIP: 31292HP57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     178530 | PA      | $185572.85     | 0.00%             | 2032-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2040#C03520                                                                    | CUSIP: 31292K4D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119569 | PA      | $117970.75     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 12/40 #C03565                                                                            | CUSIP: 31292K6A0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31005 | PA      | $30568.69      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 12/01/2042#C04422                                                                    | CUSIP: 31292L4F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64331 | PA      | $59742.25      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.50% 4/42 #C03851                                                                             | CUSIP: 31292LH40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5077869 | PA      | $4855265.78    | 0.01%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 10/01/2042#C04272                                                                    | CUSIP: 31292LW92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78169 | PA      | $72449.03      | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2043#C09052                                                                    | CUSIP: 31292SBV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1120918 | PA      | $1127863.39    | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 04/01/2039#A85581                                                                    | CUSIP: 312932FW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1299 | PA      | $1332.22       | 0.00%             | 2039-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 08/01/2039#                                                                          | CUSIP: 3129343F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136241 | PA      | $142397.79     | 0.00%             | 2039-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 8/39 #A88026                                                                             | CUSIP: 3129344K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140967 | PA      | $142152.71     | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2039#A87333                                                                    | CUSIP: 312934EE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66048 | PA      | $65316.45      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 9/39 #A88347                                                                             | CUSIP: 312935HY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     481015 | PA      | $475187.80     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 9/39 #A88502                                                                             | CUSIP: 312935NT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15492 | PA      | $15880.73      | 0.00%             | 2039-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 11/01/2039#A89867                                                                    | CUSIP: 3129366C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41569 | PA      | $41071.58      | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 10/39 #A89179                                                                            | CUSIP: 312936FU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99335 | PA      | $100170.61     | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/2039#A89384                                                                    | CUSIP: 312936M95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1717096 | PA      | $1697167.15    | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 11/39 #A89729                                                                            | CUSIP: 312936Y27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176681 | PA      | $174433.39     | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 10/01/2039#A89732                                                                    | CUSIP: 312936Y50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6675 | PA      | $6838.86       | 0.00%             | 2039-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 1/40 #A90893                                                                             | CUSIP: 3129387E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50307 | PA      | $51554.79      | 0.00%             | 2040-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 12/01/2039#A90063                                                                    | CUSIP: 312938B85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83367 | PA      | $82294.36      | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2040#A91217                                                                    | CUSIP: 312939K67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10344 | PA      | $10229.27      | 0.00%             | 2040-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 03/01/2040#A91410                                                                    | CUSIP: 312939R78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4095 | PA      | $4039.52       | 0.00%             | 2040-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 06/01/2040#A92522                                                                    | CUSIP: 312940YT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74123 | PA      | $77435.27      | 0.00%             | 2040-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 7/40 #A92914                                                                             | CUSIP: 312941GX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88976 | PA      | $91129.57      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2040#A93012                                                                    | CUSIP: 312941KZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11183 | PA      | $11016.37      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 08/01/2040#A93346                                                                    | CUSIP: 312941WF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13751 | PA      | $14105.01      | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 4.0% 10/01/2040#A94484                                                                    | CUSIP: 3129426V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2442 | PA      | $2423.63       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 5.00% 9/40 #A93620                                                                             | CUSIP: 312942AV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114155 | PA      | $117081.87     | 0.00%             | 2040-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 4.0% 09/01/2040#A93666                                                                    | CUSIP: 312942CB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10154 | PA      | $10022.33      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 4.0% 09/01/2040#A93742                                                                    | CUSIP: 312942EP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2378 | PA      | $2344.93       | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 4.00% 9/40 #A93748                                                                             | CUSIP: 312942EV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12290 | PA      | $12130.86      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 4.0% 09/01/2040#A93990                                                                    | CUSIP: 312942NF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115419 | PA      | $113903.63     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 4.50% 9/40 #A94047                                                                             | CUSIP: 312942P82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     681883 | PA      | $687419.66     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 4.00% 10/40 #A94184                                                                            | CUSIP: 312942UH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     193264 | PA      | $190387.52     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2040#                                                                            | CUSIP: 312943B28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45463 | PA      | $44832.42      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/2040#A94604                                                                    | CUSIP: 312943DH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     196944 | PA      | $194165.65     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 10/40 #A94605                                                                            | CUSIP: 312943DJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83761 | PA      | $82650.71      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 10/40 #A94662                                                                            | CUSIP: 312943FB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     215038 | PA      | $216765.66     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 11/40 #A94713                                                                            | CUSIP: 312943GW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     298714 | PA      | $294610.59     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 11/40 #A95258                                                                            | CUSIP: 312943ZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7192 | PA      | $7091.14       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 1/41 #A96174                                                                             | CUSIP: 3129442F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66985 | PA      | $66063.01      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 11/01/2040#A96262                                                                    | CUSIP: 3129445X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87820 | PA      | $86813.46      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 01/01/2041#A96298                                                                    | CUSIP: 3129447K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54420 | PA      | $53681.65      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 12/01/2040#A95406                                                                    | CUSIP: 312944AF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16254 | PA      | $16038.47      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 12/01/2040#                                                                            | CUSIP: 312944E31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     569476 | PA      | $561920.89     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 12/01/2040#                                                                            | CUSIP: 312944FW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5028 | PA      | $4962.31       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 12/40 #A95803                                                                            | CUSIP: 312944NU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20246 | PA      | $19975.22      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 12/01/2040#A95825                                                                      | CUSIP: 312944PJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     389540 | PA      | $384262.97     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 01/01/2041#A96105                                                                    | CUSIP: 312944YA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2730 | PA      | $2693.71       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 1/41 #A96312                                                                             | CUSIP: 312945AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12266 | PA      | $12088.10      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 01/01/2041#A96385                                                                    | CUSIP: 312945CW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108984 | PA      | $107513.79     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 01/01/2041#A96413                                                                      | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     364724 | PA      | $359779.33     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 01/01/2041#A96483                                                                    | CUSIP: 312945FY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6208 | PA      | $6124.53       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2041#                                                                          | CUSIP: 312945JH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     464407 | PA      | $468267.90     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 2/41 #A96695                                                                             | CUSIP: 312945NL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94300 | PA      | $95030.21      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 2/41 #A96807                                                                             | CUSIP: 312945R42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     168110 | PA      | $165860.66     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2041#A96912                                                                    | CUSIP: 312945VD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     387597 | PA      | $382417.28     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2041#A96970                                                                    | CUSIP: 312945W79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29317 | PA      | $28895.59      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 2/41 #A97040                                                                             | CUSIP: 312945ZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     733239 | PA      | $723005.06     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/01/2041#                                                                            | CUSIP: 312946C79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12553 | PA      | $12379.61      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 03/01/2041#A97285                                                                    | CUSIP: 312946CW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2574 | PA      | $2537.29       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 03/01/2041#A97474                                                                    | CUSIP: 312946JT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7646 | PA      | $7536.95       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 10/01/2033#                                                                          | CUSIP: 31296PUP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7208 | PA      | $7477.04       | 0.00%             | 2033-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 01/01/2028#J22029                                                                    | CUSIP: 31307AHE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17126 | PA      | $16963.17      | 0.00%             | 2028-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 01/01/2028#J22134                                                                    | CUSIP: 31307ALP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2090 | PA      | $2070.21       | 0.00%             | 2028-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 02/01/2028#J22249                                                                    | CUSIP: 31307AQA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15676 | PA      | $15524.33      | 0.00%             | 2028-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 03/01/2028#J22901                                                                    | CUSIP: 31307BGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     537634 | PA      | $530353.14     | 0.00%             | 2028-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 04/01/2028#J23088                                                                    | CUSIP: 31307BND8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17551 | PA      | $17366.73      | 0.00%             | 2028-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 04/01/2028#J23455                                                                    | CUSIP: 31307BZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33729 | PA      | $33382.70      | 0.00%             | 2028-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 06/01/2028#J24428                                                                    | CUSIP: 31307C4M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74769 | PA      | $74001.16      | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 05/01/2028#J23810                                                                    | CUSIP: 31307CGT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35909 | PA      | $35552.73      | 0.00%             | 2028-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 07/01/2028#J24636                                                                    | CUSIP: 31307DEH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23044 | PA      | $22776.24      | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 07/01/2028#J24755                                                                    | CUSIP: 31307DH82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13922 | PA      | $13767.45      | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 07/01/2028#J24814                                                                    | CUSIP: 31307DK39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9800 | PA      | $9699.79       | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 08/01/2028#J24794                                                                    | CUSIP: 31307DKF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3670 | PA      | $3635.52       | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 08/01/2028#J24908                                                                    | CUSIP: 31307DNZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7764 | PA      | $7676.23       | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 07/01/2028#J24965                                                                    | CUSIP: 31307DQS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1651 | PA      | $1634.05       | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 08/01/2028#J25240                                                                    | CUSIP: 31307DZD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     231900 | PA      | $230606.80     | 0.00%             | 2028-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 10/01/2028#J25939                                                                    | CUSIP: 31307ES47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8888 | PA      | $8813.35       | 0.00%             | 2028-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 10/01/2028#J25967                                                                    | CUSIP: 31307ETY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12076 | PA      | $11933.39      | 0.00%             | 2028-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 10/01/2028#J26124                                                                    | CUSIP: 31307EYV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     569444 | PA      | $562966.47     | 0.00%             | 2028-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 01/29#J26920                                                                           | CUSIP: 31307FVM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1553 | PA      | $1534.20       | 0.00%             | 2029-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 08/01/2029#J29000                                                                    | CUSIP: 31307H7M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7137 | PA      | $7035.45       | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 06/01/2029#J28395                                                                    | CUSIP: 31307HKG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6325 | PA      | $6239.82       | 0.00%             | 2029-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 09/01/2029#J29420                                                                    | CUSIP: 31307JPD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64104 | PA      | $63118.00      | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 10/01/2029#J29450                                                                    | CUSIP: 31307JQB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75727 | PA      | $74650.43      | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 12/01/2029#J30162                                                                    | CUSIP: 31307LFB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     215138 | PA      | $213691.50     | 0.00%             | 2029-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 01/01/2030#J30279                                                                    | CUSIP: 31307LJY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102576 | PA      | $101927.94     | 0.00%             | 2030-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 01/01/2030#J30383                                                                    | CUSIP: 31307LM88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16663 | PA      | $16584.63      | 0.00%             | 2030-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 04/01/2030#J31379                                                                    | CUSIP: 31307MQ82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171731 | PA      | $170597.88     | 0.00%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 04/01/2030#J31442                                                                    | CUSIP: 31307MS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     252490 | PA      | $250612.60     | 0.00%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 06/30#J31837                                                                           | CUSIP: 31307NBE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29162 | PA      | $28699.30      | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 06/01/2030#J32030                                                                    | CUSIP: 31307NHF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     278716 | PA      | $276916.07     | 0.00%             | 2030-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 07/01/2030#J32178                                                                    | CUSIP: 31307NM35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3309 | PA      | $3228.92       | 0.00%             | 2030-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 07/01/2030#J32164                                                                    | CUSIP: 31307NMM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79597 | PA      | $77819.12      | 0.00%             | 2030-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 08/30#J32322                                                                           | CUSIP: 31307NSK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     949086 | PA      | $933596.19     | 0.00%             | 2030-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 08/30#J32392                                                                           | CUSIP: 31307NUR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48035 | PA      | $47186.14      | 0.00%             | 2030-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 02/01/2039#Z40045                                                                    | CUSIP: 3132FCBN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1149 | PA      | $1176.88       | 0.00%             | 2039-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/2041#Z40047                                                                    | CUSIP: 3132FCBQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6867 | PA      | $6772.78       | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/01/2042#Z40054                                                                      | CUSIP: 3132FCBX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     174876 | PA      | $172459.22     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2041#                                                                          | CUSIP: 3132GD2M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124270 | PA      | $125294.85     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 5/41 #Q00798                                                                             | CUSIP: 3132GD3F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3702 | PA      | $3647.85       | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 4/41 #Q00093                                                                             | CUSIP: 3132GDC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101440 | PA      | $100090.50     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 03/01/2041#                                                                            | CUSIP: 3132GDCR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     819115 | PA      | $807065.86     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 4/41 #Q00114                                                                             | CUSIP: 3132GDDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128021 | PA      | $129007.90     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2041#                                                                          | CUSIP: 3132GDGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     125075 | PA      | $126087.12     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 4/41 #Q00280                                                                             | CUSIP: 3132GDJZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17293 | PA      | $17048.98      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 5/41 #Q00736                                                                             | CUSIP: 3132GDY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133875 | PA      | $134904.55     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 5/41 #Q00753                                                                             | CUSIP: 3132GDZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136500 | PA      | $137591.13     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2041#Q01757                                                                    | CUSIP: 3132GE5S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     234748 | PA      | $231112.75     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 12/01/2040#Q01204                                                                    | CUSIP: 3132GEKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24889 | PA      | $24536.66      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 6/41 #Q01208                                                                             | CUSIP: 3132GEKV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87648 | PA      | $88383.26      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2041#                                                                          | CUSIP: 3132GEQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41193 | PA      | $41555.49      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 6/41 #Q01393                                                                             | CUSIP: 3132GERN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     125206 | PA      | $126258.35     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2041#                                                                          | CUSIP: 3132GESV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78576 | PA      | $79194.90      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2041#                                                                          | CUSIP: 3132GET67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103611 | PA      | $104431.18     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 7/41 #Q01947                                                                             | CUSIP: 3132GFEU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     503163 | PA      | $507131.64     | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 9/41 #Q03085                                                                             | CUSIP: 3132GJCW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16299 | PA      | $16056.39      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2041#Q03104                                                                    | CUSIP: 3132GJDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10392 | PA      | $10220.79      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 10/41 #Q03625                                                                            | CUSIP: 3132GJVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     651886 | PA      | $640862.98     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 10/41 #Q03643                                                                            | CUSIP: 3132GJWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1058304 | PA      | $1066704.54    | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 10/41 #Q04092                                                                            | CUSIP: 3132GKF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2297054 | PA      | $2263017.18    | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/2041#Q04096                                                                    | CUSIP: 3132GKGD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67486 | PA      | $66459.46      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 11/01/2041#Q04590                                                                    | CUSIP: 3132GKXT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21052 | PA      | $20709.84      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2041#Q04661                                                                    | CUSIP: 3132GKZ25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1089201 | PA      | $1098152.24    | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 1/42 #Q05601                                                                             | CUSIP: 3132GL3J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     908930 | PA      | $895285.33     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 12/01/2041#Q05017                                                                    | CUSIP: 3132GLG24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18984 | PA      | $18665.75      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2042#Q10116                                                                    | CUSIP: 3132HLDV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58681 | PA      | $56093.03      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 08/01/2042#Q10219                                                                    | CUSIP: 3132HLG49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86176 | PA      | $79962.87      | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2042#Q10392                                                                    | CUSIP: 3132HLNH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2115876 | PA      | $2020224.29    | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 10/01/2042#Q11836                                                                    | CUSIP: 3132HNBD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29465 | PA      | $28156.97      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 10/01/2042#Q12520                                                                    | CUSIP: 3132HNYR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55449 | PA      | $51585.00      | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 11/01/2042#Q13121                                                                    | CUSIP: 3132HPPE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15132 | PA      | $14874.56      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 02/01/2043#Q15773                                                                    | CUSIP: 3132J62F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1076552 | PA      | $997147.42     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 02/01/2043#Q15822                                                                    | CUSIP: 3132J64G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146824 | PA      | $136438.49     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 02/01/2043#Q15843                                                                    | CUSIP: 3132J65D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12180 | PA      | $11304.84      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 02/01/2043#Q15886                                                                    | CUSIP: 3132J66Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42730 | PA      | $39675.74      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2043#Q15105                                                                    | CUSIP: 3132J6DK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59585 | PA      | $56789.64      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 2/1/43 #Q15414                                                                         | CUSIP: 3132J6N83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     805851 | PA      | $750362.85     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 02/01/2043#Q15634                                                                    | CUSIP: 3132J6V43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     488630 | PA      | $454267.48     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 03/01/2043#Q16403                                                                    | CUSIP: 3132J7RZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95790 | PA      | $88842.03      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 03/01/2043#Q16567                                                                    | CUSIP: 3132J7W57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     322707 | PA      | $299017.18     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 04/01/2043#Q17451                                                                    | CUSIP: 3132J8WM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1802558 | PA      | $1671864.03    | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 05/01/2043#Q18481                                                                    | CUSIP: 3132J92P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18514 | PA      | $18155.25      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2043#Q17795                                                                    | CUSIP: 3132J9C97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     210383 | PA      | $200281.40     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 05/01/2043#Q17853                                                                    | CUSIP: 3132J9E38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     687327 | PA      | $636826.18     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 04/01/2043#Q17854                                                                    | CUSIP: 3132J9E46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15171 | PA      | $14044.86      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2043#Q17920                                                                    | CUSIP: 3132J9G69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1880966 | PA      | $1788118.06    | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2043#Q17996                                                                    | CUSIP: 3132J9KJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157410 | PA      | $149605.49     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 05/01/2043#Q18144                                                                    | CUSIP: 3132J9P69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     644626 | PA      | $598392.42     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2043#Q18306                                                                    | CUSIP: 3132J9U89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1873865 | PA      | $1782572.23    | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 05/01/2043#Q18454                                                                    | CUSIP: 3132J9ZU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     199788 | PA      | $185642.30     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 05/01/2043#Q18457                                                                    | CUSIP: 3132J9ZX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     373328 | PA      | $345701.58     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 06/01/2043#Q18845                                                                    | CUSIP: 3132JAHX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2293231 | PA      | $2127582.06    | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 06/01/2043#Q18846                                                                    | CUSIP: 3132JAHY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     397328 | PA      | $370197.07     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 06/01/2043#Q18869                                                                    | CUSIP: 3132JAJP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     277153 | PA      | $256982.36     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 06/01/2043#Q18926                                                                    | CUSIP: 3132JALG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36352 | PA      | $33647.01      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2043#Q19053                                                                    | CUSIP: 3132JAQF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22514 | PA      | $21422.68      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2043#Q19147                                                                    | CUSIP: 3132JATD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38319 | PA      | $36560.31      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 06/01/2043#Q19310                                                                    | CUSIP: 3132JAYG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39873 | PA      | $36880.42      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 06/01/2043#Q19349                                                                    | CUSIP: 3132JAZP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63962 | PA      | $59176.95      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 06/01/2043#Q19517                                                                    | CUSIP: 3132JBAT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     399607 | PA      | $370566.05     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q19597                                                                    | CUSIP: 3132JBDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20279 | PA      | $19884.58      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q19606                                                                    | CUSIP: 3132JBDL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59319 | PA      | $58258.71      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2043#Q19866                                                                    | CUSIP: 3132JBMQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57130 | PA      | $54103.04      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q20027                                                                    | CUSIP: 3132JMA41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14464 | PA      | $14294.52      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 07/01/2043#Q20094                                                                    | CUSIP: 3132JMC72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     448903 | PA      | $415776.18     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 07/01/2043#Q20461                                                                    | CUSIP: 3132JMQN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        689 | PA      | $639.65        | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 07/01/2043#Q20537                                                                    | CUSIP: 3132JMS26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54377 | PA      | $50315.89      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 07/01/2043#Q20542                                                                    | CUSIP: 3132JMS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     512870 | PA      | $475122.32     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 08/01/2043#Q20550                                                                    | CUSIP: 3132JMTF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58086 | PA      | $53714.61      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 08/01/2043#Q20655                                                                    | CUSIP: 3132JMWQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     132626 | PA      | $122827.03     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 08/01/2043#Q20707                                                                    | CUSIP: 3132JMYC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28534 | PA      | $27975.93      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2043#Q21674                                                                    | CUSIP: 3132JN2F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43655 | PA      | $41554.43      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2043#Q21684                                                                    | CUSIP: 3132JN2R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     240650 | PA      | $228258.84     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 08/01/2043#Q20988                                                                    | CUSIP: 3132JNCZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38824 | PA      | $35973.16      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 08/01/2043#Q21083                                                                    | CUSIP: 3132JNFY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     253327 | PA      | $234227.25     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2043#Q21270                                                                    | CUSIP: 3132JNMT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86594 | PA      | $82070.37      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2043#Q21319                                                                    | CUSIP: 3132JNPC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     757563 | PA      | $720647.24     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 09/01/2043#Q21390                                                                    | CUSIP: 3132JNRK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     220752 | PA      | $204166.77     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 08/01/2043#Q21427                                                                    | CUSIP: 3132JNSQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     129303 | PA      | $119668.10     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2043#Q21553                                                                    | CUSIP: 3132JNWN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     817457 | PA      | $778463.80     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 09/01/2043#Q21601                                                                    | CUSIP: 3132JNX69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10888 | PA      | $10008.13      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 09/01/2043#Q21596                                                                    | CUSIP: 3132JNXZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     246012 | PA      | $226846.48     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 09/01/2043#Q21646                                                                    | CUSIP: 3132JNZK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65675 | PA      | $60423.25      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2043#Q21807                                                                    | CUSIP: 3132JPAG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     358444 | PA      | $340062.92     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21845                                                                    | CUSIP: 3132JPBN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36112 | PA      | $35400.21      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 10/01/2043#Q22090                                                                    | CUSIP: 3132JPKB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105077 | PA      | $97492.17      | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 09/01/2043#Q22102                                                                    | CUSIP: 3132JPKP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170667 | PA      | $158088.10     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/2043#Q22499                                                                    | CUSIP: 3132JPX49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30675 | PA      | $30067.08      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2043#Q22848                                                                    | CUSIP: 3132JQEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        590 | PA      | $594.08        | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 04/30#V60782                                                                           | CUSIP: 3132KE2P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27755 | PA      | $27308.37      | 0.00%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 05/30#V60808                                                                           | CUSIP: 3132KE3R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30579 | PA      | $30079.90      | 0.00%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.0% 02/01/2029#V60494                                                                    | CUSIP: 3132KERP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1570 | PA      | $1551.06       | 0.00%             | 2029-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 07/01/2043#V80169                                                                    | CUSIP: 3132L5FJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     500532 | PA      | $464989.18     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 01/01/2044#V80950                                                                    | CUSIP: 3132L6BT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36818 | PA      | $36049.82      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2044#Q24221                                                                    | CUSIP: 3132M4LA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1157238 | PA      | $1164832.79    | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2044#Q25772                                                                    | CUSIP: 3132M6CH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     477939 | PA      | $480935.78     | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2044#Q26309                                                                    | CUSIP: 3132M6VA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176392 | PA      | $177592.68     | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/44#Q28370                                                                      | CUSIP: 3132M86F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     169549 | PA      | $166130.24     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 08/01/44#Q27794                                                                      | CUSIP: 3132M8KF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112359 | PA      | $110025.09     | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 08/01/44#Q27903                                                                      | CUSIP: 3132M8NU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52637 | PA      | $51501.84      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/44#Q29187                                                                      | CUSIP: 3132M92U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17506 | PA      | $17618.39      | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2044#Q28457                                                                    | CUSIP: 3132M9B29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48354 | PA      | $45713.69      | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/44#Q28495                                                                      | CUSIP: 3132M9C85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123660 | PA      | $120926.31     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 06/01/2044#Q28691                                                                    | CUSIP: 3132M9KC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80627 | PA      | $79829.39      | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/44#Q28991                                                                      | CUSIP: 3132M9UQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     289197 | PA      | $282839.07     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2044#Q29946                                                                    | CUSIP: 3132MAWF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31086 | PA      | $31286.27      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2044#Q30149                                                                    | CUSIP: 3132QLEX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67276 | PA      | $67709.02      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 04/01/2045#Q32660                                                                    | CUSIP: 3132QN5W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60899 | PA      | $55667.16      | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 03/01/45#Q31928                                                                      | CUSIP: 3132QNEA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     841621 | PA      | $771060.21     | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 03/01/45#Q32267                                                                      | CUSIP: 3132QNQV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     858454 | PA      | $789058.58     | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 04/01/45#Q32443                                                                      | CUSIP: 3132QNWD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29422 | PA      | $26868.88      | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 06/01/45#Q33777                                                                      | CUSIP: 3132QQFT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4290 | PA      | $3942.53       | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 06/01/45#Q33901                                                                      | CUSIP: 3132QQKP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51050 | PA      | $46653.09      | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 06/01/45#Q34343                                                                      | CUSIP: 3132QQZH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97331 | PA      | $89435.26      | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/45#Q35309                                                                      | CUSIP: 3132QR3T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79151 | PA      | $74847.57      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 07/01/45#Q34655                                                                      | CUSIP: 3132QRE55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136647 | PA      | $125208.02     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 07/01/2045#Q34885                                                                    | CUSIP: 3132QRNB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     209473 | PA      | $192206.20     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 07/01/45#Q34930                                                                      | CUSIP: 3132QRPQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7173 | PA      | $6573.81       | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/45#Q35207                                                                      | CUSIP: 3132QRYD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83337 | PA      | $78747.19      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2045#Q36050                                                                    | CUSIP: 3132QSWL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71206 | PA      | $67188.83      | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2044#G60038                                                                    | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7372059 | PA      | $7029486.62    | 0.01%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                                                          | FEDERAL HOME LOAN BANKS 5.5% 07/15/2036                                                             | CUSIP: 3133XGAY0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   13190000 | PA      | $14618729.59   | 0.02%             | 2036-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 4.88% 3/35 #783065                                                                         | CUSIP: 31349UMN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177010 | PA      | $180665.65     | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FREDDIE MAC 6.75% 03/15/2031                                                                        | CUSIP: 3134A4AA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   20653000 | PA      | $23696525.83   | 0.03%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FREDDIE MAC 6.25% 07/15/2032                                                                        | CUSIP: 3134A4KX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |    6116000 | PA      | $6984506.19    | 0.01%             | 2032-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE 6.625% 11/15/2030                                                                        | CUSIP: 31359MGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    9666000 | PA      | $10968920.16   | 0.02%             | 2030-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 7/33 #190338                                                                             | CUSIP: 31368HLT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23586 | PA      | $24381.99      | 0.00%             | 2033-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 10/33 #190342                                                                            | CUSIP: 31368HLX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     480734 | PA      | $501155.76     | 0.00%             | 2033-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 8/35 #190360                                                                             | CUSIP: 31368HMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3930 | PA      | $4012.17       | 0.00%             | 2035-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2040#190405                                                                      | CUSIP: 31368HNW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59845 | PA      | $58992.34      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 4/31 #253794                                                                             | CUSIP: 31371J3B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3705 | PA      | $3848.18       | 0.00%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 6/33 #254767                                                                             | CUSIP: 31371K6C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128673 | PA      | $133014.66     | 0.00%             | 2033-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 12/34 #255498                                                                            | CUSIP: 31371LX38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8501 | PA      | $8809.81       | 0.00%             | 2034-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 10/36 #256485                                                                            | CUSIP: 31371M2S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        996 | PA      | $1036.86       | 0.00%             | 2036-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 11/36 #256513                                                                            | CUSIP: 31371M3W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348254 | PA      | $361878.98     | 0.00%             | 2036-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 2/37 #256598                                                                             | CUSIP: 31371M7K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152502 | PA      | $161185.38     | 0.00%             | 2037-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 4/35 #255704                                                                             | CUSIP: 31371MAD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2983 | PA      | $2993.97       | 0.00%             | 2035-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 4/35 #255737                                                                             | CUSIP: 31371MBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21778 | PA      | $23178.61      | 0.00%             | 2035-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 5/35 #255770                                                                             | CUSIP: 31371MCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     328131 | PA      | $340527.14     | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 7/35 #255812                                                                             | CUSIP: 31371MDR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35860 | PA      | $38008.93      | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 8/35 #255813                                                                             | CUSIP: 31371MDS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2206 | PA      | $2252.53       | 0.00%             | 2035-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/35 #255874                                                                             | CUSIP: 31371MFP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6776 | PA      | $6824.75       | 0.00%             | 2035-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 11/35 #256022                                                                            | CUSIP: 31371MLB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160013 | PA      | $166194.08     | 0.00%             | 2035-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 12/35 #256078                                                                            | CUSIP: 31371MM38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2781 | PA      | $2800.48       | 0.00%             | 2035-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 3/37 #256635                                                                             | CUSIP: 31371NBC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3469 | PA      | $3544.85       | 0.00%             | 2037-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 5.50% 6/27 #256751                                                                        | CUSIP: 31371NEY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28411 | PA      | $28779.98      | 0.00%             | 2027-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 4.50% 8/27 #256913                                                                        | CUSIP: 31371NK20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2955 | PA      | $2951.40       | 0.00%             | 2027-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 9/37 #256895                                                                             | CUSIP: 31371NKG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21955 | PA      | $22839.14      | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2028#257237                                                                    | CUSIP: 31371NV69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        732 | PA      | $732.88        | 0.00%             | 2028-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 07/01/2037#310068                                                                    | CUSIP: 31374CMR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14120 | PA      | $14413.06      | 0.00%             | 2037-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 08/01/2033#310100                                                                    | CUSIP: 31374CNR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136286 | PA      | $138730.02     | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 06/01/2035#310165                                                                    | CUSIP: 31374CQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52235 | PA      | $53271.89      | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 7/32 #357248                                                                             | CUSIP: 31376JZM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37123 | PA      | $38891.89      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 1/35 #357686                                                                             | CUSIP: 31376KJ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1727 | PA      | $1805.64       | 0.00%             | 2035-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 8/31 #545121                                                                             | CUSIP: 31385HSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6007 | PA      | $6246.50       | 0.00%             | 2031-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 7/32 #545762                                                                             | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53061 | PA      | $55476.20      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 8/32 #545819                                                                             | CUSIP: 31385JK80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4326 | PA      | $4518.62       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 9/32 #545879                                                                             | CUSIP: 31385JM47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6428 | PA      | $6720.88       | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 11/32 #545998                                                                            | CUSIP: 31385JRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80901 | PA      | $84114.08      | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 12/32 #555227                                                                            | CUSIP: 31385WYY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4158 | PA      | $4347.59       | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 1/33 #555262                                                                             | CUSIP: 31385WZ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19271 | PA      | $20270.77      | 0.00%             | 2033-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 5/33 #555424                                                                             | CUSIP: 31385XAZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121450 | PA      | $125464.14     | 0.00%             | 2033-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 6/33 #555523                                                                             | CUSIP: 31385XD46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53892 | PA      | $55478.51      | 0.00%             | 2033-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 6/33 #555531                                                                             | CUSIP: 31385XEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138695 | PA      | $143326.98     | 0.00%             | 2033-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 7/33 #555677                                                                             | CUSIP: 31385XJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17224 | PA      | $17799.79      | 0.00%             | 2033-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 11/33 #555880                                                                            | CUSIP: 31385XQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36960 | PA      | $38219.81      | 0.00%             | 2033-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 11/33 #555967                                                                            | CUSIP: 31385XTY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9263 | PA      | $9579.03       | 0.00%             | 2033-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 12/25 #AH0772                                                                       | CUSIP: 3138A12E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $34.54         | 0.00%             | 2025-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 12/25 #AH0827                                                                       | CUSIP: 3138A14M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         67 | PA      | $66.36         | 0.00%             | 2025-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 12/40 #AH0851                                                                            | CUSIP: 3138A15M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13240 | PA      | $13031.06      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 12/40 #AH0862                                                                            | CUSIP: 3138A15Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24667 | PA      | $24837.87      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 2/41 #AH0347                                                                             | CUSIP: 3138A1L58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     252892 | PA      | $254689.89     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 12/25 #AH0330                                                                       | CUSIP: 3138A1LL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         81 | PA      | $80.72         | 0.00%             | 2025-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 12/25 #AH0376                                                                       | CUSIP: 3138A1M24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $12.40         | 0.00%             | 2025-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 3/41 #AH0359                                                                             | CUSIP: 3138A1MH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344507 | PA      | $346853.15     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 1/26 #AH0635                                                                        | CUSIP: 3138A1V57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.90          | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 01/01/2041#AH0648                                                                    | CUSIP: 3138A1WJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1319047 | PA      | $1298283.34    | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2041#AH1086                                                                    | CUSIP: 3138A2F46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48927 | PA      | $49274.81      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 1/41 #AH1265                                                                             | CUSIP: 3138A2MP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211295 | PA      | $208123.71     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 1/41 #AH1419                                                                             | CUSIP: 3138A2SH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     383348 | PA      | $377816.20     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 9/41 #AH1597                                                                             | CUSIP: 3138A2X38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134578 | PA      | $132104.03     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 1/26 #AH2666                                                                        | CUSIP: 3138A36C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1386 | PA      | $1382.63       | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 1/41 #AH2689                                                                             | CUSIP: 3138A37B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152454 | PA      | $153526.89     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 2/26 #AH1899                                                                        | CUSIP: 3138A3DD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1044 | PA      | $1041.36       | 0.00%             | 2026-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 1/26 #AH2366                                                                        | CUSIP: 3138A3TY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        114 | PA      | $114.02        | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 1/26 #AH2430                                                                        | CUSIP: 3138A3VY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        124 | PA      | $123.29        | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 1/26 #AH2555                                                                        | CUSIP: 3138A3ZV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $9.49          | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 3/26 #AH3551                                                                        | CUSIP: 3138A45M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1902 | PA      | $1895.39       | 0.00%             | 2026-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 1/26 #AH2974                                                                        | CUSIP: 3138A4JU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         91 | PA      | $90.78         | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 1/41 #AH4404                                                                             | CUSIP: 3138A53N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     370481 | PA      | $364795.02     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 01/01/2026#AH4407                                                                    | CUSIP: 3138A53R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        105 | PA      | $104.61        | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2041#AH4493                                                                    | CUSIP: 3138A57F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43180 | PA      | $43457.87      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 1/26 #AH3613                                                                        | CUSIP: 3138A5AP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        266 | PA      | $264.70        | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2041#AH3684                                                                    | CUSIP: 3138A5CW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30069 | PA      | $30274.27      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 2/41 #AH3781                                                                             | CUSIP: 3138A5FX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     613521 | PA      | $604327.05     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 1/41 #AH3811                                                                             | CUSIP: 3138A5GV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     328371 | PA      | $323405.84     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 1/26 #AH3925                                                                        | CUSIP: 3138A5LF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         54 | PA      | $54.32         | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2041#AH4044                                                                    | CUSIP: 3138A5P63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8778 | PA      | $8839.32       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 1/26 #AH5293                                                                        | CUSIP: 3138A63B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $53.00         | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 4/26 #AH4597                                                                        | CUSIP: 3138A6DB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        470 | PA      | $468.97        | 0.00%             | 2026-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 2/41 #AH4670                                                                             | CUSIP: 3138A6FL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58804 | PA      | $57894.15      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 3/26 #AH4679                                                                        | CUSIP: 3138A6FV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        453 | PA      | $451.17        | 0.00%             | 2026-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2041#AH4763                                                                      | CUSIP: 3138A6JH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61522 | PA      | $60545.79      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 1/26 #AH5226                                                                        | CUSIP: 3138A6YY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         21 | PA      | $21.38         | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 1/26 #AH5236                                                                        | CUSIP: 3138A6ZA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         27 | PA      | $27.20         | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 4/26 #AH5251                                                                        | CUSIP: 3138A6ZR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        378 | PA      | $376.87        | 0.00%             | 2026-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 3/41 #AH6221                                                                             | CUSIP: 3138A74F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39884 | PA      | $40162.69      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 4/41 #AH6290                                                                             | CUSIP: 3138A77C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22153 | PA      | $21812.35      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 2/41 #AH5664                                                                             | CUSIP: 3138A7JJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3661 | PA      | $3517.49       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 3/41 #AH6157                                                                             | CUSIP: 3138A7ZX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42281 | PA      | $42570.55      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 3/41 #AH6394                                                                             | CUSIP: 3138A8C87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5787 | PA      | $5827.79       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 3/41 #AH6790                                                                             | CUSIP: 3138A8RL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60295 | PA      | $60719.73      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 3/41 #AH6886                                                                             | CUSIP: 3138A8UL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34051 | PA      | $34274.85      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 3/26 #AH7535                                                                        | CUSIP: 3138A9LR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        841 | PA      | $837.87        | 0.00%             | 2026-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 2/26 #AH8996                                                                        | CUSIP: 3138AA7J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        304 | PA      | $303.15        | 0.00%             | 2026-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.0% 04/01/2026#AH8167                                                                    | CUSIP: 3138AACD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2335 | PA      | $2328.78       | 0.00%             | 2026-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 04/01/2041#AH8434                                                                    | CUSIP: 3138AALQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4238 | PA      | $4341.54       | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 3/41 #AH8476                                                                             | CUSIP: 3138AAM24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36919 | PA      | $37197.74      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 2/26 #AH8520                                                                        | CUSIP: 3138AAPE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        258 | PA      | $257.35        | 0.00%             | 2026-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 3/26 #AH8773                                                                        | CUSIP: 3138AAXB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        215 | PA      | $214.61        | 0.00%             | 2026-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 03/01/2041#AH8824                                                                    | CUSIP: 3138AAYW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4589 | PA      | $4520.94       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 4/41 #AH8858                                                                             | CUSIP: 3138AAZY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245282 | PA      | $251190.19     | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 3/26 #AH9015                                                                        | CUSIP: 3138ABAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         91 | PA      | $90.69         | 0.00%             | 2026-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 4/41 #AH9103                                                                             | CUSIP: 3138ABDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1434008 | PA      | $1443723.14    | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 3/41 #AH9253                                                                             | CUSIP: 3138ABH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13608 | PA      | $13697.91      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2041#AH9374                                                                    | CUSIP: 3138ABMY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29017 | PA      | $29209.14      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 3/26 #AH9391                                                                        | CUSIP: 3138ABNH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        189 | PA      | $188.50        | 0.00%             | 2026-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 4/26 #AH9467                                                                        | CUSIP: 3138ABQV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2386 | PA      | $2377.64       | 0.00%             | 2026-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 04/01/2041#AH9715                                                                    | CUSIP: 3138ABYM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7175 | PA      | $7351.49       | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 4/26 #AI0893                                                                        | CUSIP: 3138AD7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        875 | PA      | $872.12        | 0.00%             | 2026-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 4/41 #AI0093                                                                             | CUSIP: 3138ADC78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12610 | PA      | $12694.76      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2041#AI0094                                                                    | CUSIP: 3138ADC86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57713 | PA      | $58119.54      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 4/26 #AI0253                                                                        | CUSIP: 3138ADH73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3669 | PA      | $3658.45       | 0.00%             | 2026-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 4/26 #AI0400                                                                        | CUSIP: 3138ADNS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         93 | PA      | $92.63         | 0.00%             | 2026-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 4/26 #AI0502                                                                        | CUSIP: 3138ADRY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1196 | PA      | $1192.08       | 0.00%             | 2026-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 8/41 #AI1743                                                                             | CUSIP: 3138AE5D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14635 | PA      | $14391.59      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 4/26 #AI0934                                                                        | CUSIP: 3138AEBC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        253 | PA      | $252.76        | 0.00%             | 2026-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 5/41 #AI1022                                                                             | CUSIP: 3138AED42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     373776 | PA      | $367021.92     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 9/41 #AI1601                                                                             | CUSIP: 3138AEX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19331 | PA      | $19094.21      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 5/41 #AI1895                                                                             | CUSIP: 3138AFC99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7070 | PA      | $7244.38       | 0.00%             | 2041-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 05/01/2041#AI1937                                                                    | CUSIP: 3138AFEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11564 | PA      | $11847.09      | 0.00%             | 2041-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 5/26 #AI2091                                                                        | CUSIP: 3138AFKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         90 | PA      | $89.63         | 0.00%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 05/01/2041#AI2464                                                                    | CUSIP: 3138AFW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64750 | PA      | $66345.08      | 0.00%             | 2041-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 06/01/2041#AI3574                                                                    | CUSIP: 3138AG6L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148432 | PA      | $152002.13     | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 06/01/2041#AI4233                                                                    | CUSIP: 3138AHV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136976 | PA      | $140388.08     | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 06/01/2041#AI4285                                                                    | CUSIP: 3138AHXP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     445859 | PA      | $456954.93     | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.0% 06/01/2026#AI4868                                                                    | CUSIP: 3138AJMS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7086 | PA      | $7065.07       | 0.00%             | 2026-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 6/26 #AI4871                                                                        | CUSIP: 3138AJMV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10459 | PA      | $10428.61      | 0.00%             | 2026-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2041#AI5063                                                                    | CUSIP: 3138AJTV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102492 | PA      | $103217.71     | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 06/01/2041#AI5566                                                                    | CUSIP: 3138AKFG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40784 | PA      | $41801.15      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 07/01/2041#AI6301                                                                    | CUSIP: 3138ALAB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160498 | PA      | $164367.76     | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/41 #AI6645                                                                             | CUSIP: 3138ALL39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8545 | PA      | $8603.10       | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 08/01/2026#AI7269                                                                    | CUSIP: 3138AMCF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        143 | PA      | $142.71        | 0.00%             | 2026-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2041#AI7921                                                                    | CUSIP: 3138AMYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42102 | PA      | $42387.01      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 9/1/26 #AI8382                                                                       | CUSIP: 3138ANJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        153 | PA      | $152.01        | 0.00%             | 2026-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/41 #AI8448                                                                             | CUSIP: 3138ANL68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6155 | PA      | $6198.33       | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2041#AI8714                                                                    | CUSIP: 3138ANVG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66621 | PA      | $67080.31      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 02/01/2042#AI8759                                                                    | CUSIP: 3138ANWV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     903780 | PA      | $889200.05     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 8/41 #AI8830                                                                             | CUSIP: 3138ANY49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153460 | PA      | $150876.64     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/41 #AI8815                                                                             | CUSIP: 3138ANYM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     321267 | PA      | $323521.23     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 8/41 #AI8838                                                                             | CUSIP: 3138ANZC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171892 | PA      | $169288.97     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 8/26 #AI9793                                                                        | CUSIP: 3138AP3B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        127 | PA      | $126.91        | 0.00%             | 2026-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/41 #AI9047                                                                             | CUSIP: 3138APBR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12808 | PA      | $12888.71      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 4/27 #AI9100                                                                        | CUSIP: 3138APDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11484 | PA      | $11421.37      | 0.00%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 5/27 #AI9105                                                                        | CUSIP: 3138APDK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13914 | PA      | $13789.39      | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 6/27 #AI9111                                                                        | CUSIP: 3138APDR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3896 | PA      | $3860.30       | 0.00%             | 2027-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 9/41 #AI9231                                                                             | CUSIP: 3138APHH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39811 | PA      | $39102.52      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 9/41 #AI9692                                                                             | CUSIP: 3138APXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82503 | PA      | $80959.49      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 9/41 #AI9919                                                                             | CUSIP: 3138AQAV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     986893 | PA      | $971797.07     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 09/01/2041#AJ0785                                                                    | CUSIP: 3138AR2T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8356 | PA      | $8215.07       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 9/41 #AJ0165                                                                             | CUSIP: 3138ARFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120570 | PA      | $118623.45     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 9/41 #AJ1696                                                                             | CUSIP: 3138AS3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41759 | PA      | $41061.52      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 9/41 #AJ1707                                                                             | CUSIP: 3138AS3R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     947681 | PA      | $931641.13     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 8/41 #AJ1204                                                                             | CUSIP: 3138ASKS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29048 | PA      | $28571.67      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 10/41 #AJ1224                                                                            | CUSIP: 3138ASLE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7386 | PA      | $7438.24       | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 10/41 #AJ1242                                                                            | CUSIP: 3138ASLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10317 | PA      | $10391.01      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 9/26 #AJ1441                                                                        | CUSIP: 3138ASS78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1120 | PA      | $1115.09       | 0.00%             | 2026-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 9/41 #AJ1926                                                                             | CUSIP: 3138ATD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123828 | PA      | $121992.67     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2041#AJ1964                                                                    | CUSIP: 3138ATFE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7860 | PA      | $7907.17       | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/41 #AJ3485                                                                            | CUSIP: 3138AU2T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30548 | PA      | $30000.41      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/41#AJ2951                                                                      | CUSIP: 3138AUH59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3462 | PA      | $3485.53       | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 10/26 #AJ3058                                                                       | CUSIP: 3138AUMG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3041 | PA      | $3025.67       | 0.00%             | 2026-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/41 #AJ3246                                                                            | CUSIP: 3138AUTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50734 | PA      | $49766.93      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/41 #AJ3247                                                                            | CUSIP: 3138AUTD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50903 | PA      | $50070.01      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 11/41 #AJ3402                                                                            | CUSIP: 3138AUX85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8010 | PA      | $8067.18       | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 10/26 #AJ4401                                                                       | CUSIP: 3138AV3K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        430 | PA      | $426.96        | 0.00%             | 2026-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 12/26 #AJ4482                                                                       | CUSIP: 3138AV6U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21255 | PA      | $21096.51      | 0.00%             | 2026-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/41 #AJ4047                                                                            | CUSIP: 3138AVP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1772105 | PA      | $1743960.03    | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/41 #AJ4051                                                                            | CUSIP: 3138AVQD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229490 | PA      | $225876.97     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 10/26 #AJ4093                                                                       | CUSIP: 3138AVRP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1603 | PA      | $1595.10       | 0.00%             | 2026-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 11/01/2026#AJ4147                                                                    | CUSIP: 3138AVTD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4919 | PA      | $4895.15       | 0.00%             | 2026-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 12/01/2041#AJ4191                                                                    | CUSIP: 3138AVUR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225893 | PA      | $221810.42     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 12/41 #AJ4198                                                                            | CUSIP: 3138AVUY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55271 | PA      | $54387.52      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 11/41 #AJ5385                                                                            | CUSIP: 3138AW6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194803 | PA      | $191617.95     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 11/01/2041#AJ5233                                                                    | CUSIP: 3138AWY72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7222 | PA      | $7089.31       | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 11/41 #AJ5457                                                                            | CUSIP: 3138AXB34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4845 | PA      | $4767.64       | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 11/41 #AJ5485                                                                            | CUSIP: 3138AXCX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3324 | PA      | $3266.34       | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 11/41 #AJ5846                                                                            | CUSIP: 3138AXP88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22012 | PA      | $21597.41      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 11/41 #AJ5818                                                                            | CUSIP: 3138AXPC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34842 | PA      | $34261.86      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 11/41 #AJ5825                                                                            | CUSIP: 3138AXPK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30914 | PA      | $30429.71      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 11/41 #AJ5851                                                                            | CUSIP: 3138AXQD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17429 | PA      | $17095.04      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 12/01/2026#AJ5934                                                                    | CUSIP: 3138AXSY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36746 | PA      | $36557.02      | 0.00%             | 2026-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 12/26 #AJ6086                                                                       | CUSIP: 3138AXXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3391 | PA      | $3367.17       | 0.00%             | 2026-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 11/26 #AJ6392                                                                       | CUSIP: 3138AYC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20410 | PA      | $20257.91      | 0.00%             | 2026-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 11/41 #AJ7033                                                                            | CUSIP: 3138AYY78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18836 | PA      | $18521.44      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2041#AJ8083                                                                      | CUSIP: 3138E06V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     769575 | PA      | $757033.34     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 12/41 #AJ8098                                                                            | CUSIP: 3138E07L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102426 | PA      | $100711.68     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2042#AJ7547                                                                      | CUSIP: 3138E0L56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     681989 | PA      | $669692.72     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 11/41 #AJ7577                                                                            | CUSIP: 3138E0M30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     878482 | PA      | $838117.90     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 12/41 #AJ7689                                                                            | CUSIP: 3138E0RK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1285 | PA      | $1264.62       | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2041#AJ7696                                                                    | CUSIP: 3138E0RS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20479 | PA      | $20618.30      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2027#AJ8869                                                                    | CUSIP: 3138E12B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22578 | PA      | $22281.80      | 0.00%             | 2027-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2027#AJ8882                                                                    | CUSIP: 3138E12Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10132 | PA      | $9988.19       | 0.00%             | 2027-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2041#AJ9278                                                                    | CUSIP: 3138E2JY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6464301 | PA      | $6180944.52    | 0.01%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 01/01/2027#AJ9354                                                                    | CUSIP: 3138E2MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1940 | PA      | $1925.84       | 0.00%             | 2027-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 1/27 #AJ9355                                                                        | CUSIP: 3138E2MD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        764 | PA      | $758.22        | 0.00%             | 2027-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 12/26 #AJ9386                                                                       | CUSIP: 3138E2NC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5025 | PA      | $4990.02       | 0.00%             | 2026-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 12/26 #AJ9387                                                                       | CUSIP: 3138E2ND3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4407 | PA      | $4374.36       | 0.00%             | 2026-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 2/42 #AJ9901                                                                             | CUSIP: 3138E3AB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82000 | PA      | $78209.15      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 1/27 #AK0006                                                                        | CUSIP: 3138E4AG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45406 | PA      | $45053.38      | 0.00%             | 2027-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 4/27 #AK0757                                                                        | CUSIP: 3138E4ZX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4523 | PA      | $4486.56       | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2042#AK0981                                                                    | CUSIP: 3138E5CT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42641 | PA      | $40573.81      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 2/42 #AK1110                                                                             | CUSIP: 3138E5GU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83191 | PA      | $81631.98      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 3/42 #AK1510                                                                             | CUSIP: 3138E5VC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50097 | PA      | $49301.46      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 01/01/2027#AK1608                                                                    | CUSIP: 3138E5YE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12056 | PA      | $11962.62      | 0.00%             | 2027-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 2/27 #AK2487                                                                        | CUSIP: 3138E6XR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4836 | PA      | $4798.68       | 0.00%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 2/42 #AK2525                                                                             | CUSIP: 3138E6YX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19178 | PA      | $18953.46      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 2/27 #AK2554                                                                        | CUSIP: 3138E6ZU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        430 | PA      | $426.80        | 0.00%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 2/27 #AK3532                                                                        | CUSIP: 3138E74S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3366 | PA      | $3338.40       | 0.00%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 2/42 #AK3548                                                                             | CUSIP: 3138E75J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14717 | PA      | $14500.25      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 3/27 #AK2934                                                                        | CUSIP: 3138E7HL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1392 | PA      | $1384.64       | 0.00%             | 2027-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 2/27 #AK3264                                                                        | CUSIP: 3138E7TW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37429 | PA      | $37127.22      | 0.00%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.0% 02/01/2027#AK3433                                                                    | CUSIP: 3138E7Y73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6097 | PA      | $6079.03       | 0.00%             | 2027-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 01/01/2042#AK3404                                                                    | CUSIP: 3138E7YA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     632855 | PA      | $621133.91     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 2/42 #AK3436                                                                             | CUSIP: 3138E7ZA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210005 | PA      | $206298.13     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 2/42 #AK3455                                                                             | CUSIP: 3138E7ZV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31836 | PA      | $31354.99      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 5/27 #AK3821                                                                        | CUSIP: 3138E8G71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        565 | PA      | $559.80        | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.50% 5/27 #AK3949                                                                        | CUSIP: 3138E8L75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6174 | PA      | $6102.84       | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 2/42 #AK4031                                                                             | CUSIP: 3138E8PR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1380319 | PA      | $1354151.60    | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 5/27 #AK4327                                                                        | CUSIP: 3138E8YZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12354 | PA      | $12247.06      | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 3/42 #AK5316                                                                             | CUSIP: 3138E94A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33416 | PA      | $32756.68      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 2/27 #AK5380                                                                        | CUSIP: 3138E96S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11562 | PA      | $11465.62      | 0.00%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 03/01/2042#AK4525                                                                    | CUSIP: 3138E9A34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79302 | PA      | $81245.78      | 0.00%             | 2042-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 4/42 #AK4826                                                                             | CUSIP: 3138E9LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183712 | PA      | $175276.45     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 4/42 #AK4827                                                                             | CUSIP: 3138E9LH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175374 | PA      | $167632.34     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 4/42 #AK6409                                                                             | CUSIP: 3138EBDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47710 | PA      | $46848.73      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 3/42 #AK6513                                                                             | CUSIP: 3138EBGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1191509 | PA      | $1169709.69    | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 4/42 #AK6572                                                                             | CUSIP: 3138EBJS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     486589 | PA      | $464120.80     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 4/27 #AK6615                                                                        | CUSIP: 3138EBK53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7682 | PA      | $7638.56       | 0.00%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.00% 3/42 #AK6724                                                                             | CUSIP: 3138EBPJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42534 | PA      | $39590.64      | 0.00%             | 2042-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 3/27 #AK6784                                                                        | CUSIP: 3138EBRE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102983 | PA      | $102152.14     | 0.00%             | 2027-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 04/01/2027#AK7036                                                                    | CUSIP: 3138EBZA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8998 | PA      | $8922.68       | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 3/42 #AK7441                                                                             | CUSIP: 3138ECHT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42348 | PA      | $41579.66      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 3/27 #AK7740                                                                        | CUSIP: 3138ECS61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42494 | PA      | $42138.32      | 0.00%             | 2027-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 9/42 #AK8142                                                                             | CUSIP: 3138EDBL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117698 | PA      | $112006.06     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 4/42 #AK8228                                                                             | CUSIP: 3138EDEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     215594 | PA      | $212103.75     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 4/42 #AK8237                                                                             | CUSIP: 3138EDEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     301070 | PA      | $296172.33     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 6/27 #AK8283                                                                        | CUSIP: 3138EDFZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16089 | PA      | $15949.74      | 0.00%             | 2027-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 09/01/2043#AK8337                                                                    | CUSIP: 3138EDHP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104111 | PA      | $96202.45      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 5/27 #AK8669                                                                        | CUSIP: 3138EDT35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15754 | PA      | $15617.55      | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 03/01/2027#AK8742                                                                    | CUSIP: 3138EDWC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13697 | PA      | $13551.43      | 0.00%             | 2027-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 8/42 #AK8787                                                                             | CUSIP: 3138EDXR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64205 | PA      | $60997.11      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 5/42 #AK9784                                                                             | CUSIP: 3138EE2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     453788 | PA      | $433172.87     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 4/42 #AK9019                                                                             | CUSIP: 3138EEAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107242 | PA      | $105509.62     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 5/27 #AK9201                                                                        | CUSIP: 3138EEGK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7592 | PA      | $7526.68       | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 5/27 #AK9647                                                                        | CUSIP: 3138EEWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1632 | PA      | $1617.26       | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 4/42 #AK9701                                                                             | CUSIP: 3138EEX79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63977 | PA      | $62840.11      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 4/42 #AK9941                                                                             | CUSIP: 3138EFBK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64168 | PA      | $61065.29      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 10/26 #AL0846                                                                       | CUSIP: 3138EG5G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        362 | PA      | $360.43        | 0.00%             | 2026-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.0% 04/01/2040#AL0013                                                                    | CUSIP: 3138EGAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105529 | PA      | $111814.50     | 0.00%             | 2040-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 08/01/40#AL0081                                                                      | CUSIP: 3138EGCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11040 | PA      | $11302.86      | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 6/40 #AL0152                                                                             | CUSIP: 3138EGE26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131863 | PA      | $139815.68     | 0.00%             | 2040-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 04/01/2041#AL0240                                                                    | CUSIP: 3138EGHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15926 | PA      | $15705.56      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 04/01/2041#AL0244                                                                    | CUSIP: 3138EGHW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251100 | PA      | $257120.53     | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 1/40 #AL0309                                                                             | CUSIP: 3138EGKX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35230 | PA      | $37343.98      | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2040#AL0474                                                                    | CUSIP: 3138EGQ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     706971 | PA      | $736722.06     | 0.00%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 2/41 #AL0574                                                                             | CUSIP: 3138EGT87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34970 | PA      | $36548.53      | 0.00%             | 2041-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 07/01/2041#AL0546                                                                    | CUSIP: 3138EGTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90881 | PA      | $93090.53      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 07/01/2038#AL0552                                                                    | CUSIP: 3138EGTJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11121 | PA      | $11582.22      | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 8/41 #AL0657                                                                             | CUSIP: 3138EGWT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70131 | PA      | $71842.61      | 0.00%             | 2041-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 9/41 #AL0675                                                                             | CUSIP: 3138EGXD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74888 | PA      | $77980.48      | 0.00%             | 2041-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 09/01/2041#AL0761                                                                    | CUSIP: 3138EGZ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72417 | PA      | $74188.41      | 0.00%             | 2041-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2041#AL0762                                                                    | CUSIP: 3138EGZ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6174 | PA      | $6217.01       | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 6/40 #AL1685                                                                             | CUSIP: 3138EH2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3445 | PA      | $3679.50       | 0.00%             | 2040-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 5/27 #AL1741                                                                        | CUSIP: 3138EH5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97697 | PA      | $97182.87      | 0.00%             | 2027-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 3/27 #AL1746                                                                        | CUSIP: 3138EH5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67577 | PA      | $67221.28      | 0.00%             | 2027-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 5/27 #AL1751                                                                        | CUSIP: 3138EH5M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64551 | PA      | $64219.47      | 0.00%             | 2027-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 10/39 #AL1798                                                                            | CUSIP: 3138EH7L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6655 | PA      | $7119.00       | 0.00%             | 2039-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 7/41 #AL0913                                                                             | CUSIP: 3138EHAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     289497 | PA      | $306799.88     | 0.00%             | 2041-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 10/41 #AL0933                                                                            | CUSIP: 3138EHBB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     302305 | PA      | $309710.32     | 0.00%             | 2041-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2041#AL0935                                                                      | CUSIP: 3138EHBD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105847 | PA      | $104248.19     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2039#AL0939                                                                    | CUSIP: 3138EHBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1534195 | PA      | $1545196.75    | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 09/01/41#AL1052                                                                        | CUSIP: 3138EHE24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61088 | PA      | $62588.05      | 0.00%             | 2041-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% #AL1095                                                                                  | CUSIP: 3138EHGD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232808 | PA      | $246732.52     | 0.00%             | 2040-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 2/38 #AL1104                                                                             | CUSIP: 3138EHGN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28179 | PA      | $29196.70      | 0.00%             | 2038-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 12/26 #AL1148                                                                       | CUSIP: 3138EHH21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1773 | PA      | $1764.23       | 0.00%             | 2026-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 1/26 #AL1168                                                                        | CUSIP: 3138EHJN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        278 | PA      | $277.35        | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 5/39 #AL1308                                                                             | CUSIP: 3138EHN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15777 | PA      | $16868.10      | 0.00%             | 2039-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 3/42 #AL1521                                                                             | CUSIP: 3138EHVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     293535 | PA      | $288225.06     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 10/40 #AL2617                                                                            | CUSIP: 3138EJ4B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3595 | PA      | $3808.18       | 0.00%             | 2040-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 06/01/2039#AL2629                                                                    | CUSIP: 3138EJ4P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20148 | PA      | $20572.14      | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 11/01/2027#AL2657                                                                    | CUSIP: 3138EJ5T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248088 | PA      | $245633.44     | 0.00%             | 2027-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 11/27 #AL2683                                                                       | CUSIP: 3138EJ6V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1824 | PA      | $1818.75       | 0.00%             | 2026-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 05/01/2027#AL1831                                                                    | CUSIP: 3138EJA99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8094 | PA      | $8049.38       | 0.00%             | 2027-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 7/27 #AL1858                                                                        | CUSIP: 3138EJB49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72044 | PA      | $71441.23      | 0.00%             | 2027-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% #AL2088                                                                             | CUSIP: 3138EJKA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8247 | PA      | $8222.85       | 0.00%             | 2026-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 7/27 #AL2272                                                                        | CUSIP: 3138EJQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65236 | PA      | $64689.59      | 0.00%             | 2027-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 9/27 #AL2292                                                                        | CUSIP: 3138EJRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10339 | PA      | $10249.68      | 0.00%             | 2027-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 9/42 #AL2416                                                                             | CUSIP: 3138EJVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1868373 | PA      | $1783844.84    | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 09/41 #AL2514                                                                            | CUSIP: 3138EJYL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2513753 | PA      | $2476592.99    | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 11/01/2027#AL2720                                                                    | CUSIP: 3138EKAW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16356 | PA      | $16198.05      | 0.00%             | 2027-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2043#                                                                          | CUSIP: 3138EKGF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19035 | PA      | $18120.49      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/1/42 #AL3046                                                                      | CUSIP: 3138EKL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     723248 | PA      | $673945.15     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% #AL3192                                                                              | CUSIP: 3138EKRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26488 | PA      | $27134.56      | 0.00%             | 2042-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2043#AL3222                                                                    | CUSIP: 3138EKSL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87393 | PA      | $83214.60      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.0% #AL3365                                                                              | CUSIP: 3138EKW35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69945 | PA      | $74056.62      | 0.00%             | 2041-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.0% 06/01/2040#AL3347                                                                    | CUSIP: 3138EKWH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129104 | PA      | $136853.77     | 0.00%             | 2040-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 04/01/2028#AL3359                                                                    | CUSIP: 3138EKWV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10281 | PA      | $10138.81      | 0.00%             | 2028-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2043#AL4499                                                                    | CUSIP: 3138EL7M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6753 | PA      | $6788.01       | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% #AL3759                                                                              | CUSIP: 3138ELE90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8112 | PA      | $7538.90       | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 03/01/2028#AL3765                                                                    | CUSIP: 3138ELFF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10620 | PA      | $10515.32      | 0.00%             | 2028-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2041#AL3777                                                                    | CUSIP: 3138ELFT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66433 | PA      | $66900.66      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 01/01/2028#AL3904                                                                    | CUSIP: 3138ELKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         37 | PA      | $37.17         | 0.00%             | 2028-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 09/01/2028#AL4180                                                                    | CUSIP: 3138ELUE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        870 | PA      | $865.33        | 0.00%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2043#AL4288                                                                    | CUSIP: 3138ELXS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23437 | PA      | $23560.83      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2043#AL4290                                                                    | CUSIP: 3138ELXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18798 | PA      | $18894.48      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 10/01/2043#AL4338                                                                    | CUSIP: 3138ELZC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136331 | PA      | $133523.32     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% #AL5097                                                                              | CUSIP: 3138EMUX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25341 | PA      | $25520.00      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2044#AL5110                                                                    | CUSIP: 3138EMVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149805 | PA      | $150550.20     | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 04/01/2044#AL5160                                                                    | CUSIP: 3138EMWW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2023759 | PA      | $2073680.76    | 0.00%             | 2042-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% #AL5231                                                                              | CUSIP: 3138EMY54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6780 | PA      | $6827.92       | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 03/01/2044#AL5218                                                                    | CUSIP: 3138EMYQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68053 | PA      | $69720.78      | 0.00%             | 2044-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2044#AL6223                                                                    | CUSIP: 3138EN4H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15377 | PA      | $15458.46      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% #AL5400 5/44                                                                         | CUSIP: 3138ENAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3491176 | PA      | $3515232.27    | 0.01%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 09/01/2041#AL5459                                                                    | CUSIP: 3138ENB57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8193 | PA      | $8525.83       | 0.00%             | 2041-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2044#AL5570                                                                    | CUSIP: 3138ENFL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3023 | PA      | $3037.18       | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 09/01/2041#AL5616                                                                    | CUSIP: 3138ENG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393375 | PA      | $409562.23     | 0.00%             | 2041-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 05/01/2042#AL5788                                                                    | CUSIP: 3138ENNE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22576 | PA      | $23117.69      | 0.00%             | 2042-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 07/01/2041#AL5970                                                                    | CUSIP: 3138ENT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73081 | PA      | $76401.91      | 0.00%             | 2041-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 01/01/44#AL5946                                                                      | CUSIP: 3138ENTC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30758 | PA      | $31453.88      | 0.00%             | 2044-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 12/01/43#AL5959                                                                      | CUSIP: 3138ENTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196293 | PA      | $200746.82     | 0.00%             | 2043-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/43#AL6004                                                                      | CUSIP: 3138ENU64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2117 | PA      | $2129.60       | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2045#AL6306                                                                    | CUSIP: 3138EPAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4589 | PA      | $4615.22       | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 04/01/2030#AL6584                                                                    | CUSIP: 3138EPJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6465 | PA      | $6360.80       | 0.00%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 02/01/2045#AL6559                                                                    | CUSIP: 3138EPJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14450 | PA      | $14138.45      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 04/01/2030#AL6598                                                                    | CUSIP: 3138EPKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6495 | PA      | $6445.25       | 0.00%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2044#AL6760                                                                    | CUSIP: 3138EPQN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2954 | PA      | $2969.91       | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 2.5% 10/01/2043#AL6851                                                                         | CUSIP: 3138EPTH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232408 | PA      | $208194.15     | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 02/01/2042#AL7343                                                                    | CUSIP: 3138EQER9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295239 | PA      | $308679.55     | 0.00%             | 2042-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 09/01/2033#AL7521                                                                    | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     892190 | PA      | $908808.06     | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.50% 4/27 #AO0794                                                                        | CUSIP: 3138LQ3C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     905165 | PA      | $895125.32     | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 4/27 #AO0800                                                                        | CUSIP: 3138LQ3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30197 | PA      | $29936.02      | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 5/42 #AO0671                                                                             | CUSIP: 3138LQW91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48133 | PA      | $45746.08      | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 5/42 #AO0693                                                                             | CUSIP: 3138LQXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58000 | PA      | $55177.21      | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.00% 4/42 #AO0752                                                                             | CUSIP: 3138LQZS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4266303 | PA      | $3966311.88    | 0.01%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 4/42 #AO1215                                                                             | CUSIP: 3138LRK50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108581 | PA      | $103420.03     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.50% 5/27 #AO1250                                                                        | CUSIP: 3138LRL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1004 | PA      | $992.12        | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AO1284                                                                    | CUSIP: 3138LRNA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108302 | PA      | $100098.30     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 7/42 #AO2652                                                                             | CUSIP: 3138LS5N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     167137 | PA      | $159309.76     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 5/27 #AO1901                                                                        | CUSIP: 3138LSDF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        138 | PA      | $136.76        | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 5/42 #AO2123                                                                             | CUSIP: 3138LSLD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16532 | PA      | $15963.45      | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 5/42 #AO2138                                                                             | CUSIP: 3138LSLU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     413018 | PA      | $394624.13     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 5/27 #AO2546                                                                        | CUSIP: 3138LSZL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11811 | PA      | $11712.31      | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 4/39 #AO3519                                                                             | CUSIP: 3138LT4D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58981 | PA      | $58202.84      | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 5/27 #AO2860                                                                        | CUSIP: 3138LTFA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7952 | PA      | $7882.74       | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 5/42 #AO2949                                                                             | CUSIP: 3138LTH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34850 | PA      | $33224.68      | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 5/42 #AO2952                                                                             | CUSIP: 3138LTH68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63342 | PA      | $60479.11      | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 5/42 #AO2953                                                                             | CUSIP: 3138LTH76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20318 | PA      | $19307.88      | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 5/42 #AO2954                                                                             | CUSIP: 3138LTH84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62562 | PA      | $59468.91      | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 5/42 #AO2945                                                                             | CUSIP: 3138LTHX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67571 | PA      | $64510.36      | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 5/27 #AO3020                                                                        | CUSIP: 3138LTLA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2904 | PA      | $2877.67       | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 6/27 #AO3086                                                                        | CUSIP: 3138LTNC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6368 | PA      | $6311.11       | 0.00%             | 2027-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2042#AO4392                                                                    | CUSIP: 3138LU3A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     267068 | PA      | $254775.18     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2042#AO3748                                                                    | CUSIP: 3138LUEW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68596 | PA      | $69001.78      | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 5/42 #AO3760                                                                             | CUSIP: 3138LUFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     364572 | PA      | $348292.14     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 5/27 #AO4038                                                                        | CUSIP: 3138LUPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3556 | PA      | $3523.54       | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.50% 5/27 #AO4073                                                                        | CUSIP: 3138LUQ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18873 | PA      | $18664.00      | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2042#AO4064                                                                    | CUSIP: 3138LUQS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89741 | PA      | $85633.10      | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.00% 6/42 #AO4144                                                                        | CUSIP: 3138LUTA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7130 | PA      | $6996.66       | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 06/01/37#AO4589                                                                      | CUSIP: 3138LVC35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        773 | PA      | $769.15        | 0.00%             | 2037-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 9/27 #AO4660                                                                        | CUSIP: 3138LVFA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4176 | PA      | $4135.23       | 0.00%             | 2027-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2042#AO6726                                                                    | CUSIP: 3138LXPL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1992416 | PA      | $1848446.73    | 0.00%             | 2042-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.50% 6/27 #AO7971                                                                        | CUSIP: 3138LY2D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3147 | PA      | $3109.37       | 0.00%             | 2027-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 6/27 #AO7977                                                                        | CUSIP: 3138LY2K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119897 | PA      | $118826.20     | 0.00%             | 2027-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.5% 07/42 #AO8019                                                                             | CUSIP: 3138LY4D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     275600 | PA      | $263042.95     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.5% 07/42 #AO8021                                                                             | CUSIP: 3138LY4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175037 | PA      | $167013.38     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 9/27 #AO7558                                                                        | CUSIP: 3138LYMG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14424 | PA      | $14287.84      | 0.00%             | 2027-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 6/42 #AO7716                                                                             | CUSIP: 3138LYSE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68937 | PA      | $65811.27      | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.50% 7/27 #AO7827                                                                        | CUSIP: 3138LYVV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117832 | PA      | $116425.15     | 0.00%             | 2027-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 9/27 #AO7846                                                                        | CUSIP: 3138LYWG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4791 | PA      | $4745.97       | 0.00%             | 2027-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 7/42 #AO8250                                                                             | CUSIP: 3138M0EY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     993728 | PA      | $949873.02     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2027#AO8493                                                                    | CUSIP: 3138M0NK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18147 | PA      | $17938.20      | 0.00%             | 2027-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 7/42 #AO8632                                                                             | CUSIP: 3138M0SW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4644 | PA      | $4431.99       | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 7/42 #AO8633                                                                             | CUSIP: 3138M0SX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     506460 | PA      | $483946.11     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2042#AO9795                                                                    | CUSIP: 3138M13D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41823 | PA      | $39830.75      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 7/42 #AO9368                                                                             | CUSIP: 3138M1MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4341 | PA      | $4137.70       | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 8/27 #AO9903                                                                        | CUSIP: 3138M2AD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1682 | PA      | $1665.77       | 0.00%             | 2027-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 8/27 #AP0318                                                                        | CUSIP: 3138M3K86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2006 | PA      | $1986.83       | 0.00%             | 2027-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 9/27 #AP0325                                                                        | CUSIP: 3138M3LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19304 | PA      | $19117.43      | 0.00%             | 2027-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 7/42 #AP0909                                                                             | CUSIP: 3138M4AK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40452 | PA      | $38420.12      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 7/42 #AP1055                                                                             | CUSIP: 3138M4E57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219255 | PA      | $208525.11     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 8/42 #AP1179                                                                             | CUSIP: 3138M4JZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42324 | PA      | $40300.79      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.50% 7/27 #AP1368                                                                        | CUSIP: 3138M4QW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3326 | PA      | $3283.69       | 0.00%             | 2027-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.50% 8/27 #AP1403                                                                        | CUSIP: 3138M4RZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        824 | PA      | $813.76        | 0.00%             | 2027-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2042#AP2131                                                                    | CUSIP: 3138M5LM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2291206 | PA      | $2186167.11    | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2042#AP2133                                                                    | CUSIP: 3138M5LP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4129606 | PA      | $3940301.67    | 0.01%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 9/27 #AP3217                                                                        | CUSIP: 3138M6SF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12423 | PA      | $12297.93      | 0.00%             | 2027-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 9/42 #AP3313                                                                             | CUSIP: 3138M6VF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1494224 | PA      | $1425441.91    | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 9/42 #AP3391                                                                             | CUSIP: 3138M6XV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94027 | PA      | $89937.72      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2027#AP3431                                                                    | CUSIP: 3138M6Y50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5126 | PA      | $5059.13       | 0.00%             | 2027-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 7/42 #AP3807                                                                             | CUSIP: 3138M7GR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212503 | PA      | $204339.34     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.50% 8/27 #AP4055                                                                        | CUSIP: 3138M7QH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1809 | PA      | $1786.70       | 0.00%             | 2027-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 9/42 #AP4091                                                                             | CUSIP: 3138M7RM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378188 | PA      | $360622.87     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 8/42 #AP4266                                                                             | CUSIP: 3138M7W43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     409235 | PA      | $389938.42     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 8/42 #AP5377                                                                             | CUSIP: 3138M86P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29812 | PA      | $28439.23      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 9/42 #AP5395                                                                             | CUSIP: 3138M87H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68931 | PA      | $65534.47      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2042#AP4561                                                                    | CUSIP: 3138M8B77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47801 | PA      | $45658.93      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 8/27 #AP4723                                                                        | CUSIP: 3138M8G98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1090 | PA      | $1080.65       | 0.00%             | 2027-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 08/01/2027#AP4728                                                                    | CUSIP: 3138M8HE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3048 | PA      | $3021.24       | 0.00%             | 2027-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.50% 8/27 #AP4742                                                                        | CUSIP: 3138M8HU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26814 | PA      | $26482.91      | 0.00%             | 2027-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 09/01/2042#AP4782                                                                    | CUSIP: 3138M8J46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110536 | PA      | $103012.99     | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 9/42 #AP4813                                                                             | CUSIP: 3138M8K36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     595819 | PA      | $571378.70     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 10/27 #AP4931                                                                       | CUSIP: 3138M8PR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6323 | PA      | $6263.80       | 0.00%             | 2027-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 9/42 #AP4987                                                                             | CUSIP: 3138M8RH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     284676 | PA      | $272178.53     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 9/42 #AP5129                                                                             | CUSIP: 3138M8VX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223464 | PA      | $213047.86     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 8/42 #AP5639                                                                             | CUSIP: 3138M9HR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103963 | PA      | $98841.68      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 8/42 #AP5656                                                                             | CUSIP: 3138M9JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57388 | PA      | $55082.84      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 8/42 #AP5668                                                                             | CUSIP: 3138M9JN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144525 | PA      | $138037.14     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 9/42 #AP5677                                                                             | CUSIP: 3138M9JX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222003 | PA      | $211051.74     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 11/01/2042#AP5821                                                                    | CUSIP: 3138M9PF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50428 | PA      | $46949.37      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2042#AP5921                                                                    | CUSIP: 3138M9SK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261065 | PA      | $248373.26     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AP6044                                                                    | CUSIP: 3138M9WE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37327 | PA      | $34538.89      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AP6049                                                                    | CUSIP: 3138M9WK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5246 | PA      | $4854.63       | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AP6053                                                                    | CUSIP: 3138M9WP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49714 | PA      | $48947.21      | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 8/27 #AP6131                                                                        | CUSIP: 3138M9Y54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9006 | PA      | $8917.24       | 0.00%             | 2027-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 10/42 #AP7148                                                                            | CUSIP: 3138MA5J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109518 | PA      | $104461.33     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 9/42 #AP6335                                                                             | CUSIP: 3138MABD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     415201 | PA      | $395888.09     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 10/01/2042#AP6445                                                                    | CUSIP: 3138MAET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23508 | PA      | $22021.81      | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 10/42 #AP6486                                                                            | CUSIP: 3138MAF45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34890 | PA      | $33219.25      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 9/42 #AP6523                                                                             | CUSIP: 3138MAG93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39050 | PA      | $37352.16      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2027#                                                                          | CUSIP: 3138MBLQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17237 | PA      | $17017.43      | 0.00%             | 2027-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 9/42 #AP7688                                                                             | CUSIP: 3138MBRJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35672 | PA      | $33868.73      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 10/42 #AP7882                                                                            | CUSIP: 3138MBXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     618473 | PA      | $589601.55     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2042#AP7959                                                                    | CUSIP: 3138MBZZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72589 | PA      | $69474.58      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 11/01/2043#AP8328                                                                    | CUSIP: 3138MCHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14486 | PA      | $13362.10      | 0.00%             | 2043-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2042#AP8604                                                                    | CUSIP: 3138MCR22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163520 | PA      | $155909.83     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2042#AP8650                                                                    | CUSIP: 3138MCTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64887 | PA      | $61812.65      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 9/27 #AP9360                                                                        | CUSIP: 3138MDMJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4943 | PA      | $4894.38       | 0.00%             | 2027-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 10/01/2027#AP9565                                                                    | CUSIP: 3138MDTX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36861 | PA      | $36643.39      | 0.00%             | 2027-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 10/01/2042#                                                                          | CUSIP: 3138MDV33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66090 | PA      | $59402.17      | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 10/42 #AP9735                                                                            | CUSIP: 3138MDY97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2124903 | PA      | $2025749.46    | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 10/42 #AP9736                                                                            | CUSIP: 3138MDZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     581130 | PA      | $553348.01     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2042#AP9980                                                                    | CUSIP: 3138MECS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     431353 | PA      | $409404.22     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.50% 10/27 #AQ0034                                                                       | CUSIP: 3138MFBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18781 | PA      | $18542.22      | 0.00%             | 2027-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 10/42 #AQ0088                                                                            | CUSIP: 3138MFC21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83343 | PA      | $79131.37      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 11/42 #AQ0198                                                                            | CUSIP: 3138MFGG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96477 | PA      | $92000.22      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2042#AQ0417                                                                    | CUSIP: 3138MFPB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1018381 | PA      | $972481.56     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2027#                                                                          | CUSIP: 3138MFPX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61503 | PA      | $60697.11      | 0.00%             | 2027-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2042#AQ0980                                                                    | CUSIP: 3138MGCS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30823 | PA      | $29417.69      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2042#AQ1008                                                                    | CUSIP: 3138MGDN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122180 | PA      | $116225.11     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2042#AQ2904                                                                    | CUSIP: 3138MJGN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166626 | PA      | $157912.43     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.50% 11/27 #AQ3216                                                                       | CUSIP: 3138MJSE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10229 | PA      | $10098.61      | 0.00%             | 2027-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 11/01/2042#AQ3269                                                                    | CUSIP: 3138MJT33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     517473 | PA      | $480665.55     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AQ3971                                                                    | CUSIP: 3138MKMV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31050 | PA      | $30544.74      | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2042#AQ4571                                                                    | CUSIP: 3138MLCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1113725 | PA      | $1062720.24    | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2042#AQ4668                                                                    | CUSIP: 3138MLFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227901 | PA      | $217036.49     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2042#AQ4697                                                                    | CUSIP: 3138MLGF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47462 | PA      | $45291.36      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 11/01/2027#AQ4712                                                                    | CUSIP: 3138MLGW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56409 | PA      | $56075.83      | 0.00%             | 2027-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 11/01/2042#AQ4752                                                                    | CUSIP: 3138MLH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223069 | PA      | $207679.20     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2027#AQ4724                                                                    | CUSIP: 3138MLHA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132292 | PA      | $130509.80     | 0.00%             | 2027-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 03/01/2043#AQ4964                                                                    | CUSIP: 3138MLQS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119261 | PA      | $107158.38     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2028#AQ5082                                                                    | CUSIP: 3138MLUG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6232 | PA      | $6145.79       | 0.00%             | 2028-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 11/01/2042#AQ5132                                                                    | CUSIP: 3138MLV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     966836 | PA      | $897727.21     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AQ5175                                                                    | CUSIP: 3138MLXD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220243 | PA      | $204006.98     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 12/01/2027#AQ5189                                                                    | CUSIP: 3138MLXT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1493 | PA      | $1476.96       | 0.00%             | 2027-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2042#AQ5434                                                                    | CUSIP: 3138MMBC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187648 | PA      | $178710.76     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2042#AQ5483                                                                    | CUSIP: 3138MMCV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77959 | PA      | $74014.19      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 11/01/2042#AQ6047                                                                    | CUSIP: 3138MMWH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113438 | PA      | $105430.90     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/1/42 #AQ7097                                                                      | CUSIP: 3138MN3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122387 | PA      | $116815.60     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2043#AQ7194                                                                    | CUSIP: 3138MN7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1941072 | PA      | $1848201.11    | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2042#AQ6709                                                                    | CUSIP: 3138MNN30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40789 | PA      | $39356.25      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2027#AQ6901                                                                    | CUSIP: 3138MNU32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6733 | PA      | $6639.81       | 0.00%             | 2027-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2027#AQ6932                                                                    | CUSIP: 3138MNV23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14528 | PA      | $14332.71      | 0.00%             | 2027-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2027#AQ6933                                                                    | CUSIP: 3138MNV31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23615 | PA      | $23288.67      | 0.00%             | 2027-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2043#AQ8046                                                                    | CUSIP: 3138MP5G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112925 | PA      | $107694.72     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2027#AQ7434                                                                    | CUSIP: 3138MPHL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4959 | PA      | $4890.58       | 0.00%             | 2027-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2042#AQ7441                                                                    | CUSIP: 3138MPHT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3811 | PA      | $3617.65       | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2042#AQ8904                                                                    | CUSIP: 3138MQ3N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19656 | PA      | $18700.00      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2042#AQ8905                                                                    | CUSIP: 3138MQ3P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37080 | PA      | $35270.66      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2028#AQ8354                                                                    | CUSIP: 3138MQH89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13468 | PA      | $13286.37      | 0.00%             | 2028-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2027#AQ8455                                                                    | CUSIP: 3138MQMD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9953 | PA      | $9815.83       | 0.00%             | 2027-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2043#AQ8506                                                                    | CUSIP: 3138MQNY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     288763 | PA      | $275040.20     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AQ8684                                                                    | CUSIP: 3138MQUJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27416 | PA      | $25417.91      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2027#AQ9826                                                                    | CUSIP: 3138MR4L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14576 | PA      | $14369.70      | 0.00%             | 2027-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2042#AQ9015                                                                    | CUSIP: 3138MRAR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     616776 | PA      | $585383.70     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 12/42 #AQ9085                                                                            | CUSIP: 3138MRCX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55818 | PA      | $53553.33      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AQ9323                                                                    | CUSIP: 3138MRLD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7878 | PA      | $7298.87       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2043#AQ9330                                                                    | CUSIP: 3138MRLL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     310921 | PA      | $295961.39     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2028#AQ9362                                                                    | CUSIP: 3138MRML2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38253 | PA      | $37724.24      | 0.00%             | 2028-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2042#AQ9567                                                                    | CUSIP: 3138MRTZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     291484 | PA      | $278288.79     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2043#AQ9947                                                                    | CUSIP: 3138MSBR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9319 | PA      | $8898.94       | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2043#AR0004                                                                    | CUSIP: 3138NWAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66301 | PA      | $62868.80      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 1/1/43 #AR0143                                                                         | CUSIP: 3138NWER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     565055 | PA      | $528820.06     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 1/1/43 #AR0147                                                                         | CUSIP: 3138NWEV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217149 | PA      | $202649.41     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2042#AR0576                                                                    | CUSIP: 3138NWUA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277202 | PA      | $263334.67     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2043#AR0580                                                                    | CUSIP: 3138NWUE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100075 | PA      | $95206.18      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2043#AR1755                                                                    | CUSIP: 3138NX5R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     811680 | PA      | $773913.64     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 1/1/43 #AR1183                                                                       | CUSIP: 3138NXJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     297248 | PA      | $276354.48     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2043#AR1179                                                                    | CUSIP: 3138NXJZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6515 | PA      | $6208.36       | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR1196                                                                    | CUSIP: 3138NXKJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     446623 | PA      | $413778.76     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AR1831                                                                    | CUSIP: 3138NYA96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9594 | PA      | $8858.31       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR2462                                                                    | CUSIP: 3138NYWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1245505 | PA      | $1154983.86    | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2043#AR2838                                                                    | CUSIP: 3138W0EL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     594163 | PA      | $566939.46     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2043#AR2851                                                                    | CUSIP: 3138W0EZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115011 | PA      | $109446.15     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2043#AR2887                                                                    | CUSIP: 3138W0F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32404 | PA      | $29054.58      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2043#AR3075                                                                    | CUSIP: 3138W0MZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222348 | PA      | $213193.30     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2043#AR3239                                                                    | CUSIP: 3138W0S59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23904 | PA      | $22845.27      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 2/1/43#AR3322                                                                        | CUSIP: 3138W0VQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175457 | PA      | $167823.92     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2028#AR3368                                                                    | CUSIP: 3138W0W62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15098 | PA      | $14884.14      | 0.00%             | 2028-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 2/1/43 #AR3341                                                                       | CUSIP: 3138W0WB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     469231 | PA      | $446231.44     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 2/1/43 #AR3376                                                                       | CUSIP: 3138W0XE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93622 | PA      | $89375.97      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2028#AR3758                                                                    | CUSIP: 3138W1E86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4032 | PA      | $3968.45       | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AR3845                                                                    | CUSIP: 3138W1HX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164071 | PA      | $152047.90     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2043#AR3898                                                                    | CUSIP: 3138W1KL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     730846 | PA      | $695262.91     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.5% 02/01/43 #AR4118                                                                          | CUSIP: 3138W1SG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     290640 | PA      | $275351.15     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AR4341                                                                    | CUSIP: 3138W1ZF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22596 | PA      | $20985.43      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AR4349                                                                    | CUSIP: 3138W1ZP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86428 | PA      | $79903.19      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR5395                                                                    | CUSIP: 3138W27H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     366263 | PA      | $339475.55     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2042#AR4992                                                                    | CUSIP: 3138W2RN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23903 | PA      | $23002.29      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2043#AR4994                                                                    | CUSIP: 3138W2RQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98833 | PA      | $93814.58      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2043#AR5026                                                                    | CUSIP: 3138W2SQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     270513 | PA      | $256393.63     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2043#AR5407                                                                    | CUSIP: 3138W3AH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92840 | PA      | $88010.05      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AR5858                                                                    | CUSIP: 3138W3QL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362933 | PA      | $335703.74     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 04/01/2028#AR6007                                                                    | CUSIP: 3138W3U92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18148 | PA      | $17875.68      | 0.00%             | 2028-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AR7146                                                                    | CUSIP: 3138W45G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12801 | PA      | $11810.23      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 03/01/2043#AR7183                                                                    | CUSIP: 3138W46V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44689 | PA      | $41443.45      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2044#AR6458                                                                    | CUSIP: 3138W4E80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69398 | PA      | $63672.18      | 0.00%             | 2044-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2042#AR6732                                                                    | CUSIP: 3138W4PS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     252633 | PA      | $239955.29     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 03/01/2043#AR7970                                                                    | CUSIP: 3138W52C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13569 | PA      | $12287.13      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AR7295                                                                    | CUSIP: 3138W5C97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     243283 | PA      | $224863.24     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 09/01/2043#AR7329                                                                    | CUSIP: 3138W5EB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29938 | PA      | $27588.59      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AR7389                                                                    | CUSIP: 3138W5F78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119950 | PA      | $110877.44     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AR7396                                                                    | CUSIP: 3138W5GE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     414839 | PA      | $383352.90     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AR7441                                                                    | CUSIP: 3138W5HT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     394057 | PA      | $364619.64     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 03/43 #AR7487                                                                        | CUSIP: 3138W5J90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2454744 | PA      | $2335829.19    | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR #AR7574 3.5% 3/1/43                                                                       | CUSIP: 3138W5MY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91313 | PA      | $86739.87      | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2028#AR7667                                                                    | CUSIP: 3138W5QV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2988 | PA      | $2945.27       | 0.00%             | 2028-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 03/01/2028#AR7904                                                                    | CUSIP: 3138W5YA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3671 | PA      | $3629.75       | 0.00%             | 2028-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AR8293                                                                    | CUSIP: 3138W6GB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9691632 | PA      | $8965832.65    | 0.01%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 03/01/2028#AR8467                                                                    | CUSIP: 3138W6MR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2130 | PA      | $2098.92       | 0.00%             | 2028-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2043#AR9130                                                                    | CUSIP: 3138W7EC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29596 | PA      | $26561.63      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 03/01/2043#AR9218                                                                    | CUSIP: 3138W7G40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6176 | PA      | $5715.16       | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 03/01/2043#AR9197                                                                    | CUSIP: 3138W7GF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25076 | PA      | $23225.80      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 03/01/2043#AR9198                                                                    | CUSIP: 3138W7GG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171802 | PA      | $159060.50     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 03/01/2028#AR9248                                                                    | CUSIP: 3138W7H23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36586 | PA      | $36053.58      | 0.00%             | 2028-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 04/01/2043#AR9285                                                                    | CUSIP: 3138W7J70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107287 | PA      | $98747.51      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2043#AR9398                                                                    | CUSIP: 3138W7NQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86744 | PA      | $82479.00      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 04/01/2028#AR9488                                                                    | CUSIP: 3138W7RJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43153 | PA      | $42524.46      | 0.00%             | 2028-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2043#AR9512                                                                    | CUSIP: 3138W7SA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41326 | PA      | $37668.51      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2028#AR9574                                                                    | CUSIP: 3138W7T87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292666 | PA      | $288277.34     | 0.00%             | 2028-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 10/01/2028#AS0768                                                                    | CUSIP: 3138W92A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277986 | PA      | $276171.28     | 0.00%             | 2028-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 10/01/2043#AS0774                                                                    | CUSIP: 3138W92G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     411345 | PA      | $379909.24     | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/43#AS0830                                                                      | CUSIP: 3138W94Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217071 | PA      | $218156.07     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 10/01/2043#AS0837                                                                    | CUSIP: 3138W94X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68756 | PA      | $70441.79      | 0.00%             | 2043-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2043#AS0860                                                                    | CUSIP: 3138W95W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1259 | PA      | $1266.21       | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 10/01/2043#AS0863                                                                    | CUSIP: 3138W95Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6058 | PA      | $5594.94       | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 7/1/43 #AS0025                                                                       | CUSIP: 3138W9A34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3987783 | PA      | $3791313.34    | 0.01%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AS0017                                                                    | CUSIP: 3138W9AT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     429406 | PA      | $396447.31     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AS0018                                                                    | CUSIP: 3138W9AU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196138 | PA      | $181077.49     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2043#AS0216                                                                    | CUSIP: 3138W9G20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     961497 | PA      | $912807.04     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 08/01/2043#AS0234                                                                    | CUSIP: 3138W9HL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47838 | PA      | $46827.99      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 08/01/2043#AS0263                                                                    | CUSIP: 3138W9JH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141324 | PA      | $144788.67     | 0.00%             | 2043-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AS0301                                                                    | CUSIP: 3138W9KP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112731 | PA      | $104116.60     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AS0302                                                                    | CUSIP: 3138W9KQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     366298 | PA      | $338309.39     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 09/01/2028#AS0504                                                                    | CUSIP: 3138W9R28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     941162 | PA      | $935103.54     | 0.00%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 08/01/2043#AS0513                                                                    | CUSIP: 3138W9SB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80136 | PA      | $71486.66      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 09/01/2043#AS0574                                                                    | CUSIP: 3138W9T83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5979 | PA      | $6125.41       | 0.00%             | 2043-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 09/01/2043#AS0575                                                                    | CUSIP: 3138W9T91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     800625 | PA      | $820253.50     | 0.00%             | 2043-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2043#AS0563                                                                    | CUSIP: 3138W9TV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74944 | PA      | $75349.12      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 10/43#AS0657                                                                         | CUSIP: 3138W9WT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62640 | PA      | $61369.17      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 11/01/2028#AS0907                                                                    | CUSIP: 3138WAAH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3019 | PA      | $2998.84       | 0.00%             | 2028-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2043#AS1133                                                                    | CUSIP: 3138WAHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     316842 | PA      | $318474.95     | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 12/01/2043#AS1254                                                                    | CUSIP: 3138WAMC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104842 | PA      | $107412.97     | 0.00%             | 2043-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2044#AS1585                                                                    | CUSIP: 3138WAXP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16654 | PA      | $16738.61      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 01/01/2044#AS1594                                                                    | CUSIP: 3138WAXY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64514 | PA      | $66095.18      | 0.00%             | 2044-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 02/01/2029#AS1621                                                                    | CUSIP: 3138WAYT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     824569 | PA      | $813686.68     | 0.00%             | 2029-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 06/01/2029#AS2576                                                                    | CUSIP: 3138WB2J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10724 | PA      | $10568.42      | 0.00%             | 2029-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 06/01/2029#AS2579                                                                    | CUSIP: 3138WB2M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53941 | PA      | $53165.77      | 0.00%             | 2029-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 06/01/2029#AS2676                                                                    | CUSIP: 3138WB6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11495 | PA      | $11329.92      | 0.00%             | 2029-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 06/01/2029#AS2679                                                                    | CUSIP: 3138WB6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274473 | PA      | $270665.80     | 0.00%             | 2029-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2044#AS1845                                                                    | CUSIP: 3138WBBP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94868 | PA      | $95323.18      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 03/01/2029#AS1987                                                                    | CUSIP: 3138WBF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     648986 | PA      | $639747.01     | 0.00%             | 2029-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 02/01/2029#AS1988                                                                    | CUSIP: 3138WBF67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     469269 | PA      | $463197.29     | 0.00%             | 2029-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 03/01/2044#AS2048                                                                    | CUSIP: 3138WBH24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114638 | PA      | $117447.30     | 0.00%             | 2044-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2044#AS2074                                                                    | CUSIP: 3138WBJU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92789 | PA      | $93233.24      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 04/01/2029#AS2228                                                                    | CUSIP: 3138WBPN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25620 | PA      | $25294.86      | 0.00%             | 2029-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2044#AS2348                                                                    | CUSIP: 3138WBTE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     494153 | PA      | $496506.14     | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/44#AS2350                                                                      | CUSIP: 3138WBTG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17722 | PA      | $17809.04      | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2029#AS2450                                                                    | CUSIP: 3138WBWL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60686 | PA      | $59523.10      | 0.00%             | 2029-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2044#AS2514                                                                    | CUSIP: 3138WBYL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64071 | PA      | $64382.98      | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 06/01/2044#AS2548                                                                    | CUSIP: 3138WBZN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4701 | PA      | $4598.37       | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2044#AS2731                                                                    | CUSIP: 3138WCA94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40110 | PA      | $40301.83      | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 07/01/2029#AS2766                                                                    | CUSIP: 3138WCCC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31859 | PA      | $31389.27      | 0.00%             | 2029-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 07/01/2029#AS2801                                                                    | CUSIP: 3138WCDF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105582 | PA      | $103972.42     | 0.00%             | 2029-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 07/01/2029#AS2874                                                                    | CUSIP: 3138WCFQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190133 | PA      | $187330.34     | 0.00%             | 2029-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 03/01/2029#AS2875                                                                    | CUSIP: 3138WCFR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32496 | PA      | $32058.33      | 0.00%             | 2029-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 08/01/2044#AS2987                                                                    | CUSIP: 3138WCJ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33453 | PA      | $32686.05      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 07/01/2044#AS2960                                                                    | CUSIP: 3138WCJE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1146 | PA      | $1121.54       | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 08/01/2044#AS3154                                                                    | CUSIP: 3138WCQG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12111 | PA      | $11847.32      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2044#AS3182                                                                    | CUSIP: 3138WCRC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135165 | PA      | $135756.85     | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 09/01/2044#AS3236                                                                    | CUSIP: 3138WCS20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1813845 | PA      | $1773674.97    | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2029#AS3214                                                                    | CUSIP: 3138WCSC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5215 | PA      | $5102.52       | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 09/01/2029#AS3220                                                                    | CUSIP: 3138WCSJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10949 | PA      | $10785.97      | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2029#AS3348                                                                    | CUSIP: 3138WCWJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     898366 | PA      | $879069.25     | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 09/01/44#AS3402                                                                      | CUSIP: 3138WCX81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110755 | PA      | $108486.99     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 09/01/2044#AS3392                                                                    | CUSIP: 3138WCXW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4682095 | PA      | $4578819.78    | 0.01%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 09/01/2044#AS3417                                                                    | CUSIP: 3138WCYP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16172 | PA      | $16586.99      | 0.00%             | 2044-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 10/01/2029#AS3465                                                                    | CUSIP: 3138WCZ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2574 | PA      | $2534.04       | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2045#AS4457                                                                    | CUSIP: 3138WD5T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65629 | PA      | $61917.76      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 02/01/2030#AS4466                                                                    | CUSIP: 3138WD6C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258768 | PA      | $254616.37     | 0.00%             | 2030-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2045#AS4474                                                                    | CUSIP: 3138WD6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61523 | PA      | $56364.01      | 0.00%             | 2045-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 10/01/2044#AS3634                                                                    | CUSIP: 3138WDBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39050 | PA      | $38192.52      | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/44#AS3654                                                                      | CUSIP: 3138WDBY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98079 | PA      | $98597.36      | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 03/01/2029#AS3742                                                                    | CUSIP: 3138WDEQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104881 | PA      | $103127.95     | 0.00%             | 2029-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2029#AS3746                                                                    | CUSIP: 3138WDEU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95740 | PA      | $93683.30      | 0.00%             | 2029-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2044#AS3881                                                                    | CUSIP: 3138WDJ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2527 | PA      | $2539.93       | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 11/01/2044#AS3904                                                                    | CUSIP: 3138WDKS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57293 | PA      | $55991.19      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 11/01/2044#AS3905                                                                    | CUSIP: 3138WDKT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48324 | PA      | $47233.32      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 11/01/2044#AS3906                                                                    | CUSIP: 3138WDKU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     613732 | PA      | $600003.51     | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 11/01/2044#AS3907                                                                    | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197922 | PA      | $193521.36     | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 12/01/2029#AS3934                                                                    | CUSIP: 3138WDLQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     425212 | PA      | $418526.97     | 0.00%             | 2029-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 12/01/2044#AS3956                                                                    | CUSIP: 3138WDME8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27213 | PA      | $26608.09      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 12/01/2044#AS3957                                                                    | CUSIP: 3138WDMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42478 | PA      | $41533.77      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 12/01/2044#AS4168                                                                    | CUSIP: 3138WDT27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70104 | PA      | $68511.78      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 09/01/2044#AS4173                                                                    | CUSIP: 3138WDT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114298 | PA      | $111790.65     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2045#AS4235                                                                    | CUSIP: 3138WDV57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4234274 | PA      | $4008196.26    | 0.01%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 7/30#AS5294                                                                          | CUSIP: 3138WE3C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16798 | PA      | $16507.02      | 0.00%             | 2030-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2030#AS4946                                                                    | CUSIP: 3138WEP86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7124 | PA      | $6955.39       | 0.00%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2045#AS5072                                                                    | CUSIP: 3138WET66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     634500 | PA      | $581246.34     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/45#AS5181                                                                      | CUSIP: 3138WEXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90111 | PA      | $84983.41      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2045#AS6190                                                                    | CUSIP: 3138WF2Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2399358 | PA      | $2262357.89    | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2045#AS6191                                                                    | CUSIP: 3138WF2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2227230 | PA      | $2100050.99    | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/45#AS5696                                                                      | CUSIP: 3138WFKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4735847 | PA      | $4466454.26    | 0.01%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.5% 09/45#AS5722                                                                              | CUSIP: 3138WFLC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8600 | PA      | $8111.45       | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2030#AS5728                                                                      | CUSIP: 3138WFLJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6888 | PA      | $6768.57       | 0.00%             | 2030-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2045#AS5906                                                                    | CUSIP: 3138WFR40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4691 | PA      | $4424.31       | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 10/30#AS6096                                                                         | CUSIP: 3138WFX27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68769 | PA      | $67498.73      | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/45#AS6101                                                                      | CUSIP: 3138WFX76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3008110 | PA      | $2837869.72    | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.5% 11/45#AS6131                                                                              | CUSIP: 3138WFY59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2562204 | PA      | $2417030.07    | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 03/01/2043#AT0232                                                                    | CUSIP: 3138WMHJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21585 | PA      | $19961.02      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 10/01/2043#AT0536                                                                    | CUSIP: 3138WMS28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63628 | PA      | $62290.25      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.5% 4/1/43 #AT0687                                                                            | CUSIP: 3138WMXR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     439242 | PA      | $418926.34     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 4/1/43 #AT1744                                                                       | CUSIP: 3138WN5E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56325 | PA      | $53381.86      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2043#AT1107                                                                    | CUSIP: 3138WNGR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132252 | PA      | $126484.33     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AT1602                                                                    | CUSIP: 3138WNX87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133449 | PA      | $131275.92     | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AT1572                                                                    | CUSIP: 3138WNXA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79052 | PA      | $73077.17      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AT1609                                                                    | CUSIP: 3138WNYF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     692634 | PA      | $640167.24     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2028#AT2604                                                                    | CUSIP: 3138WP3N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18469 | PA      | $18167.81      | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AT2610                                                                    | CUSIP: 3138WP3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10112 | PA      | $9947.44       | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2043#AT2668                                                                    | CUSIP: 3138WP6E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147785 | PA      | $133524.92     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AT1964                                                                    | CUSIP: 3138WPFE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216299 | PA      | $200371.36     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 04/01/2043#AT2016                                                                    | CUSIP: 3138WPG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1368615 | PA      | $1265509.20    | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2043#AT2008                                                                    | CUSIP: 3138WPGS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     455916 | PA      | $408511.11     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 04/01/2043#AT2011                                                                    | CUSIP: 3138WPGV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51875 | PA      | $48135.67      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 04/01/2028#AT2062                                                                    | CUSIP: 3138WPJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70004 | PA      | $68953.91      | 0.00%             | 2028-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 04/01/2043#AT2127                                                                    | CUSIP: 3138WPLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69465 | PA      | $64274.31      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 03/01/2043#AT2297                                                                    | CUSIP: 3138WPRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213275 | PA      | $192086.98     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2028#AT2512                                                                    | CUSIP: 3138WPYJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4411 | PA      | $4353.01       | 0.00%             | 2028-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AT3526                                                                    | CUSIP: 3138WQ4L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87782 | PA      | $81184.94      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AT2725                                                                    | CUSIP: 3138WQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1085638 | PA      | $1004251.06    | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/01/2043#AT2717                                                                    | CUSIP: 3138WQAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93608 | PA      | $83744.00      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AT2721                                                                    | CUSIP: 3138WQAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1665571 | PA      | $1542493.92    | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 5/43#AT2722                                                                          | CUSIP: 3138WQAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1956819 | PA      | $1810112.03    | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2043#AT3094                                                                    | CUSIP: 3138WQNL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1573056 | PA      | $1412356.00    | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AT3359                                                                    | CUSIP: 3138WQWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39104 | PA      | $36174.02      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 04/01/2043#AT3999                                                                    | CUSIP: 3138WRNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174568 | PA      | $161598.07     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AT4045                                                                    | CUSIP: 3138WRP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95891 | PA      | $88637.27      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AT4165                                                                    | CUSIP: 3138WRTX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3366238 | PA      | $3108318.57    | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AT4321                                                                    | CUSIP: 3138WRYT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200127 | PA      | $184865.64     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 04/01/2043#AT5378                                                                    | CUSIP: 3138WS6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     518304 | PA      | $479420.81     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AT4670                                                                    | CUSIP: 3138WSFL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61058 | PA      | $56476.56      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AT4843                                                                    | CUSIP: 3138WSLZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272864 | PA      | $254224.58     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AT4852                                                                    | CUSIP: 3138WSMA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     334809 | PA      | $310226.55     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AT4941                                                                    | CUSIP: 3138WSP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31344 | PA      | $28965.85      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2028#AT4965                                                                    | CUSIP: 3138WSQT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11711 | PA      | $11540.16      | 0.00%             | 2028-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2028#AT4999                                                                    | CUSIP: 3138WSRV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7082 | PA      | $6976.19       | 0.00%             | 2028-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 5/1/43 #AT5063                                                                       | CUSIP: 3138WSTV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     989314 | PA      | $944339.47     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 5/1/43 #AT5076                                                                       | CUSIP: 3138WSUA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     429971 | PA      | $407171.24     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 04/01/2043#AT5129                                                                    | CUSIP: 3138WSVX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39168 | PA      | $36061.98      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AT5457                                                                    | CUSIP: 3138WTB39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31499 | PA      | $29040.34      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2028#AT5586                                                                    | CUSIP: 3138WTF43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2897 | PA      | $2852.33       | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2028#AT5629                                                                    | CUSIP: 3138WTHF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44435 | PA      | $43729.98      | 0.00%             | 2028-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AT5691                                                                    | CUSIP: 3138WTKD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118325 | PA      | $109238.61     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2028#AT5814                                                                    | CUSIP: 3138WTN85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1053 | PA      | $1034.98       | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2028#AT5798                                                                    | CUSIP: 3138WTNQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6139 | PA      | $6036.20       | 0.00%             | 2028-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AT5898                                                                    | CUSIP: 3138WTRU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41844 | PA      | $38713.18      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2028#AT6164                                                                    | CUSIP: 3138WTZ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18507 | PA      | $18205.67      | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AT7130                                                                    | CUSIP: 3138WU4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1609385 | PA      | $1488777.27    | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2043#AT7140                                                                    | CUSIP: 3138WU5A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170978 | PA      | $162985.07     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AT6466                                                                    | CUSIP: 3138WUFG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4605 | PA      | $4231.90       | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AT6540                                                                    | CUSIP: 3138WUHS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193484 | PA      | $179810.43     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AT6971                                                                    | CUSIP: 3138WUW90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72312 | PA      | $66760.20      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AT6995                                                                    | CUSIP: 3138WUXZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209254 | PA      | $193422.23     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AT8023                                                                    | CUSIP: 3138WV4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228777 | PA      | $225346.82     | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AT8026                                                                    | CUSIP: 3138WV4L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45369 | PA      | $41921.93      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AT8036                                                                    | CUSIP: 3138WV4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81382 | PA      | $75303.53      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AT8037                                                                    | CUSIP: 3138WV4X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69128 | PA      | $63559.39      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2043#AT8098                                                                    | CUSIP: 3138WV7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3252 | PA      | $3079.49       | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AT7231                                                                    | CUSIP: 3138WVA92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40170 | PA      | $39482.41      | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2028#AT7216                                                                    | CUSIP: 3138WVAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1004525 | PA      | $988593.50     | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AT7222                                                                    | CUSIP: 3138WVAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62442 | PA      | $57771.84      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AT7232                                                                    | CUSIP: 3138WVBA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3856 | PA      | $3787.92       | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 09/01/2043#AT7265                                                                    | CUSIP: 3138WVCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292251 | PA      | $269988.50     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2043#AT7301                                                                    | CUSIP: 3138WVDF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1718 | PA      | $1644.94       | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2043#AT7382                                                                    | CUSIP: 3138WVFY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174773 | PA      | $165198.16     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2043#AT7401                                                                    | CUSIP: 3138WVGK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20561 | PA      | $19549.12      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AT7621                                                                    | CUSIP: 3138WVPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36993 | PA      | $34213.39      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AT7623                                                                    | CUSIP: 3138WVPH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11832 | PA      | $10946.67      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2028#AT7850                                                                    | CUSIP: 3138WVWL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21851 | PA      | $21477.00      | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2028#AT7881                                                                    | CUSIP: 3138WVXK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25515 | PA      | $25110.84      | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AT7962                                                                    | CUSIP: 3138WVZ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179754 | PA      | $165955.49     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AT8135                                                                    | CUSIP: 3138WWBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113888 | PA      | $105206.02     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AT8350                                                                    | CUSIP: 3138WWH44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1698 | PA      | $1667.81       | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AT8419                                                                    | CUSIP: 3138WWK99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     259878 | PA      | $240245.78     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2028#AT8451                                                                    | CUSIP: 3138WWL98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5979 | PA      | $5891.99       | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AT8489                                                                    | CUSIP: 3138WWNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     270406 | PA      | $249769.55     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AT8490                                                                    | CUSIP: 3138WWNG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     888707 | PA      | $820286.50     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AT8586                                                                    | CUSIP: 3138WWRG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147847 | PA      | $136701.58     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AT8671                                                                    | CUSIP: 3138WWT58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44515 | PA      | $40920.96      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AT8666                                                                    | CUSIP: 3138WWTY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128006 | PA      | $125975.36     | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 10/01/2043#AT8713                                                                    | CUSIP: 3138WWVF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89233 | PA      | $82441.35      | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2028#AT8768                                                                    | CUSIP: 3138WWW62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6599 | PA      | $6494.25       | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2028#AT8854                                                                    | CUSIP: 3138WWZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121002 | PA      | $119134.87     | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AT9035                                                                    | CUSIP: 3138WXBD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8738 | PA      | $8035.06       | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AT9127                                                                    | CUSIP: 3138WXD95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72393 | PA      | $66813.67      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2028#AT9319                                                                    | CUSIP: 3138WXK97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22712 | PA      | $22323.11      | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2043#AT9302                                                                    | CUSIP: 3138WXKQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70579 | PA      | $67057.61      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AT9323                                                                    | CUSIP: 3138WXLD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9691 | PA      | $8990.22       | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AT9520                                                                    | CUSIP: 3138WXSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7656 | PA      | $7070.80       | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AT9553                                                                    | CUSIP: 3138WXTK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7566 | PA      | $7443.24       | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AT9664                                                                    | CUSIP: 3138WXW29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74110 | PA      | $68464.02      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AT9695                                                                    | CUSIP: 3138WXXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     323355 | PA      | $299045.04     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2028#AT9925                                                                    | CUSIP: 3138WYA39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9737 | PA      | $9582.77       | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AT9960                                                                    | CUSIP: 3138WYB61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7484 | PA      | $7356.03       | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AU0827                                                                    | CUSIP: 3138WZ4M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17976 | PA      | $16814.52      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AU0548                                                                    | CUSIP: 3138WZTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108556 | PA      | $100733.42     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AU0550                                                                    | CUSIP: 3138WZTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134144 | PA      | $123860.14     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 08/01/2028#AU0675                                                                    | CUSIP: 3138WZXD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31536 | PA      | $31332.87      | 0.00%             | 2028-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AU0735                                                                    | CUSIP: 3138WZY97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12722 | PA      | $12503.86      | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2028#AU0766                                                                    | CUSIP: 3138WZZ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21390 | PA      | $21060.22      | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AU0767                                                                    | CUSIP: 3138WZZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2216 | PA      | $2180.83       | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AU1760                                                                    | CUSIP: 3138X05W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8997 | PA      | $8842.37       | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 7/1/43 #AU0925                                                                       | CUSIP: 3138X0A32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59608 | PA      | $56736.97      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2043#AU0991                                                                    | CUSIP: 3138X0C55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115389 | PA      | $116111.81     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AU1222                                                                    | CUSIP: 3138X0LC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55715 | PA      | $51460.54      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AU1264                                                                    | CUSIP: 3138X0MN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     722449 | PA      | $667018.76     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AU1628                                                                    | CUSIP: 3138X0Y28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1002174 | PA      | $927317.40     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AU1629                                                                    | CUSIP: 3138X0Y36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     593035 | PA      | $548332.08     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AU1630                                                                    | CUSIP: 3138X0Y44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16996 | PA      | $15714.71      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 7/1/43 #AU1631                                                                       | CUSIP: 3138X0Y51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1010566 | PA      | $934007.68     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AU1632                                                                    | CUSIP: 3138X0Y69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     706252 | PA      | $653257.50     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AU1658                                                                    | CUSIP: 3138X0ZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2387 | PA      | $2347.97       | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2028#AU2619                                                                    | CUSIP: 3138X14D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14643 | PA      | $14404.93      | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 7/1/43 #AU2691                                                                       | CUSIP: 3138X17D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     887301 | PA      | $820130.59     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AU1950                                                                    | CUSIP: 3138X1EY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50168 | PA      | $49330.32      | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AU2030                                                                    | CUSIP: 3138X1HG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5815 | PA      | $5730.29       | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AU2031                                                                    | CUSIP: 3138X1HH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57408 | PA      | $56424.59      | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AU2095                                                                    | CUSIP: 3138X1KH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32871 | PA      | $30230.26      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2028#AU2225                                                                    | CUSIP: 3138X1PK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5935 | PA      | $5835.69       | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 10/01/2043#AU2288                                                                    | CUSIP: 3138X1RJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95698 | PA      | $88434.21      | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AU2804                                                                    | CUSIP: 3138X2DJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67388 | PA      | $62055.21      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AU2807                                                                    | CUSIP: 3138X2DM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78966 | PA      | $73334.33      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AU2918                                                                    | CUSIP: 3138X2G40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225710 | PA      | $208265.13     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2043#AU2960                                                                    | CUSIP: 3138X2JE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15695 | PA      | $14991.82      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AU3195                                                                    | CUSIP: 3138X2RR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26253 | PA      | $24227.76      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AU3371                                                                    | CUSIP: 3138X2W91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65164 | PA      | $59942.31      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AU3414                                                                    | CUSIP: 3138X2YL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42666 | PA      | $39506.52      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2028#AU3421                                                                    | CUSIP: 3138X2YT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84761 | PA      | $83344.50      | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AU3422                                                                    | CUSIP: 3138X2YU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73571 | PA      | $67746.53      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2028#AU3425                                                                    | CUSIP: 3138X2YX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79371 | PA      | $78112.44      | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AU3427                                                                    | CUSIP: 3138X2YZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30462 | PA      | $28167.83      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 08/01/2043#AU3753                                                                    | CUSIP: 3138X3E32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11098 | PA      | $10878.50      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 08/01/2043#AU3732                                                                    | CUSIP: 3138X3EE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100749 | PA      | $89917.91      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AU3735                                                                    | CUSIP: 3138X3EH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1899010 | PA      | $1755138.21    | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2043#AU3742                                                                    | CUSIP: 3138X3EQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53632 | PA      | $51048.81      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AU3815                                                                    | CUSIP: 3138X3GZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148162 | PA      | $136673.40     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AU3999                                                                    | CUSIP: 3138X3NR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90234 | PA      | $82919.13      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2043#AU4165                                                                    | CUSIP: 3138X3TX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9652 | PA      | $9129.32       | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 09/01/2043#AU4279                                                                    | CUSIP: 3138X3XH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2915955 | PA      | $2693965.62    | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2043#AU4285                                                                    | CUSIP: 3138X3XP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     536528 | PA      | $510158.35     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 09/01/2043#AU4291                                                                    | CUSIP: 3138X3XV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2402 | PA      | $2353.71       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 08/01/2043#AU4310                                                                    | CUSIP: 3138X3YG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107171 | PA      | $95749.51      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AU5383                                                                    | CUSIP: 3138X46V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85214 | PA      | $78703.53      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 09/01/2043#AU4920                                                                    | CUSIP: 3138X4PE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42848 | PA      | $39388.80      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 10/01/2043#AU5016                                                                    | CUSIP: 3138X4SE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     353215 | PA      | $325739.10     | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 09/01/2028#AU5731                                                                    | CUSIP: 3138X5LM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166795 | PA      | $165737.32     | 0.00%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2043#AU5890                                                                    | CUSIP: 3138X5RL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8599 | PA      | $8650.75       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2043#AU7138                                                                    | CUSIP: 3138X64Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34331 | PA      | $32443.22      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2043#AU7156                                                                    | CUSIP: 3138X65S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146792 | PA      | $139310.90     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2043#AU7166                                                                    | CUSIP: 3138X66C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3767 | PA      | $3574.93       | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2044#AU6611                                                                    | CUSIP: 3138X6KZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153661 | PA      | $154341.66     | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AU6623                                                                    | CUSIP: 3138X6LD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16918 | PA      | $15572.19      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 10/01/2043#AU6735                                                                    | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     981510 | PA      | $906780.93     | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2043#AU6917                                                                    | CUSIP: 3138X6VK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1859727 | PA      | $1765142.48    | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 11/01/2043#AU7034                                                                    | CUSIP: 3138X6Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30212 | PA      | $29583.30      | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 09/01/2043#AU8074                                                                    | CUSIP: 3138X76L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     720035 | PA      | $705592.38     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 10/01/2043#AU7265                                                                    | CUSIP: 3138X7CB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388087 | PA      | $357151.96     | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 09/01/2028#AU7325                                                                    | CUSIP: 3138X7D75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14659 | PA      | $14572.53      | 0.00%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 09/01/2043#AU7327                                                                    | CUSIP: 3138X7D91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133780 | PA      | $123637.77     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 09/01/2043#AU7774                                                                    | CUSIP: 3138X7T86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13960 | PA      | $12821.96      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2043#AU7783                                                                    | CUSIP: 3138X7UH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7398 | PA      | $7433.32       | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2043#AU8880                                                                    | CUSIP: 3138X82N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1063718 | PA      | $1007974.22    | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 09/01/2043#AU8276                                                                    | CUSIP: 3138X8FS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     485389 | PA      | $449084.70     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2043#AU8408                                                                    | CUSIP: 3138X8KW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57154 | PA      | $54256.49      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2043#AU8548                                                                    | CUSIP: 3138X8QA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21067 | PA      | $19999.44      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 10/01/2043#AU9798                                                                    | CUSIP: 3138X93G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35489 | PA      | $32775.65      | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2043#AU9268                                                                    | CUSIP: 3138X9JN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     457714 | PA      | $435315.39     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 10/01/2043#AU9652                                                                    | CUSIP: 3138X9WN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     524738 | PA      | $482818.32     | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 08/01/2029#AU9716                                                                    | CUSIP: 3138X9YN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43881 | PA      | $43250.43      | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2043#AU9914                                                                    | CUSIP: 3138XAAQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7846 | PA      | $7526.87       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2043#AV0087                                                                    | CUSIP: 3138XBCZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94307 | PA      | $89265.36      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2043#AV0225                                                                    | CUSIP: 3138XBHB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3666 | PA      | $3682.67       | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 11/01/2028#AV0639                                                                    | CUSIP: 3138XBV92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2886 | PA      | $2867.64       | 0.00%             | 2028-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 12/01/2043#AV0662                                                                    | CUSIP: 3138XBWY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126515 | PA      | $123914.52     | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2043#AV0663                                                                    | CUSIP: 3138XBWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1901 | PA      | $1910.92       | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2044#AV2423                                                                    | CUSIP: 3138XDVR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4188 | PA      | $4210.51       | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 10/01/2028#AV2431                                                                    | CUSIP: 3138XDVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        170 | PA      | $168.38        | 0.00%             | 2028-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2043#AV2918                                                                    | CUSIP: 3138XEG44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30568 | PA      | $30756.53      | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2029#AV3034                                                                    | CUSIP: 3138XELQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11632 | PA      | $11364.86      | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 02/01/2029#AV3451                                                                    | CUSIP: 3138XEZR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251183 | PA      | $249454.66     | 0.00%             | 2029-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 12/01/2043#AV4088                                                                    | CUSIP: 3138XFRJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2271 | PA      | $2326.46       | 0.00%             | 2043-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2044#AV4126                                                                    | CUSIP: 3138XFSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28116 | PA      | $28241.51      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2029#AV4811                                                                    | CUSIP: 3138XGKZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118329 | PA      | $115612.14     | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 02/01/2029#AV5687                                                                    | CUSIP: 3138XHJ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        353 | PA      | $350.98        | 0.00%             | 2029-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 03/01/2044#AV5885                                                                    | CUSIP: 3138XHRF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13464 | PA      | $13220.72      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 01/01/2044#AV6103                                                                    | CUSIP: 3138XHX97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     438522 | PA      | $429198.69     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 01/01/2029#AV6368                                                                    | CUSIP: 3138XJCE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        662 | PA      | $657.54        | 0.00%             | 2029-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 01/01/2044#AV7725                                                                    | CUSIP: 3138XKSP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89571 | PA      | $87824.56      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2044#AV7911                                                                    | CUSIP: 3138XKYH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160360 | PA      | $161241.09     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 07/01/2044#AV9827                                                                    | CUSIP: 3138XM4M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44672 | PA      | $43642.70      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 02/01/2029#AV9274                                                                    | CUSIP: 3138XMJU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30754 | PA      | $30532.26      | 0.00%             | 2029-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 03/01/2029#AV9450                                                                    | CUSIP: 3138XMQC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21485 | PA      | $21344.69      | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2044#AW0777                                                                    | CUSIP: 3138XP2K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17306 | PA      | $17383.13      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 07/01/2029#AW0053                                                                    | CUSIP: 3138XPBX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59471 | PA      | $58579.26      | 0.00%             | 2029-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2029#AW1786                                                                    | CUSIP: 3138XQ6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92166 | PA      | $90184.75      | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 03/29#AW1147                                                                         | CUSIP: 3138XQHZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5658 | PA      | $5619.11       | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 07/01/2029#AW1321                                                                    | CUSIP: 3138XQPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8520 | PA      | $8387.20       | 0.00%             | 2029-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 03/01/2029#AW1538                                                                    | CUSIP: 3138XQV81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44163 | PA      | $43855.34      | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2044#AW1582                                                                    | CUSIP: 3138XQXL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10968 | PA      | $11015.16      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 07/01/2029#AW2591                                                                    | CUSIP: 3138XR2Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5965 | PA      | $5872.94       | 0.00%             | 2029-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 08/01/2044#AW2620                                                                    | CUSIP: 3138XR4E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2729 | PA      | $2673.65       | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 10/01/2044#AW2649                                                                    | CUSIP: 3138XR5K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214622 | PA      | $210003.87     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2044#AW2045                                                                    | CUSIP: 3138XRHX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8316 | PA      | $8358.71       | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 08/01/2029#AW2096                                                                    | CUSIP: 3138XRKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76627 | PA      | $75459.23      | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2044#AW2445                                                                    | CUSIP: 3138XRWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4748 | PA      | $4769.59       | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2044#AW2706                                                                      | CUSIP: 3138XSAG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47081 | PA      | $46059.28      | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 08/01/2044#AW2965                                                                    | CUSIP: 3138XSJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34419 | PA      | $33653.63      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2044#AW3619                                                                      | CUSIP: 3138XTAV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56165 | PA      | $54976.68      | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 06/01/2029#AW3641                                                                    | CUSIP: 3138XTBK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2368 | PA      | $2334.12       | 0.00%             | 2029-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2044#AW3649                                                                    | CUSIP: 3138XTBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149300 | PA      | $150213.51     | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2044#AW3673                                                                    | CUSIP: 3138XTCK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1839 | PA      | $1847.66       | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2044#AW3733                                                                    | CUSIP: 3138XTEF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125665 | PA      | $126291.45     | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 07/01/2029#AW3914                                                                    | CUSIP: 3138XTK46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13604 | PA      | $13400.11      | 0.00%             | 2029-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 07/01/2044#AW3923                                                                    | CUSIP: 3138XTLD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159321 | PA      | $155810.30     | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2029#AW3937                                                                    | CUSIP: 3138XTLT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101672 | PA      | $99486.95      | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 08/01/2044#AW3942                                                                    | CUSIP: 3138XTLY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66403 | PA      | $65216.37      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 08/01/2029#AW4057                                                                    | CUSIP: 3138XTQK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     290411 | PA      | $286200.73     | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 08/01/2029#AW4060                                                                    | CUSIP: 3138XTQN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7690 | PA      | $7572.71       | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2029#AW4178                                                                    | CUSIP: 3138XTUC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21744 | PA      | $21293.46      | 0.00%             | 2029-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 06/01/2029#AW5318                                                                    | CUSIP: 3138XU4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4089 | PA      | $4062.28       | 0.00%             | 2029-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 08/01/2029#AW4513                                                                    | CUSIP: 3138XUAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98837 | PA      | $97306.07      | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 08/01/2044#AW4650                                                                    | CUSIP: 3138XUEY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1165 | PA      | $1142.47       | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 06/01/2029#AW4843                                                                    | CUSIP: 3138XULZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145591 | PA      | $143443.94     | 0.00%             | 2029-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 06/01/2044#AW4979                                                                    | CUSIP: 3138XUQ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53801 | PA      | $52601.09      | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 06/01/2044#AW4999                                                                    | CUSIP: 3138XURV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14895 | PA      | $14576.34      | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 07/01/2044#AW5063                                                                    | CUSIP: 3138XUTV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29818 | PA      | $29175.56      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 07/01/2029#AW5093                                                                    | CUSIP: 3138XUUT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108623 | PA      | $107048.37     | 0.00%             | 2029-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 08/01/2044#AW5109                                                                    | CUSIP: 3138XUVB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10171 | PA      | $9949.46       | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2044#AW5112                                                                    | CUSIP: 3138XUVE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70322 | PA      | $70642.85      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 08/01/2044#AW5479                                                                    | CUSIP: 3138XVCR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54349 | PA      | $53465.16      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2029#AW5657                                                                    | CUSIP: 3138XVJB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1144 | PA      | $1118.71       | 0.00%             | 2029-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 09/01/2029#AW5670                                                                    | CUSIP: 3138XVJQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2383 | PA      | $2346.54       | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 08/01/2029#AW5707                                                                    | CUSIP: 3138XVKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9401 | PA      | $9263.32       | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 08/01/2029#AW5868                                                                    | CUSIP: 3138XVQW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15282 | PA      | $15060.08      | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 07/01/2044#AW6448                                                                    | CUSIP: 3138XWEW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3911 | PA      | $3829.57       | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2029#AW8038                                                                    | CUSIP: 3138XX4Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68401 | PA      | $66881.04      | 0.00%             | 2029-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2029#AW7362                                                                    | CUSIP: 3138XXFC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208117 | PA      | $203647.02     | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 08/01/2029#AW7735                                                                    | CUSIP: 3138XXSZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17723 | PA      | $17463.33      | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 07/01/2029#AW7858                                                                    | CUSIP: 3138XXWU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14743 | PA      | $14533.48      | 0.00%             | 2029-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2029#AW7946                                                                    | CUSIP: 3138XXZL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99564 | PA      | $97462.73      | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 07/01/2029#AW8916                                                                    | CUSIP: 3138XY4A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241595 | PA      | $238091.32     | 0.00%             | 2029-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2029#AW8937                                                                    | CUSIP: 3138XY4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3872 | PA      | $3787.58       | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2029#AW8330                                                                    | CUSIP: 3138XYHG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64435 | PA      | $63149.41      | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 08/01/2044#AW8418                                                                    | CUSIP: 3138XYK86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260738 | PA      | $255211.96     | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2044#AW9024                                                                    | CUSIP: 3138XZA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2974 | PA      | $2986.09       | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2044#AW9018                                                                    | CUSIP: 3138XZAU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3272 | PA      | $3285.30       | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2029#AW9053                                                                    | CUSIP: 3138XZBX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1228 | PA      | $1201.84       | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 08/01/2029#AW9071                                                                    | CUSIP: 3138XZCH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24547 | PA      | $24184.48      | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2044#AW9239                                                                    | CUSIP: 3138XZHR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25466 | PA      | $25600.62      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 08/01/2044#AX0768                                                                    | CUSIP: 3138Y12A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51031 | PA      | $49934.95      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2029#AX0857                                                                    | CUSIP: 3138Y15T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179501 | PA      | $175779.78     | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 08/01/2029#AX0005                                                                    | CUSIP: 3138Y1AF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1269 | PA      | $1250.60       | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 08/01/2029#AX0219                                                                    | CUSIP: 3138Y1G58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278325 | PA      | $274084.88     | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2029#AX0220                                                                    | CUSIP: 3138Y1G66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78878 | PA      | $77242.38      | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2029#AX0206                                                                    | CUSIP: 3138Y1GQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144336 | PA      | $141234.69     | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2029#AX0278                                                                    | CUSIP: 3138Y1JY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1758 | PA      | $1718.37       | 0.00%             | 2029-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2029#AX0296                                                                    | CUSIP: 3138Y1KJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90728 | PA      | $88780.95      | 0.00%             | 2029-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 08/01/2029#AX0554                                                                    | CUSIP: 3138Y1TL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93794 | PA      | $92434.08      | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.5% 09/44#AX0632                                                                              | CUSIP: 3138Y1V28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7234 | PA      | $7272.60       | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2029#AX0741                                                                    | CUSIP: 3138Y1ZF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24534 | PA      | $23997.05      | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNCI 3 2014 3% 8/1/29 #AX0932                                                                       | CUSIP: 3138Y2BA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71623 | PA      | $70480.18      | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 08/01/2029#AX0947                                                                    | CUSIP: 3138Y2BR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81043 | PA      | $79749.52      | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2029#AX0970                                                                    | CUSIP: 3138Y2CG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166275 | PA      | $162579.53     | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 08/01/2044#AX0974                                                                    | CUSIP: 3138Y2CL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     593375 | PA      | $580067.11     | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2029#AX1029                                                                    | CUSIP: 3138Y2EB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218584 | PA      | $213723.89     | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 08/01/2044#AX1098                                                                    | CUSIP: 3138Y2GG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20640 | PA      | $20344.23      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 09/01/2029#AX1252                                                                    | CUSIP: 3138Y2MA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52341 | PA      | $51569.56      | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 09/01/2029#AX1333                                                                    | CUSIP: 3138Y2PT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8312 | PA      | $8248.42       | 0.00%             | 2029-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2029#AX1409                                                                    | CUSIP: 3138Y2R70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     563308 | PA      | $550987.95     | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2029#AX1981                                                                    | CUSIP: 3138Y3FX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     356546 | PA      | $349289.50     | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2029#AX2252                                                                    | CUSIP: 3138Y3QE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101139 | PA      | $98853.65      | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 10/01/2044#AX2501                                                                    | CUSIP: 3138Y3X71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20217 | PA      | $19769.28      | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 10/01/2044#AX2492                                                                    | CUSIP: 3138Y3XW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35414 | PA      | $34626.52      | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 11/01/2044#AX3550                                                                    | CUSIP: 3138Y45L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33131 | PA      | $32370.73      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 09/01/2044#AX2819                                                                    | CUSIP: 3138Y4DZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12355 | PA      | $12047.46      | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2029#AX2882                                                                    | CUSIP: 3138Y4FY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70913 | PA      | $69360.94      | 0.00%             | 2029-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 10/01/2044#AX3211                                                                    | CUSIP: 3138Y4R92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     252724 | PA      | $247047.08     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 09/01/2044#AX3195                                                                    | CUSIP: 3138Y4RR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60479 | PA      | $59118.07      | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 01/01/2045#AX3614                                                                    | CUSIP: 3138Y5AQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19612 | PA      | $19196.52      | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/45#AX3616                                                                      | CUSIP: 3138Y5AS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59315 | PA      | $56079.21      | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/29#AX3728                                                                      | CUSIP: 3138Y5EA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24250 | PA      | $23693.13      | 0.00%             | 2030-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 02/01/2045#AX3742                                                                    | CUSIP: 3138Y5EQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140799 | PA      | $137462.01     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2029#AX4161                                                                    | CUSIP: 3138Y5TT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     206657 | PA      | $202292.30     | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 09/01/2044#AX4209                                                                    | CUSIP: 3138Y5VB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3391 | PA      | $3319.08       | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2045#AX5730                                                                    | CUSIP: 3138Y7LL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222544 | PA      | $210369.27     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 10/01/2044#AX5765                                                                    | CUSIP: 3138Y7MP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220093 | PA      | $215232.09     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2029#AX7160                                                                    | CUSIP: 3138Y85W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53370 | PA      | $52388.36      | 0.00%             | 2029-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/30#AX6359                                                                      | CUSIP: 3138Y8B58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26171 | PA      | $25579.56      | 0.00%             | 2030-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/45#AX6764                                                                      | CUSIP: 3138Y8QS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166831 | PA      | $158339.31     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/44#AX7267                                                                      | CUSIP: 3138Y9CD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18257 | PA      | $18353.37      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 12/01/2029#AX7274                                                                    | CUSIP: 3138Y9CL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14194 | PA      | $14086.40      | 0.00%             | 2029-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 09/01/2044#AX7338                                                                    | CUSIP: 3138Y9EL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1781751 | PA      | $1741665.57    | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2045#AX7571                                                                    | CUSIP: 3138Y9MV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3620811 | PA      | $3422048.96    | 0.01%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2030#AX7933                                                                    | CUSIP: 3138Y9Y77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37047 | PA      | $36210.14      | 0.00%             | 2030-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/45#AX7912                                                                      | CUSIP: 3138Y9YJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57096 | PA      | $53957.85      | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2045#AX7962                                                                    | CUSIP: 3138Y9Z43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51265 | PA      | $46804.39      | 0.00%             | 2045-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 01/01/2045#AX8288                                                                    | CUSIP: 3138YAF67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134119 | PA      | $131043.23     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 09/01/2044#AX8453                                                                    | CUSIP: 3138YAMB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1458 | PA      | $1436.42       | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 01/01/2045#AX8614                                                                    | CUSIP: 3138YASC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4307 | PA      | $4212.95       | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2044#AX8858                                                                    | CUSIP: 3138YAZY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74682 | PA      | $75076.76      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 01/01/2045#AX9788                                                                    | CUSIP: 3138YB2W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47518 | PA      | $46410.54      | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 11/01/2044#AX9367                                                                    | CUSIP: 3138YBMR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9024 | PA      | $8831.96       | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 01/01/2045#AY0093                                                                    | CUSIP: 3138YDC72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80699 | PA      | $78772.98      | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2045#AY0200                                                                    | CUSIP: 3138YDGJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10149 | PA      | $9586.28       | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 01/01/2045#AY0201                                                                    | CUSIP: 3138YDGK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57339 | PA      | $55956.31      | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 01/01/2045#AY0526                                                                    | CUSIP: 3138YDSQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4589 | PA      | $4495.93       | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2045#AY0900                                                                    | CUSIP: 3138YEAA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331553 | PA      | $304300.51     | 0.00%             | 2045-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2030#AY0978                                                                    | CUSIP: 3138YECQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25967 | PA      | $25379.21      | 0.00%             | 2030-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 03/01/2045#AY1306                                                                    | CUSIP: 3138YENY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9831 | PA      | $9287.47       | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2045#AY1362                                                                    | CUSIP: 3138YEQQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38192 | PA      | $38369.67      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 01/01/2045#AY1627                                                                    | CUSIP: 3138YEYZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5654 | PA      | $5526.70       | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2030#AY1646                                                                    | CUSIP: 3138YEZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25583 | PA      | $25014.14      | 0.00%             | 2030-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/45#AY2037                                                                      | CUSIP: 3138YFHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121653 | PA      | $114748.65     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 03/01/2045#AY2788                                                                    | CUSIP: 3138YGC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48754 | PA      | $47616.79      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 04/01/2045#AY2793                                                                    | CUSIP: 3138YGC75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9312 | PA      | $8550.00       | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 04/01/2045#AY2877                                                                    | CUSIP: 3138YGFT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61858 | PA      | $56796.22      | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.0% 3/45#AY3101                                                                               | CUSIP: 3138YGNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136129 | PA      | $132904.78     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2045#AY3376                                                                    | CUSIP: 3138YGXE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11179 | PA      | $10548.21      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 01/01/2045#AY4396                                                                    | CUSIP: 3138YH3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45858 | PA      | $44960.46      | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 02/01/2045#AY3999                                                                    | CUSIP: 3138YHNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16285 | PA      | $15942.70      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 12/01/2044#AY4301                                                                    | CUSIP: 3138YHX70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48208 | PA      | $47132.39      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 02/01/2045#AY4897                                                                    | CUSIP: 3138YJNP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19483 | PA      | $19033.24      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 03/01/2045#AY5510                                                                    | CUSIP: 3138YKDQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29566 | PA      | $28927.37      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2045#AY5629                                                                    | CUSIP: 3138YKHF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     383410 | PA      | $351204.91     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 02/01/2045#AY6310                                                                    | CUSIP: 3138YLAL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20213 | PA      | $19730.77      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 04/01/2045#AY6374                                                                    | CUSIP: 3138YLCL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134401 | PA      | $123478.15     | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 03/01/2045#AY6668                                                                    | CUSIP: 3138YLMS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23062 | PA      | $22737.60      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 04/01/2045#AY7663                                                                    | CUSIP: 3138YMQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11827 | PA      | $10859.65      | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 04/01/2045#AY7832                                                                    | CUSIP: 3138YMV22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85568 | PA      | $78542.29      | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2045#AZ0849                                                                    | CUSIP: 3138YR5K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95262 | PA      | $87246.72      | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 07/30#AZ0886                                                                         | CUSIP: 3138YR6Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110362 | PA      | $108450.58     | 0.00%             | 2030-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2045#AZ1097                                                                      | CUSIP: 3138YSGF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26723 | PA      | $26079.12      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/45#AZ2435                                                                      | CUSIP: 3138YTV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84482 | PA      | $79610.31      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2045#AZ4286                                                                    | CUSIP: 3138YVXQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60684 | PA      | $57177.14      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/45#AZ5369                                                                      | CUSIP: 3138YW6F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48943 | PA      | $46067.56      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/45#AZ6525                                                                      | CUSIP: 3138YYHB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77307 | PA      | $72651.23      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 8/32 #651902                                                                             | CUSIP: 31390PGK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5324 | PA      | $5563.74       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 10/32 #667599                                                                            | CUSIP: 31391HUY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15228 | PA      | $16008.94      | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 7/33 #721540                                                                             | CUSIP: 31401XS57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2277 | PA      | $2319.11       | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 5/34 #725423                                                                             | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99568 | PA      | $103097.93     | 0.00%             | 2034-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 4/34 #725425                                                                             | CUSIP: 31402C4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16981 | PA      | $17582.80      | 0.00%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 11/33 #725027                                                                            | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     762563 | PA      | $776380.11     | 0.00%             | 2033-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 2/34 #725162                                                                             | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     235532 | PA      | $246065.72     | 0.00%             | 2034-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 2/34 #725206                                                                             | CUSIP: 31402CU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     489921 | PA      | $507122.79     | 0.00%             | 2034-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 3/34 #725228                                                                             | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89935 | PA      | $93916.66      | 0.00%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 7/34 #725589                                                                             | CUSIP: 31402DC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1432514 | PA      | $1459989.93    | 0.00%             | 2034-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 7/34 #725598                                                                             | CUSIP: 31402DDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     990378 | PA      | $1027181.14    | 0.00%             | 2034-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 9/34 #725773                                                                             | CUSIP: 31402DJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25413 | PA      | $26357.92      | 0.00%             | 2034-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 7/33 #730007                                                                             | CUSIP: 31402JAG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67427 | PA      | $69795.21      | 0.00%             | 2033-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.09% 11/34 #735032                                                                        | CUSIP: 31402QSV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1043391 | PA      | $1073219.38    | 0.00%             | 2034-11-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 2/35 #735230                                                                             | CUSIP: 31402QY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67038 | PA      | $69442.33      | 0.00%             | 2035-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 2/35 #735227                                                                             | CUSIP: 31402QYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198674 | PA      | $205893.71     | 0.00%             | 2035-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 2/35 #735228                                                                             | CUSIP: 31402QYZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117765 | PA      | $122043.84     | 0.00%             | 2035-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 4/35 #735402                                                                             | CUSIP: 31402RAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     476077 | PA      | $485705.28     | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 4/35 #735403                                                                             | CUSIP: 31402RAC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137115 | PA      | $139905.43     | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 12/32 #735415                                                                            | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63741 | PA      | $66644.09      | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 3/35 #735417                                                                             | CUSIP: 31402RAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4770 | PA      | $5012.31       | 0.00%             | 2035-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 5/35 #735484                                                                             | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3654 | PA      | $3728.17       | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 5/35 #735500                                                                             | CUSIP: 31402RDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     981096 | PA      | $1017452.62    | 0.00%             | 2035-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 4/35 #735502                                                                             | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     556741 | PA      | $584173.70     | 0.00%             | 2035-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 4/35 #735503                                                                             | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     546985 | PA      | $573226.58     | 0.00%             | 2035-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 6/35 #735591                                                                             | CUSIP: 31402RF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12028 | PA      | $12264.05      | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 6/35 #735580                                                                             | CUSIP: 31402RFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38359 | PA      | $39110.20      | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 7/35 #735676                                                                             | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     573070 | PA      | $584375.95     | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 7/35 #735851                                                                             | CUSIP: 31402RQC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96780 | PA      | $102220.11     | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 6/35 #735855                                                                             | CUSIP: 31402RQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72907 | PA      | $76863.47      | 0.00%             | 2035-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 2/36 #745275                                                                             | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2893 | PA      | $2955.44       | 0.00%             | 2036-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 12/35 #745087                                                                            | CUSIP: 31403CXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9499 | PA      | $9872.10       | 0.00%             | 2035-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 7/35 #745092                                                                             | CUSIP: 31403CXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101980 | PA      | $107216.52     | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 3/36 #745353                                                                             | CUSIP: 31403DBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20987 | PA      | $21802.28      | 0.00%             | 2036-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 3/36 #745355                                                                             | CUSIP: 31403DBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2864 | PA      | $2924.64       | 0.00%             | 2036-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 4/36 #745418                                                                             | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46520 | PA      | $48349.56      | 0.00%             | 2036-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 5/36 #745515                                                                             | CUSIP: 31403DGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33601 | PA      | $34320.32      | 0.00%             | 2036-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 5/36 #745516                                                                             | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55092 | PA      | $57270.13      | 0.00%             | 2036-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 6/36 #745580                                                                             | CUSIP: 31403DJZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15023 | PA      | $15344.55      | 0.00%             | 2036-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 6/35 #745636                                                                             | CUSIP: 31403DLR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98794 | PA      | $104592.99     | 0.00%             | 2035-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 12/34 #745637                                                                            | CUSIP: 31403DLS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77203 | PA      | $81702.15      | 0.00%             | 2034-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 9/36 #745875                                                                             | CUSIP: 31403DT82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57394 | PA      | $61190.84      | 0.00%             | 2036-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 10/36 #745885                                                                            | CUSIP: 31403DUJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        871 | PA      | $919.06        | 0.00%             | 2036-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 10/36 #745948                                                                            | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53835 | PA      | $57428.44      | 0.00%             | 2036-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 11/36 #745959                                                                            | CUSIP: 31403DWU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23738 | PA      | $24701.12      | 0.00%             | 2036-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 1/34 #761702                                                                             | CUSIP: 31403YGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3163 | PA      | $3269.23       | 0.00%             | 2034-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 4/34 #763703                                                                             | CUSIP: 31404BNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     354576 | PA      | $367550.48     | 0.00%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 4/34 #770175                                                                             | CUSIP: 31404JT88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        421 | PA      | $429.38        | 0.00%             | 2034-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 3/35 #809938                                                                             | CUSIP: 31406GZB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4761 | PA      | $4795.52       | 0.00%             | 2035-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 4/35 #814637                                                                             | CUSIP: 31406NBE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8171 | PA      | $8230.62       | 0.00%             | 2035-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 3/35 #815971                                                                             | CUSIP: 31406PQY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2609 | PA      | $2662.59       | 0.00%             | 2035-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 4/35 #819361                                                                             | CUSIP: 31406TJE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2406 | PA      | $2423.11       | 0.00%             | 2035-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.59% 11/34 #820113                                                                        | CUSIP: 31406UDS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69453 | PA      | $71742.15      | 0.00%             | 2034-11-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 5/35 #822854                                                                             | CUSIP: 31406XE32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3639 | PA      | $3661.99       | 0.00%             | 2035-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/35 #828348                                                                             | CUSIP: 31407EHZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2181 | PA      | $2196.78       | 0.00%             | 2035-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 9/35 #833014                                                                             | CUSIP: 31407KN70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5781 | PA      | $5822.81       | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 8/35 #835451                                                                             | CUSIP: 31407NEY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1164 | PA      | $1189.53       | 0.00%             | 2035-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 10/35 #835804                                                                            | CUSIP: 31407NRZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6021 | PA      | $6061.75       | 0.00%             | 2035-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 10/35 #836751                                                                            | CUSIP: 31407PTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1045 | PA      | $1085.79       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 11/35 #844025                                                                            | CUSIP: 31407XVS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5131 | PA      | $5337.07       | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 12/35 #845328                                                                            | CUSIP: 31408AD98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52339 | PA      | $54365.80      | 0.00%             | 2035-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 4/36 #868293                                                                             | CUSIP: 31409DUS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125042 | PA      | $131894.61     | 0.00%             | 2036-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 6/36 #870615                                                                             | CUSIP: 31409GGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3918 | PA      | $4073.92       | 0.00%             | 2036-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 1/37 #871045                                                                             | CUSIP: 31409GWE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18112 | PA      | $19375.61      | 0.00%             | 2037-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 6/36 #872912                                                                             | CUSIP: 31409JYH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10171 | PA      | $10853.38      | 0.00%             | 2036-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 12/36 #878338                                                                            | CUSIP: 31409TZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11825 | PA      | $12612.68      | 0.00%             | 2036-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 4/36 #880305                                                                             | CUSIP: 31409WAE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2460 | PA      | $2600.04       | 0.00%             | 2036-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 09/01/2045#AZ8049                                                                    | CUSIP: 3140E05K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44362 | PA      | $40691.95      | 0.00%             | 2045-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/45#AZ8075                                                                      | CUSIP: 3140E06M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98624 | PA      | $93211.20      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.0% 06/41#AZ7903                                                                              | CUSIP: 3140E0X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     454428 | PA      | $447424.47     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/45#AZ8885                                                                        | CUSIP: 3140E12T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93458 | PA      | $91182.13      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2045#AZ9014                                                                    | CUSIP: 3140E2AQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226543 | PA      | $216538.89     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/45#BA3523                                                                        | CUSIP: 3140E74H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11166 | PA      | $10882.78      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/45#BA4246                                                                         | CUSIP: 3140E8WG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115852 | PA      | $109278.11     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 7/36 #883205                                                                             | CUSIP: 31410AGN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2094 | PA      | $2221.43       | 0.00%             | 2036-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 9/36 #886729                                                                             | CUSIP: 31410EEA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2539 | PA      | $2683.56       | 0.00%             | 2036-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 4/37 #888284                                                                             | CUSIP: 31410F2R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        163 | PA      | $169.04        | 0.00%             | 2037-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 2/37 #888341                                                                             | CUSIP: 31410F5A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     709611 | PA      | $723602.56     | 0.00%             | 2037-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 11/35 #888343                                                                            | CUSIP: 31410F5C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82349 | PA      | $84092.42      | 0.00%             | 2035-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 6/35 #888353                                                                             | CUSIP: 31410F5N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236483 | PA      | $245869.62     | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 7/35 #888065                                                                             | CUSIP: 31410FTW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4468 | PA      | $4674.02       | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 2/37 #888129                                                                             | CUSIP: 31410FVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169507 | PA      | $176169.73     | 0.00%             | 2037-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 11/36 #888173                                                                            | CUSIP: 31410FXA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9161 | PA      | $9515.08       | 0.00%             | 2036-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 2/37 #888222                                                                             | CUSIP: 31410FYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219186 | PA      | $231494.65     | 0.00%             | 2037-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 3/38 #889176                                                                             | CUSIP: 31410G2H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21144 | PA      | $22031.39      | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 9/35 #888416                                                                             | CUSIP: 31410GAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89152 | PA      | $90800.50      | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 11/36 #888437                                                                            | CUSIP: 31410GBE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     432100 | PA      | $448702.25     | 0.00%             | 2036-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 1/37 #888538                                                                             | CUSIP: 31410GEK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29793 | PA      | $30970.42      | 0.00%             | 2037-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 8/37 #888577                                                                             | CUSIP: 31410GFS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        759 | PA      | $802.81        | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 9/37 #888637                                                                             | CUSIP: 31410GHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68122 | PA      | $72105.65      | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 9/37 #888638                                                                             | CUSIP: 31410GHP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143019 | PA      | $148763.30     | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 11/34 #888685                                                                            | CUSIP: 31410GJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226074 | PA      | $230441.61     | 0.00%             | 2034-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 11/32 #888672                                                                            | CUSIP: 31410GJR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     484368 | PA      | $503602.70     | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 8/37 #888702                                                                             | CUSIP: 31410GKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5489 | PA      | $5868.81       | 0.00%             | 2037-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 10/37 #888745                                                                            | CUSIP: 31410GL27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6626 | PA      | $7102.17       | 0.00%             | 2037-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 11/36 #888795                                                                            | CUSIP: 31410GNL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     717419 | PA      | $745466.62     | 0.00%             | 2036-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 8/37 #888817                                                                             | CUSIP: 31410GPA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16411 | PA      | $17011.95      | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 07/01/2037#888820                                                                    | CUSIP: 31410GPD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14089 | PA      | $14647.37      | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 10/37 #888890                                                                            | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     510936 | PA      | $545233.64     | 0.00%             | 2037-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 8/37 #889039                                                                             | CUSIP: 31410GV83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91932 | PA      | $95566.90      | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 11/35 #889068                                                                            | CUSIP: 31410GW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161542 | PA      | $168904.22     | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 12/37 #889072                                                                            | CUSIP: 31410GW90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48668 | PA      | $51982.18      | 0.00%             | 2037-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 7/34 #889041                                                                             | CUSIP: 31410GWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50893 | PA      | $51882.29      | 0.00%             | 2034-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 10/35 #889042                                                                            | CUSIP: 31410GWB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     482696 | PA      | $492023.10     | 0.00%             | 2035-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2037#889140                                                                    | CUSIP: 31410GZD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     780824 | PA      | $812053.73     | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 10/35 #889341                                                                            | CUSIP: 31410KBJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12570 | PA      | $13136.28      | 0.00%             | 2035-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 5/38 #889452                                                                             | CUSIP: 31410KEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7350 | PA      | $7663.68       | 0.00%             | 2038-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 5/38 #889468                                                                             | CUSIP: 31410KFH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155798 | PA      | $162242.43     | 0.00%             | 2038-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 12/35 #889519                                                                            | CUSIP: 31410KG40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     244290 | PA      | $253676.66     | 0.00%             | 2035-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 3/37 #889506                                                                             | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18675 | PA      | $19690.36      | 0.00%             | 2037-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 4/38 #889554                                                                             | CUSIP: 31410KH72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        767 | PA      | $811.99        | 0.00%             | 2038-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 6/38 #889533                                                                             | CUSIP: 31410KHJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47454 | PA      | $49429.84      | 0.00%             | 2038-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 12/37 #889563                                                                            | CUSIP: 31410KJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19738 | PA      | $20534.56      | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 8/37 #889574                                                                             | CUSIP: 31410KJT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        165 | PA      | $173.82        | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 9/37 #889631                                                                             | CUSIP: 31410KLL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14843 | PA      | $15884.90      | 0.00%             | 2038-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 7/38 #889683                                                                             | CUSIP: 31410KM84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84435 | PA      | $89502.34      | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 1/36 #889690                                                                             | CUSIP: 31410KNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65582 | PA      | $68604.61      | 0.00%             | 2036-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 7/38 #889691                                                                             | CUSIP: 31410KNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9487 | PA      | $10051.73      | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 5/38 #889692                                                                             | CUSIP: 31410KNH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23555 | PA      | $24529.31      | 0.00%             | 2038-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 10/38 #889983                                                                            | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     282829 | PA      | $299456.24     | 0.00%             | 2038-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 9/38 #889995                                                                             | CUSIP: 31410KXY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22539 | PA      | $23474.56      | 0.00%             | 2038-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 6/38 #889996                                                                             | CUSIP: 31410KXZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198640 | PA      | $206685.00     | 0.00%             | 2038-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 2/41 #890289                                                                             | CUSIP: 31410LC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23615 | PA      | $23781.70      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/40 #890267                                                                            | CUSIP: 31410LCC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97981 | PA      | $96549.43      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 9/39 #890277                                                                             | CUSIP: 31410LCN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69987 | PA      | $74237.11      | 0.00%             | 2039-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 11/01/2026#890376                                                                    | CUSIP: 31410LFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2604 | PA      | $2591.28       | 0.00%             | 2026-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 02/01/2027#890398                                                                    | CUSIP: 31410LGF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12876 | PA      | $12808.32      | 0.00%             | 2027-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 08/01/41#890603                                                                      | CUSIP: 31410LNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95212 | PA      | $97417.85      | 0.00%             | 2041-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 08/01/43#890607                                                                      | CUSIP: 31410LNY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11226 | PA      | $11482.85      | 0.00%             | 2043-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 10/35 #891386                                                                            | CUSIP: 31410MJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9849 | PA      | $10216.35      | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 7/36 #891820                                                                             | CUSIP: 31410MYR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17577 | PA      | $18784.51      | 0.00%             | 2036-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 8/36 #892925                                                                             | CUSIP: 31410PA29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        827 | PA      | $873.64        | 0.00%             | 2036-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 10/36 #893830                                                                            | CUSIP: 31410QA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7017 | PA      | $7292.89       | 0.00%             | 2036-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 10/36 #894203                                                                            | CUSIP: 31410QNU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        277 | PA      | $289.32        | 0.00%             | 2036-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 9/36 #896541                                                                             | CUSIP: 31410TBJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303097 | PA      | $319856.59     | 0.00%             | 2036-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 11/36 #897258                                                                            | CUSIP: 31410TZX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9413 | PA      | $10071.16      | 0.00%             | 2036-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 9/36 #897980                                                                             | CUSIP: 31410UUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4728 | PA      | $4896.25       | 0.00%             | 2036-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 11/36 #898818                                                                            | CUSIP: 31410VSF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1310 | PA      | $1384.81       | 0.00%             | 2036-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 6/37 #899503                                                                             | CUSIP: 31410WKQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60634 | PA      | $63131.40      | 0.00%             | 2037-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 7/37 #899622                                                                             | CUSIP: 31410WPF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20667 | PA      | $21492.64      | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 11/36 #902354                                                                            | CUSIP: 31411AQF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        906 | PA      | $942.27        | 0.00%             | 2036-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 11/36 #904073                                                                            | CUSIP: 31411CMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109421 | PA      | $115650.97     | 0.00%             | 2036-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 2/37 #905142                                                                             | CUSIP: 31411DS75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27619 | PA      | $28707.43      | 0.00%             | 2037-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 1/37 #906081                                                                             | CUSIP: 31411EUE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17810 | PA      | $18535.08      | 0.00%             | 2037-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 1/37 #906261                                                                             | CUSIP: 31411EZ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17833 | PA      | $18559.48      | 0.00%             | 2037-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 10/37 #909106                                                                            | CUSIP: 31411JAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66171 | PA      | $68938.70      | 0.00%             | 2037-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 2/37 #913927                                                                             | CUSIP: 31411SLG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3333 | PA      | $3567.83       | 0.00%             | 2037-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 3/37 #917180                                                                             | CUSIP: 31411W6R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10055 | PA      | $10747.57      | 0.00%             | 2037-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2037#918003                                                                    | CUSIP: 31411X3L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86110 | PA      | $89510.93      | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 5/37 #918474                                                                             | CUSIP: 31411YMX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        349 | PA      | $364.08        | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 2/37 #922039                                                                             | CUSIP: 31412DLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31550 | PA      | $32808.67      | 0.00%             | 2037-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 6/39 #926144                                                                             | CUSIP: 31412H5D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16427 | PA      | $16545.59      | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 1/38 #925688                                                                             | CUSIP: 31412HND7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        798 | PA      | $856.46        | 0.00%             | 2038-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 2/40 #926221                                                                             | CUSIP: 31412JAW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58969 | PA      | $59386.61      | 0.00%             | 2040-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 7/37 #928467                                                                             | CUSIP: 31412LQU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10069 | PA      | $10486.67      | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 7/37 #928482                                                                             | CUSIP: 31412LRB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25774 | PA      | $27299.28      | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 8/37 #928589                                                                             | CUSIP: 31412LUN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12445 | PA      | $13333.33      | 0.00%             | 2037-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 1/38 #929079                                                                             | CUSIP: 31412MFU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30809 | PA      | $31471.99      | 0.00%             | 2038-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 5/38 #929412                                                                             | CUSIP: 31412MR91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15854 | PA      | $16514.89      | 0.00%             | 2038-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 3/39 #930685                                                                             | CUSIP: 31412N6W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89647 | PA      | $93318.53      | 0.00%             | 2039-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 9/38 #929964                                                                             | CUSIP: 31412NFD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2431 | PA      | $2575.06       | 0.00%             | 2038-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/39 #931504                                                                             | CUSIP: 31412P3M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1743320 | PA      | $1755802.45    | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 07/01/2039#931530                                                                    | CUSIP: 31412P4P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10856 | PA      | $11336.65      | 0.00%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 3/39 #930760                                                                             | CUSIP: 31412PB59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2568 | PA      | $2626.58       | 0.00%             | 2039-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/39 #931777                                                                             | CUSIP: 31412QFS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89161 | PA      | $89789.32      | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/39 #931837                                                                             | CUSIP: 31412QHN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1510 | PA      | $1521.04       | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 10/39 #932130                                                                            | CUSIP: 31412QST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195782 | PA      | $197261.23     | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 3/40 #932586                                                                             | CUSIP: 31412RCX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16067 | PA      | $16181.65      | 0.00%             | 2040-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 3/40 #932669                                                                             | CUSIP: 31412RFJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45596 | PA      | $45919.46      | 0.00%             | 2040-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 5/38 #933796                                                                             | CUSIP: 31412S3D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72896 | PA      | $75908.84      | 0.00%             | 2038-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 2/38 #933512                                                                             | CUSIP: 31412SR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2908 | PA      | $2973.45       | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2038#934275                                                                    | CUSIP: 31412TMY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        293 | PA      | $305.12        | 0.00%             | 2038-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 10/38 #934590                                                                            | CUSIP: 31412TXT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10052 | PA      | $10804.17      | 0.00%             | 2038-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 9/39 #935563                                                                             | CUSIP: 31412UZ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8881 | PA      | $8769.35       | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 6/37 #937993                                                                             | CUSIP: 31412XRN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1112 | PA      | $1156.46       | 0.00%             | 2037-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 6/37 #939984                                                                             | CUSIP: 31413AXM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67626 | PA      | $71732.47      | 0.00%             | 2037-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 7/37 #942359                                                                             | CUSIP: 31413DMG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11885 | PA      | $12364.35      | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 7/37 #944721                                                                             | CUSIP: 31413GAW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7407 | PA      | $7713.30       | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 9/37 #946044                                                                             | CUSIP: 31413HP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1023 | PA      | $1093.66       | 0.00%             | 2037-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 9/37 #946811                                                                             | CUSIP: 31413JKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        904 | PA      | $958.81        | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 9/37 #947013                                                                             | CUSIP: 31413JSA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48280 | PA      | $50308.24      | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 8/37 #948590                                                                             | CUSIP: 31413LKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        348 | PA      | $373.43        | 0.00%             | 2037-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 1/38 #952038                                                                             | CUSIP: 31413QEK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18062 | PA      | $18810.38      | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 10/37 #952927                                                                            | CUSIP: 31413RD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8915 | PA      | $9545.74       | 0.00%             | 2037-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 11/37 #953403                                                                            | CUSIP: 31413RU46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4108 | PA      | $4360.08       | 0.00%             | 2037-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 12/37 #953926                                                                            | CUSIP: 31413SHB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62193 | PA      | $64796.57      | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 11/37 #959606                                                                            | CUSIP: 31413YR37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118015 | PA      | $126434.39     | 0.00%             | 2037-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 1/38 #960621                                                                             | CUSIP: 31414AVN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33017 | PA      | $34413.61      | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 3/38 #962074                                                                             | CUSIP: 31414CJT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58098 | PA      | $61696.68      | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 3/38 #962344                                                                             | CUSIP: 31414CS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24840 | PA      | $25869.11      | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 4/38 #962370                                                                             | CUSIP: 31414CT32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51717 | PA      | $52887.18      | 0.00%             | 2038-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 4/38 #962491                                                                             | CUSIP: 31414CXU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18944 | PA      | $19728.76      | 0.00%             | 2038-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 5/38 #963258                                                                             | CUSIP: 31414DTP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4071 | PA      | $4165.42       | 0.00%             | 2038-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 6/38 #963869                                                                             | CUSIP: 31414EJN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4494 | PA      | $4597.03       | 0.00%             | 2038-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 12/37 #967186                                                                            | CUSIP: 31414H6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16601 | PA      | $17755.29      | 0.00%             | 2037-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 12/37 #966336                                                                            | CUSIP: 31414HBD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        983 | PA      | $1053.22       | 0.00%             | 2037-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 12/37 #967021                                                                            | CUSIP: 31414HYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1771 | PA      | $1889.02       | 0.00%             | 2037-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 2/38 #968048                                                                             | CUSIP: 31414J5H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125574 | PA      | $130841.64     | 0.00%             | 2038-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 1/38 #967501                                                                             | CUSIP: 31414JKN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11366 | PA      | $11850.13      | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 1/38 #968975                                                                             | CUSIP: 31414K6L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35432 | PA      | $36913.24      | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 2/38 #969692                                                                             | CUSIP: 31414LXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4195 | PA      | $4291.92       | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/39 #970043                                                                             | CUSIP: 31414MEQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6898 | PA      | $6947.40       | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 10/38 #970520                                                                            | CUSIP: 31414MVM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2175 | PA      | $2335.38       | 0.00%             | 2038-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 12/38 #970875                                                                            | CUSIP: 31414NCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        571 | PA      | $595.87        | 0.00%             | 2038-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 12/38 #970929                                                                            | CUSIP: 31414NEA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22423 | PA      | $23382.13      | 0.00%             | 2038-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 01/01/2039#970984                                                                    | CUSIP: 31414NFZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        728 | PA      | $759.34        | 0.00%             | 2039-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 3/38 #972263                                                                             | CUSIP: 31414PTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3664 | PA      | $3742.18       | 0.00%             | 2038-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 3/38 #972960                                                                             | CUSIP: 31414QMH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3371 | PA      | $3449.38       | 0.00%             | 2038-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 3/38 #973053                                                                             | CUSIP: 31414QQE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2641 | PA      | $2837.60       | 0.00%             | 2038-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 3/38 #973288                                                                             | CUSIP: 31414QXR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25688 | PA      | $26281.82      | 0.00%             | 2038-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 11/36 #974571                                                                            | CUSIP: 31414SFL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3013 | PA      | $3072.44       | 0.00%             | 2036-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 5/38 #977014                                                                             | CUSIP: 31414U3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24189 | PA      | $25191.37      | 0.00%             | 2038-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 5/38 #983283                                                                             | CUSIP: 31415LJ40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13735 | PA      | $14045.63      | 0.00%             | 2038-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 8/38 #983363                                                                             | CUSIP: 31415LML8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        782 | PA      | $828.50        | 0.00%             | 2038-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2038#984006                                                                    | CUSIP: 31415MDK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        330 | PA      | $344.02        | 0.00%             | 2038-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 6/38 #984277                                                                             | CUSIP: 31415MM28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16814 | PA      | $17508.43      | 0.00%             | 2038-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 7/38 #985451                                                                             | CUSIP: 31415PWL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        627 | PA      | $673.35        | 0.00%             | 2038-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 6/38 #985555                                                                             | CUSIP: 31415PZU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9690 | PA      | $9905.03       | 0.00%             | 2038-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 6/38 #985559                                                                             | CUSIP: 31415PZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9292 | PA      | $9692.84       | 0.00%             | 2038-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 07/01/2038#986767                                                                    | CUSIP: 31415RFG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9927 | PA      | $10343.74      | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 10/38 #988714                                                                            | CUSIP: 31415TK33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        647 | PA      | $685.89        | 0.00%             | 2038-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 10/38 #991864                                                                            | CUSIP: 31415WZ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1381 | PA      | $1464.79       | 0.00%             | 2038-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 10/38 #991860                                                                            | CUSIP: 31415WZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1227 | PA      | $1299.52       | 0.00%             | 2038-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/39 #993295                                                                             | CUSIP: 31415YNL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61312 | PA      | $61776.06      | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 9/39 #994016                                                                             | CUSIP: 31416AGZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126135 | PA      | $123940.90     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 12/38 #995481                                                                            | CUSIP: 31416B2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5263 | PA      | $5471.94       | 0.00%             | 2038-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 9/36 #995575                                                                             | CUSIP: 31416B6L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258515 | PA      | $267416.44     | 0.00%             | 2036-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 6/38 #995018                                                                             | CUSIP: 31416BK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52624 | PA      | $54737.88      | 0.00%             | 2038-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 7/37 #995002                                                                             | CUSIP: 31416BKP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45333 | PA      | $46156.57      | 0.00%             | 2037-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 2/38 #995049                                                                             | CUSIP: 31416BL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22366 | PA      | $23230.70      | 0.00%             | 2038-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 9/37 #995050                                                                             | CUSIP: 31416BL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142851 | PA      | $150745.45     | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 8/37 #995024                                                                             | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14484 | PA      | $15027.61      | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 8/37 #995084                                                                             | CUSIP: 31416BM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16832 | PA      | $17459.61      | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 7/36 #995112                                                                             | CUSIP: 31416BN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89916 | PA      | $93185.46      | 0.00%             | 2036-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 8/36 #995174                                                                             | CUSIP: 31416BQ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285037 | PA      | $298632.77     | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 7/35 #995203                                                                             | CUSIP: 31416BRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     974833 | PA      | $993403.87     | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 11/38 #995226                                                                            | CUSIP: 31416BSP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185282 | PA      | $196588.73     | 0.00%             | 2038-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.0% 12/01/2038#995279                                                                    | CUSIP: 31416BUC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2690 | PA      | $2854.56       | 0.00%             | 2038-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 12/38 #995442                                                                            | CUSIP: 31416BZF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160026 | PA      | $169462.70     | 0.00%             | 2038-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 10/38 #995446                                                                            | CUSIP: 31416BZK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6829 | PA      | $7232.47       | 0.00%             | 2038-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 2/39 #995654                                                                             | CUSIP: 31416CBX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10734 | PA      | $11369.70      | 0.00%             | 2039-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 9/32 #995673                                                                             | CUSIP: 31416CCJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57602 | PA      | $60256.02      | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 5/39 #995838                                                                             | CUSIP: 31416CHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137476 | PA      | $143131.57     | 0.00%             | 2039-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 9/38 #995877                                                                             | CUSIP: 31416CJW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136289 | PA      | $144237.30     | 0.00%             | 2038-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 6/39 #995896                                                                             | CUSIP: 31416CKH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43995 | PA      | $44978.60      | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 2/38 #995899                                                                             | CUSIP: 31416CKL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70987 | PA      | $75106.15      | 0.00%             | 2038-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 7/39 #995931                                                                             | CUSIP: 31416CLL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43188 | PA      | $44225.34      | 0.00%             | 2039-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 7/39 #995974                                                                             | CUSIP: 31416CMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12079 | PA      | $12361.75      | 0.00%             | 2039-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 9/38 #AA2155                                                                             | CUSIP: 31416KMD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24311 | PA      | $25235.02      | 0.00%             | 2038-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 5/39 #AA2248                                                                             | CUSIP: 31416KQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64237 | PA      | $64723.47      | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 08/01/2039#AA4159                                                                    | CUSIP: 31416MTR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53566 | PA      | $54819.00      | 0.00%             | 2039-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/40 #AA4740                                                                            | CUSIP: 31416NHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151777 | PA      | $149634.37     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 12/40 #AA4778                                                                            | CUSIP: 31416NJY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6965 | PA      | $6671.84       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 04/01/2039#AA4958                                                                    | CUSIP: 31416NQL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7856 | PA      | $8023.58       | 0.00%             | 2039-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/39 #AA6699                                                                             | CUSIP: 31416QNR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58322 | PA      | $58733.47      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/39 #AA6769                                                                             | CUSIP: 31416QQX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48467 | PA      | $48814.63      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/39 #AA7795                                                                             | CUSIP: 31416RUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     686383 | PA      | $691288.28     | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/39 #AA8682                                                                             | CUSIP: 31416SUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7144 | PA      | $7195.65       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/39 #AA9022                                                                             | CUSIP: 31416TAY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9749 | PA      | $9818.85       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/39 #AA9054                                                                             | CUSIP: 31416TBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5038 | PA      | $5073.41       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/39 #AA9146                                                                             | CUSIP: 31416TEU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49843 | PA      | $50199.73      | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/39 #AA9719                                                                             | CUSIP: 31416TYR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15011 | PA      | $15118.79      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 07/01/2039#AA9762                                                                    | CUSIP: 31416TZ44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32648 | PA      | $34126.28      | 0.00%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/39 #AA9906                                                                             | CUSIP: 31416UAG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15453 | PA      | $15564.25      | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 1/39 #AB0194                                                                             | CUSIP: 31416VGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11652 | PA      | $12132.88      | 0.00%             | 2039-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.0% 02/01/2037#AB0281                                                                    | CUSIP: 31416VJ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9530 | PA      | $10053.37      | 0.00%             | 2037-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 11/38 #AB0293                                                                            | CUSIP: 31416VKF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        917 | PA      | $967.32        | 0.00%             | 2038-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 11/38 #AB0534                                                                            | CUSIP: 31416VSY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     445638 | PA      | $462755.74     | 0.00%             | 2038-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 7/40 #AB1259                                                                             | CUSIP: 31416WMH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        794 | PA      | $812.38        | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/40 #AB1335                                                                             | CUSIP: 31416WPV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1371912 | PA      | $1381638.75    | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/40 #AB1387                                                                             | CUSIP: 31416WRH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3290 | PA      | $3313.41       | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 12/01/2025#AB1940                                                                    | CUSIP: 31416XEN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         76 | PA      | $75.86         | 0.00%             | 2025-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 1/41 #AB2079                                                                             | CUSIP: 31416XJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11668 | PA      | $11495.15      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 01/01/2026#AB2129                                                                    | CUSIP: 31416XLK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1559 | PA      | $1554.52       | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 03/01/2041#AB2537                                                                    | CUSIP: 31416XZB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11343 | PA      | $11619.81      | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 4/41 #AB2817                                                                             | CUSIP: 31416YDX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143327 | PA      | $146820.42     | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 4/41 #AB2819                                                                             | CUSIP: 31416YDZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158716 | PA      | $162643.91     | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2041#AB3314                                                                    | CUSIP: 31416YVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3717 | PA      | $3742.85       | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 08/01/2026#AB3378                                                                    | CUSIP: 31416YXG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        477 | PA      | $474.83        | 0.00%             | 2026-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2041#AB3394                                                                    | CUSIP: 31416YXY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45410 | PA      | $45719.55      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 8/26 #AB3408                                                                        | CUSIP: 31416YYE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        707 | PA      | $704.20        | 0.00%             | 2026-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 2/27 #AB4420                                                                        | CUSIP: 31417A4E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42332 | PA      | $42003.87      | 0.00%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 2/27 #AB4490                                                                        | CUSIP: 31417A7C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21063 | PA      | $20899.57      | 0.00%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/41 #AB3625                                                                            | CUSIP: 31417AA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     489541 | PA      | $482135.12     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/41 #AB3745                                                                            | CUSIP: 31417AET2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     677975 | PA      | $667257.62     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 06/01/2037#AB3787                                                                    | CUSIP: 31417AF53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7016 | PA      | $7163.51       | 0.00%             | 2037-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 11/41 #AB3872                                                                            | CUSIP: 31417AJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     555425 | PA      | $546620.93     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 11/01/2026#AB3907                                                                    | CUSIP: 31417AKV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        202 | PA      | $200.79        | 0.00%             | 2026-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 12/01/2026#AB4036                                                                    | CUSIP: 31417APW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119764 | PA      | $119168.42     | 0.00%             | 2026-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 12/26 #AB4085                                                                       | CUSIP: 31417ARF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5471 | PA      | $5432.16       | 0.00%             | 2026-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 12/26 #AB4086                                                                       | CUSIP: 31417ARG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10595 | PA      | $10516.34      | 0.00%             | 2026-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 12/26 #AB4089                                                                       | CUSIP: 31417ARK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7924 | PA      | $7868.61       | 0.00%             | 2026-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 1/27 #AB4281                                                                        | CUSIP: 31417AXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4534 | PA      | $4500.26       | 0.00%             | 2027-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 01/01/2027#AB4284                                                                    | CUSIP: 31417AXN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         75 | PA      | $74.30         | 0.00%             | 2027-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2042#AB4295                                                                    | CUSIP: 31417AXZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8472 | PA      | $8084.95       | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2042#AB4318                                                                    | CUSIP: 31417AYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36407 | PA      | $36638.81      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 6/42 #AB5376                                                                             | CUSIP: 31417B6N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     192101 | PA      | $183271.89     | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 06/01/2042#AB5388                                                                    | CUSIP: 31417B7A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62539 | PA      | $61320.52      | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 4/27 #AB4806                                                                        | CUSIP: 31417BKU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1663 | PA      | $1648.86       | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.00% 4/42 #AB4822                                                                             | CUSIP: 31417BLC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15388 | PA      | $14369.51      | 0.00%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2042#AB4937                                                                    | CUSIP: 31417BPX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     237480 | PA      | $226903.45     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.0% 04/01/2027#AB4989                                                                    | CUSIP: 31417BRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1152 | PA      | $1136.80       | 0.00%             | 2027-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 4/27 #AB4998                                                                        | CUSIP: 31417BRU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32074 | PA      | $31805.63      | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 4/27 #AB5001                                                                        | CUSIP: 31417BRX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129369 | PA      | $128286.09     | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 05/01/2027#AB5066                                                                    | CUSIP: 31417BTY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16280 | PA      | $16139.42      | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2027#AB5163                                                                    | CUSIP: 31417BWZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78206 | PA      | $77338.34      | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.50% 5/27 #AB5231                                                                        | CUSIP: 31417BY50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10196 | PA      | $10082.63      | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.50% 5/27 #AB5232                                                                        | CUSIP: 31417BY68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2764 | PA      | $2733.13       | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 6/42 #AB5477                                                                             | CUSIP: 31417CCP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1195227 | PA      | $1172942.61    | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 7/42 #AB5502                                                                             | CUSIP: 31417CDG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     275461 | PA      | $263303.47     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 7/42 #AB5511                                                                             | CUSIP: 31417CDR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27516 | PA      | $26240.82      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.50% 7/27 #AB5708                                                                        | CUSIP: 31417CKW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14109 | PA      | $13940.46      | 0.00%             | 2027-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 9/42#AB6086                                                                          | CUSIP: 31417CXQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28307 | PA      | $26976.32      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2027#AB7119                                                                    | CUSIP: 31417D4D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15007 | PA      | $14804.62      | 0.00%             | 2027-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2027#AB7143                                                                    | CUSIP: 31417D5D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35045 | PA      | $34573.37      | 0.00%             | 2027-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2042#AB6318                                                                    | CUSIP: 31417DAU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212822 | PA      | $202739.20     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 10/01/2027#AB6373                                                                    | CUSIP: 31417DCK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42504 | PA      | $42093.40      | 0.00%             | 2027-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2027#AB6579                                                                    | CUSIP: 31417DJZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41709 | PA      | $41178.50      | 0.00%             | 2027-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 11/01/2027#AB6841                                                                    | CUSIP: 31417DS79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11332 | PA      | $11217.94      | 0.00%             | 2027-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2027#AB7248                                                                    | CUSIP: 31417EBS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25424 | PA      | $25082.23      | 0.00%             | 2027-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AB7285                                                                    | CUSIP: 31417ECX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70156 | PA      | $65387.60      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AB7436                                                                    | CUSIP: 31417EHN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     389893 | PA      | $361230.05     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AB7438                                                                    | CUSIP: 31417EHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12491550 | PA      | $11570119.90   | 0.02%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AB7733                                                                    | CUSIP: 31417ESX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10143 | PA      | $9394.02       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AB7821                                                                    | CUSIP: 31417EVP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84489 | PA      | $78306.82      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2028#AB7901                                                                    | CUSIP: 31417EX71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51775 | PA      | $51021.14      | 0.00%             | 2028-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 04/01/2028#AB8871                                                                    | CUSIP: 31417F2D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6550 | PA      | $6455.07       | 0.00%             | 2028-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 04/01/2043#AB8906                                                                    | CUSIP: 31417F3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11070 | PA      | $10247.81      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 04/01/2043#AB8931                                                                    | CUSIP: 31417F4R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388288 | PA      | $359167.02     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2043#AB8464                                                                    | CUSIP: 31417FMN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48261 | PA      | $43264.21      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 03/01/2043#AB8612                                                                    | CUSIP: 31417FSA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5510 | PA      | $5093.11       | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 03/01/2043#AB8620                                                                    | CUSIP: 31417FSJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20582 | PA      | $19072.53      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2043#AB9768                                                                    | CUSIP: 31417G2A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3886 | PA      | $3692.35       | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2043#AB9774                                                                    | CUSIP: 31417G2G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46897 | PA      | $44576.30      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AB9779                                                                    | CUSIP: 31417G2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16856 | PA      | $16588.40      | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AB9810                                                                    | CUSIP: 31417G3U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21537 | PA      | $19913.00      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AB9824                                                                    | CUSIP: 31417G4J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26839 | PA      | $26413.41      | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#AB9825                                                                    | CUSIP: 31417G4K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96869 | PA      | $95291.79      | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 4/1/43 #AB9017                                                                       | CUSIP: 31417GAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73529 | PA      | $68291.63      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2043#AB9136                                                                    | CUSIP: 31417GEJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89252 | PA      | $79921.27      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2043#AB9147                                                                    | CUSIP: 31417GEV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25979 | PA      | $24701.57      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2043#AB9148                                                                    | CUSIP: 31417GEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     402052 | PA      | $382487.52     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 04/01/2043#AB9187                                                                    | CUSIP: 31417GF50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18138 | PA      | $16774.52      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2028#AB9198                                                                    | CUSIP: 31417GGG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20434 | PA      | $20127.66      | 0.00%             | 2028-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AB9249                                                                    | CUSIP: 31417GH33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5646 | PA      | $5227.17       | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AB9246                                                                    | CUSIP: 31417GHY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1764024 | PA      | $1628234.54    | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AB9347                                                                    | CUSIP: 31417GL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1143756 | PA      | $1055746.85    | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AB9349                                                                    | CUSIP: 31417GL79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339892 | PA      | $314407.55     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AB9341                                                                    | CUSIP: 31417GLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5104 | PA      | $4738.29       | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2043#AB9469                                                                    | CUSIP: 31417GQX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101028 | PA      | $96019.29      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2028#AB9516                                                                    | CUSIP: 31417GSE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19047 | PA      | $18753.07      | 0.00%             | 2028-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2043#AB9584                                                                    | CUSIP: 31417GUJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174909 | PA      | $166547.27     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AB9663                                                                    | CUSIP: 31417GWZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1391034 | PA      | $1284791.98    | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2028#AB9732                                                                    | CUSIP: 31417GY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378488 | PA      | $372485.25     | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AB9739                                                                    | CUSIP: 31417GZD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7198396 | PA      | $6662967.55    | 0.01%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AB9743                                                                    | CUSIP: 31417GZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     723792 | PA      | $668942.28     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AB9747                                                                    | CUSIP: 31417GZM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223281 | PA      | $206286.98     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AB9749                                                                    | CUSIP: 31417GZP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37713 | PA      | $34869.07      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AB9750                                                                    | CUSIP: 31417GZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93037 | PA      | $86458.70      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2043#AB9759                                                                    | CUSIP: 31417GZZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     829402 | PA      | $788336.54     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 07/01/2043#AB9965                                                                    | CUSIP: 31417HCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13944 | PA      | $13678.77      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/39 #AC0084                                                                             | CUSIP: 31417JCW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2236 | PA      | $2252.23       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/39 #AC0143                                                                             | CUSIP: 31417JER7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2017 | PA      | $2030.82       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/39 #AC1758                                                                             | CUSIP: 31417K5U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22168 | PA      | $22327.01      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 11/39 #AC1006                                                                            | CUSIP: 31417KDL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68069 | PA      | $67322.75      | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/39 #AC1417                                                                             | CUSIP: 31417KSF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     656975 | PA      | $661673.60     | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/39 #AC1423                                                                             | CUSIP: 31417KSM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29650 | PA      | $29862.17      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 08/01/2039#AC1428                                                                    | CUSIP: 31417KSS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130109 | PA      | $135850.85     | 0.00%             | 2039-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 08/01/2039#AC1466                                                                    | CUSIP: 31417KTY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10937 | PA      | $11435.52      | 0.00%             | 2039-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/39 #AC1502                                                                             | CUSIP: 31417KU47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     596683 | PA      | $600928.31     | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/39 #AC1488                                                                             | CUSIP: 31417KUN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44091 | PA      | $44406.40      | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/39 #AC1489                                                                             | CUSIP: 31417KUP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20718 | PA      | $20866.22      | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 8/39 #AC1578                                                                             | CUSIP: 31417KXG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164469 | PA      | $162242.36     | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/39 #AC1585                                                                             | CUSIP: 31417KXP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53842 | PA      | $54227.41      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 9/39 #AC1653                                                                             | CUSIP: 31417KZT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     596498 | PA      | $588902.47     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 9/39 #AC2570                                                                             | CUSIP: 31417L2C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1409 | PA      | $1519.03       | 0.00%             | 2039-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 9/39 #AC1889                                                                             | CUSIP: 31417LC37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37089 | PA      | $36576.75      | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 9/39 #AC1877                                                                             | CUSIP: 31417LCP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10879 | PA      | $10956.97      | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/39 #AC2237                                                                             | CUSIP: 31417LPX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22638 | PA      | $22809.90      | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/39 #AC2504                                                                             | CUSIP: 31417LYA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36285 | PA      | $36544.21      | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/39 #AC2841                                                                             | CUSIP: 31417MEP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64399 | PA      | $64858.81      | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 9/39 #AC3245                                                                             | CUSIP: 31417MTB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1094999 | PA      | $1102857.09    | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 8/39 #AC3352                                                                             | CUSIP: 31417MWN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115948 | PA      | $114418.16     | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 10/01/2039#AC3660                                                                    | CUSIP: 31417NB67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2572 | PA      | $2634.49       | 0.00%             | 2039-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 9/39 #AC4165                                                                             | CUSIP: 31417NTX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57888 | PA      | $57200.20      | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 9/39 #AC4718                                                                             | CUSIP: 31417QG40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9803 | PA      | $9871.54       | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 12/39 #AC5490                                                                            | CUSIP: 31417SC40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146871 | PA      | $153436.90     | 0.00%             | 2039-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 12/39 #AC5697                                                                            | CUSIP: 31417SKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27455 | PA      | $28115.56      | 0.00%             | 2039-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 1/40 #AC6761                                                                             | CUSIP: 31417TQP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25701 | PA      | $26876.73      | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 12/39 #AC6795                                                                            | CUSIP: 31417TRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     662473 | PA      | $667223.64     | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 9/39 #AC7260                                                                             | CUSIP: 31417UB61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109234 | PA      | $107948.87     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 12/39 #AC8518                                                                            | CUSIP: 31417VPC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62917 | PA      | $64415.68      | 0.00%             | 2039-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 01/01/2040#AC8577                                                                    | CUSIP: 31417VQ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186242 | PA      | $194458.84     | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 1/40 #AC8563                                                                             | CUSIP: 31417VQR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1847 | PA      | $1821.78       | 0.00%             | 2040-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 9/41 #AC9306                                                                             | CUSIP: 31417WKU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30322 | PA      | $29784.41      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 4.50% 6/31 #MA0776                                                                        | CUSIP: 31417Y2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1431 | PA      | $1439.17       | 0.00%             | 2031-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 7/26 #MA0806                                                                        | CUSIP: 31417Y3Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1462 | PA      | $1456.24       | 0.00%             | 2026-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 5.0% 09/01/2029#MA0184                                                                    | CUSIP: 31417YF28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2083 | PA      | $2105.88       | 0.00%             | 2029-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 4.50% 9/29 #MA0171                                                                        | CUSIP: 31417YFM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8487 | PA      | $8513.52       | 0.00%             | 2029-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 5.50% 8/29 #MA0192                                                                        | CUSIP: 31417YGA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54372 | PA      | $55454.31      | 0.00%             | 2029-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 4.5% 10/01/2029#MA0200                                                                    | CUSIP: 31417YGJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5789 | PA      | $5808.21       | 0.00%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/39 #MA0211                                                                            | CUSIP: 31417YGV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11833 | PA      | $11687.36      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 5.00% 12/29 #MA0268                                                                       | CUSIP: 31417YJN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41834 | PA      | $42299.29      | 0.00%             | 2029-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 1/40 #MA0303                                                                             | CUSIP: 31417YKR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26684 | PA      | $26309.16      | 0.00%             | 2040-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 5.00% 3/30 #MA0354                                                                        | CUSIP: 31417YMC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87435 | PA      | $88433.52      | 0.00%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 5.00% 5/30 #MA0418                                                                        | CUSIP: 31417YPC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10154 | PA      | $10276.19      | 0.00%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 5/30 #MA0427                                                                             | CUSIP: 31417YPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3958 | PA      | $3942.51       | 0.00%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 5.00% 7/30 #MA0472                                                                        | CUSIP: 31417YQ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65931 | PA      | $66804.09      | 0.00%             | 2030-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 4.00% 7/30 #MA0457                                                                        | CUSIP: 31417YQK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83854 | PA      | $83536.76      | 0.00%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 5.00% 8/30 #MA0494                                                                        | CUSIP: 31417YRQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4769 | PA      | $4832.62       | 0.00%             | 2030-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 5.0% 08/01/2030#MA0530                                                                    | CUSIP: 31417YSU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23139 | PA      | $23473.45      | 0.00%             | 2030-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 11/40 #MA0562                                                                            | CUSIP: 31417YTU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21903 | PA      | $22058.31      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 2/41 #MA0639                                                                             | CUSIP: 31417YV95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15636 | PA      | $15399.45      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 1/26 #MA0617                                                                        | CUSIP: 31417YVK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        986 | PA      | $983.01        | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 2/26 #MA0649                                                                        | CUSIP: 31417YWK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        214 | PA      | $213.58        | 0.00%             | 2026-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 4/26 #MA0694                                                                        | CUSIP: 31417YXY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1368 | PA      | $1363.87       | 0.00%             | 2026-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 12/01/2043#MA1686                                                                    | CUSIP: 31418A2U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15733 | PA      | $15406.83      | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2043#MA1706                                                                    | CUSIP: 31418A3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85116 | PA      | $78764.49      | 0.00%             | 2043-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 11/26 #MA0912                                                                       | CUSIP: 31418AAN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        672 | PA      | $669.14        | 0.00%             | 2026-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 2/27 #MA0978                                                                        | CUSIP: 31418ACQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2792 | PA      | $2770.68       | 0.00%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 2/27 #MA0982                                                                        | CUSIP: 31418ACU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1723 | PA      | $1713.66       | 0.00%             | 2027-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 04/01/2027#MA1034                                                                    | CUSIP: 31418AEG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1320 | PA      | $1312.51       | 0.00%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 5/27 #MA1062                                                                        | CUSIP: 31418AFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1361 | PA      | $1349.61       | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.00% 6/27 #MA1082                                                                        | CUSIP: 31418AFY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92965 | PA      | $92160.42      | 0.00%             | 2027-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 6/27 #MA1096                                                                        | CUSIP: 31418AGE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34508 | PA      | $34315.44      | 0.00%             | 2027-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.50% 11/27 #MA1240                                                                       | CUSIP: 31418ALW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3079 | PA      | $3039.03       | 0.00%             | 2027-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2028#MA1308                                                                    | CUSIP: 31418AN20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4844 | PA      | $4778.35       | 0.00%             | 2028-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2043#MA1315                                                                    | CUSIP: 31418AN95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41258 | PA      | $39262.61      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2043#MA1342                                                                    | CUSIP: 31418AP44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     836854 | PA      | $795533.05     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 02/01/2033#MA1348                                                                    | CUSIP: 31418AQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37595 | PA      | $35920.71      | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 03/01/2043#MA1396                                                                    | CUSIP: 31418ARS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109898 | PA      | $104672.31     | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 04/01/2028#MA1423                                                                    | CUSIP: 31418ASM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8671 | PA      | $8619.35       | 0.00%             | 2028-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2028#MA1468                                                                    | CUSIP: 31418AT24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103224 | PA      | $101630.16     | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#MA1458                                                                    | CUSIP: 31418ATQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60455 | PA      | $55874.04      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2028#MA1488                                                                    | CUSIP: 31418AUN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     235060 | PA      | $231330.33     | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#MA1524                                                                    | CUSIP: 31418AVS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239691 | PA      | $221344.12     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2043#MA1641                                                                    | CUSIP: 31418AZF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7146 | PA      | $6785.25       | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 01/01/2044#MA1807                                                                    | CUSIP: 31418BAH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12744 | PA      | $13055.99      | 0.00%             | 2044-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2044#MA1860                                                                    | CUSIP: 31418BB62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14206 | PA      | $14274.20      | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 07/01/2044#MA1958                                                                    | CUSIP: 31418BE85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81632 | PA      | $79846.13      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 06/01/2029#MA1932                                                                    | CUSIP: 31418BEE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21782 | PA      | $21466.02      | 0.00%             | 2029-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 08/01/2029#MA1984                                                                    | CUSIP: 31418BF27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9572 | PA      | $9430.49       | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 07/01/2029#MA1961                                                                    | CUSIP: 31418BFB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14918 | PA      | $14697.96      | 0.00%             | 2029-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2044#MA1980                                                                    | CUSIP: 31418BFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4116 | PA      | $3893.22       | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2044#MA2005                                                                    | CUSIP: 31418BGP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40866 | PA      | $41053.55      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2029#MA2037                                                                    | CUSIP: 31418BHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60693 | PA      | $59388.14      | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 09/01/2029#MA2038                                                                    | CUSIP: 31418BHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46118 | PA      | $45403.59      | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 11/01/2044#MA2107                                                                    | CUSIP: 31418BKV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6126 | PA      | $6283.40       | 0.00%             | 2044-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 12/01/2029#MA2130                                                                    | CUSIP: 31418BLL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34324 | PA      | $34069.63      | 0.00%             | 2029-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/45#MA2136                                                                      | CUSIP: 31418BLS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104615 | PA      | $98838.05      | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2045#MA2158                                                                    | CUSIP: 31418BMG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37348 | PA      | $37545.16      | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/45#MA2163                                                                      | CUSIP: 31418BMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1734126 | PA      | $1637855.30    | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2045#MA2224                                                                    | CUSIP: 31418BPJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22914 | PA      | $23020.60      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 05/01/2045#MA2279                                                                    | CUSIP: 31418BQ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13030 | PA      | $12725.97      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.0% 05/01/2030#MA2285                                                                    | CUSIP: 31418BRF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59327 | PA      | $57395.36      | 0.00%             | 2030-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 07/01/2030#MA2340                                                                    | CUSIP: 31418BS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14074 | PA      | $13953.44      | 0.00%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 08/45#MA2371                                                                         | CUSIP: 31418BT55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54810 | PA      | $53505.34      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 09/01/2030#MA2406                                                                    | CUSIP: 31418BU87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21595 | PA      | $21407.55      | 0.00%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/45#MA2495                                                                      | CUSIP: 31418BXZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1003518 | PA      | $946575.64     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 11/38 #AD0095                                                                            | CUSIP: 31418MC91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126675 | PA      | $134251.49     | 0.00%             | 2038-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 9/39 #AD0213                                                                             | CUSIP: 31418MGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217315 | PA      | $230037.60     | 0.00%             | 2039-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 01/01/2039#AD0317                                                                    | CUSIP: 31418MK76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15558 | PA      | $16190.40      | 0.00%             | 2039-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 2/35 #AD0495                                                                             | CUSIP: 31418MRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        574 | PA      | $593.18        | 0.00%             | 2035-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 2/39 #AD0602                                                                             | CUSIP: 31418MU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4041 | PA      | $4326.04       | 0.00%             | 2039-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% #AD0921                                                                                  | CUSIP: 31418NAX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40218 | PA      | $41961.98      | 0.00%             | 2039-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 8/39 #AD0923                                                                             | CUSIP: 31418NAZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14297 | PA      | $15158.90      | 0.00%             | 2039-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 2/40 #AD1034                                                                             | CUSIP: 31418NEG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26224 | PA      | $26410.00      | 0.00%             | 2040-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 3/40 #AD1540                                                                             | CUSIP: 31418NWA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205362 | PA      | $206785.42     | 0.00%             | 2040-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 2/40 #AD1597                                                                             | CUSIP: 31418NX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16009 | PA      | $16392.23      | 0.00%             | 2040-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 3/40 #AD2006                                                                             | CUSIP: 31418PGQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43708 | PA      | $44747.89      | 0.00%             | 2040-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 4/40 #AD3243                                                                             | CUSIP: 31418QS95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13746 | PA      | $13842.67      | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 5/40 #AD4375                                                                             | CUSIP: 31418R2H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5483 | PA      | $5612.81       | 0.00%             | 2040-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2040#AD4380                                                                    | CUSIP: 31418R2N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80863 | PA      | $81441.89      | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 6/40 #AD4390                                                                             | CUSIP: 31418R2Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82106 | PA      | $84090.24      | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 04/01/2040#AD4482                                                                    | CUSIP: 31418R6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12275 | PA      | $12572.53      | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 4/40 #AD3795                                                                             | CUSIP: 31418RGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42295 | PA      | $42596.25      | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 04/01/2040#AD3796                                                                    | CUSIP: 31418RGE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125166 | PA      | $128132.33     | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 4/40 #AD3812                                                                             | CUSIP: 31418RGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     440671 | PA      | $451233.83     | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 4/40 #AD4045                                                                             | CUSIP: 31418RP70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3492 | PA      | $3575.38       | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 2/26 #AD5120                                                                        | CUSIP: 31418SVN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         71 | PA      | $71.10         | 0.00%             | 2026-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 9/40 #AD5173                                                                             | CUSIP: 31418SXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13441 | PA      | $13239.00      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2040#AD5181                                                                    | CUSIP: 31418SXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3147 | PA      | $3168.80       | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 5/40 #AD5661                                                                             | CUSIP: 31418TJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11099 | PA      | $11368.81      | 0.00%             | 2040-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/40 #AD5827                                                                             | CUSIP: 31418TPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8837 | PA      | $8896.26       | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 7/40 #AD6061                                                                             | CUSIP: 31418TWX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        907 | PA      | $928.15        | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 05/01/2040#AD6360                                                                    | CUSIP: 31418UB60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5977 | PA      | $6124.36       | 0.00%             | 2040-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 5/40 #AD6374                                                                             | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33778 | PA      | $34585.61      | 0.00%             | 2040-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 6/40 #AD6432                                                                             | CUSIP: 31418UEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5488 | PA      | $5527.35       | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 6/40 #AD6802                                                                             | CUSIP: 31418URY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1649 | PA      | $1683.37       | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 7/40 #AD6856                                                                             | CUSIP: 31418UTN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5655 | PA      | $5781.92       | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2040#AD8074                                                                    | CUSIP: 31418V6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24811 | PA      | $25891.03      | 0.00%             | 2040-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/40 #AD7228                                                                             | CUSIP: 31418VA69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19846 | PA      | $19987.87      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 07/01/2040#AD7371                                                                    | CUSIP: 31418VFM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8647 | PA      | $8855.21       | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 12/25 #AD7493                                                                       | CUSIP: 31418VKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1521 | PA      | $1516.86       | 0.00%             | 2025-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 4/26 #AD7510                                                                        | CUSIP: 31418VKY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         98 | PA      | $97.57         | 0.00%             | 2026-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 12/01/2037#AD7716                                                                    | CUSIP: 31418VSE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4512 | PA      | $4672.33       | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2040#AD7770                                                                    | CUSIP: 31418VT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55801 | PA      | $56195.65      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 07/01/2040#AD7784                                                                    | CUSIP: 31418VUJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5764 | PA      | $5902.70       | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 06/01/40#AD7849                                                                      | CUSIP: 31418VWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12320 | PA      | $12615.42      | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 6/40 #AD7859                                                                             | CUSIP: 31418VWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2653 | PA      | $2717.44       | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/40 #AD7903                                                                             | CUSIP: 31418VX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40340 | PA      | $40624.79      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/40 #AD7904                                                                             | CUSIP: 31418VYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9117 | PA      | $9181.26       | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 8/40 #AD8536                                                                             | CUSIP: 31418WPW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3518 | PA      | $3602.94       | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 6/40 #AD8815                                                                             | CUSIP: 31418WYM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33035 | PA      | $34472.29      | 0.00%             | 2040-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.00% 8/40 #AD9194                                                                             | CUSIP: 31418XGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8387 | PA      | $8591.38       | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/40 #AD9311                                                                             | CUSIP: 31418XKZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124838 | PA      | $125714.88     | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 12/25 #AD9751                                                                       | CUSIP: 31418XZR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        195 | PA      | $194.49        | 0.00%             | 2025-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 2/41 #AE0822                                                                             | CUSIP: 31419A4G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28436 | PA      | $28637.24      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 2/41 #AE0828                                                                             | CUSIP: 31419A4N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9683 | PA      | $9287.55       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 9/39 #AE0831                                                                             | CUSIP: 31419A4R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82180 | PA      | $87092.00      | 0.00%             | 2039-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 4/40 #AE0009                                                                             | CUSIP: 31419AAK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95871 | PA      | $100164.04     | 0.00%             | 2040-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 2/38 #AE0105                                                                             | CUSIP: 31419ADK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108434 | PA      | $112624.87     | 0.00%             | 2038-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 12/35 #AE0115                                                                            | CUSIP: 31419ADV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5279 | PA      | $5477.83       | 0.00%             | 2035-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/40 #AE0217                                                                             | CUSIP: 31419AG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1694301 | PA      | $1706356.72    | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 7/39 #AE0233                                                                             | CUSIP: 31419AHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49436 | PA      | $51401.63      | 0.00%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 5.50% 12/39 #AE0392                                                                            | CUSIP: 31419ANJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1481 | PA      | $1542.64       | 0.00%             | 2039-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 11/40 #AE0443                                                                            | CUSIP: 31419AP50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182765 | PA      | $195679.37     | 0.00%             | 2039-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 09/01/2040#AE0481                                                                    | CUSIP: 31419ARB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1600 | PA      | $1637.65       | 0.00%             | 2040-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 10/39 #AE0493                                                                            | CUSIP: 31419ARP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1617 | PA      | $1729.59       | 0.00%             | 2039-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 04/01/2037#AE0609                                                                    | CUSIP: 31419AVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4071 | PA      | $4217.08       | 0.00%             | 2037-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 12/38 #AE0682                                                                            | CUSIP: 31419AXL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15283 | PA      | $16211.96      | 0.00%             | 2039-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 6/40 #AE0693                                                                             | CUSIP: 31419AXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2373 | PA      | $2521.13       | 0.00%             | 2040-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 1/26 #AE0704                                                                        | CUSIP: 31419AYA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $14.85         | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 2/41 #AE0949                                                                             | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140889 | PA      | $138777.35     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 2/41 #AE0954                                                                             | CUSIP: 31419BBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185469 | PA      | $186778.49     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/40 #AE1428                                                                             | CUSIP: 31419BSS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7394 | PA      | $7445.60       | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 08/01/2040#AE1559                                                                    | CUSIP: 31419BWV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63354 | PA      | $66086.01      | 0.00%             | 2040-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 9/40 #AE2028                                                                             | CUSIP: 31419CHE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40780 | PA      | $41069.22      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 1/26 #AE2124                                                                        | CUSIP: 31419CLE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        210 | PA      | $209.42        | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/40 #AE2305                                                                             | CUSIP: 31419CR39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32649 | PA      | $32896.75      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/40 #AE2295                                                                             | CUSIP: 31419CRR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81955 | PA      | $82542.49      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 3/41 #AE2474                                                                             | CUSIP: 31419CXC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3431 | PA      | $3452.39       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 9/26 #AE2790                                                                        | CUSIP: 31419DC41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1774 | PA      | $1765.70       | 0.00%             | 2026-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/40 #AE2920                                                                             | CUSIP: 31419DG62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105951 | PA      | $106704.14     | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 12/40 #AE3170                                                                            | CUSIP: 31419DQY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97994 | PA      | $96545.09      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 12/25 #AE3220                                                                       | CUSIP: 31419DSJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        137 | PA      | $136.27        | 0.00%             | 2025-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/40 #AE4428                                                                            | CUSIP: 31419E4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13350 | PA      | $13156.85      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 11/40 #AE3695                                                                            | CUSIP: 31419EC98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11174 | PA      | $11251.80      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 10/40 #AE3832                                                                            | CUSIP: 31419EHJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68789 | PA      | $69278.19      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 11/01/2040#AE3882                                                                    | CUSIP: 31419EJ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125459 | PA      | $128460.32     | 0.00%             | 2040-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 11/40 #AE3886                                                                            | CUSIP: 31419EJ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145327 | PA      | $146346.39     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 11/40 #AE3874                                                                            | CUSIP: 31419EJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     434458 | PA      | $437520.32     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 09/01/2040#AE3951                                                                    | CUSIP: 31419EL98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13407 | PA      | $13196.67      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 10/01/2040#AE4047                                                                    | CUSIP: 31419EP94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7990 | PA      | $7876.75       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 9/40 #AE4103                                                                             | CUSIP: 31419ERZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     572485 | PA      | $576520.76     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/40 #AE4113                                                                            | CUSIP: 31419ESB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96234 | PA      | $94864.14      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2040#AE4342                                                                    | CUSIP: 31419EZG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77417 | PA      | $77972.27      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/40 #AE4636                                                                            | CUSIP: 31419FEJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274621 | PA      | $270458.69     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/40 #AE4645                                                                            | CUSIP: 31419FET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126255 | PA      | $124600.50     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 11/01/2040#AE4833                                                                    | CUSIP: 31419FLP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10036 | PA      | $9869.06       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 9/40 #AE5266                                                                             | CUSIP: 31419FZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8125 | PA      | $8182.12       | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 9/33 #AE5679                                                                             | CUSIP: 31419GJZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140352 | PA      | $141293.70     | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 10/40 #AE6061                                                                            | CUSIP: 31419GWX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8064 | PA      | $8120.92       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 10/40 #AE6118                                                                            | CUSIP: 31419GYQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8762 | PA      | $8404.12       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 2/41 #AE6390                                                                             | CUSIP: 31419HC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13695 | PA      | $13493.66      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 01/01/2041#AE6383                                                                    | CUSIP: 31419HCV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8496 | PA      | $8702.94       | 0.00%             | 2041-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 11/40 #AE7314                                                                            | CUSIP: 31419JDU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1697502 | PA      | $1672019.01    | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2040#AE7536                                                                    | CUSIP: 31419JLS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99046 | PA      | $99745.09      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 11/40 #AE7816                                                                            | CUSIP: 31419JVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107275 | PA      | $105911.80     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 11/40 #AE8956                                                                            | CUSIP: 31419K5S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21810 | PA      | $21954.37      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 11/40 #AE8442                                                                            | CUSIP: 31419KLY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178498 | PA      | $179760.85     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 12/40 #AE8843                                                                            | CUSIP: 31419KZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46623 | PA      | $46945.00      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.00% 6/26 #AE9030                                                                        | CUSIP: 31419LA86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        901 | PA      | $897.95        | 0.00%             | 2026-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 1/41 #AE9338                                                                             | CUSIP: 31419LLU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23111 | PA      | $22777.73      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2040#AE9352                                                                    | CUSIP: 31419LMA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134260 | PA      | $135140.93     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 11/40 #AE9374                                                                            | CUSIP: 31419LMY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33115 | PA      | $33347.40      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.50% 12/25 #AE9743                                                                       | CUSIP: 31419LZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        161 | PA      | $160.71        | 0.00%             | 2025-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 10/01/2041#MC0549                                                                    | CUSIP: 31421ATF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87219 | PA      | $85556.88      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                                    | Fidelity Cash Central Fund                                                                          | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  335616231 | NS      | $335683354.26  | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Revere Street Trust                                                    | Fidelity Securities Lending Cash Central Fund                                                       | CUSIP: 31635A303<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  275562120 | NS      | $275589675.79  | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| FIFTH THIRD BANCORP                                                             | FIFTH THIRD BANCORP 8.25% 03/01/2038                                                                | CUSIP: 316773CH1<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    3651000 | PA      | $4522967.71    | 0.01%             | 2038-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                           | FLORIDA PWR and LT CO 3.8% 12/15/2042                                                               | CUSIP: 341081FH5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    8900000 | PA      | $7425613.81    | 0.01%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                           | FLORIDA PWR and LT CO 4.05% 10/01/2044                                                              | CUSIP: 341081FL6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    4304000 | PA      | $3611873.59    | 0.01%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                           | FLORIDA PWR and LT CO 3.125% 12/01/2025                                                             | CUSIP: 341081FM4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    4051000 | PA      | $4051000.00    | 0.01%             | 2025-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                            | FREEPORT-MCMORAN INC 5.45% 03/15/2043                                                               | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $973703.32     | 0.00%             | 2043-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/41 #760443                                                                             | CUSIP: 36176AS83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18985 | PA      | $19031.85      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 02/15/2041#762680                                                                    | CUSIP: 36176DCR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     146324 | PA      | $142880.44     | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 4/41 #762904                                                                             | CUSIP: 36176DKR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14132 | PA      | $14166.29      | 0.00%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 5/41 #765881                                                                             | CUSIP: 36176GUE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11465 | PA      | $11487.04      | 0.00%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 04/15/2042#766673                                                                    | CUSIP: 36176HQ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1763 | PA      | $1674.57       | 0.00%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 5/42 #766750                                                                             | CUSIP: 36176HTF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85357 | PA      | $81368.63      | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 5/42 #766751                                                                             | CUSIP: 36176HTG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     105801 | PA      | $100878.70     | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 5/42 #766753                                                                             | CUSIP: 36176HTJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     223218 | PA      | $211970.69     | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 8/41 #768137                                                                             | CUSIP: 36176KEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67710 | PA      | $66054.36      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 11/41 #768386                                                                            | CUSIP: 36176KNB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93776 | PA      | $89652.97      | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/41 #769765                                                                             | CUSIP: 36176L6A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6040 | PA      | $6053.83       | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 7/41 #769093                                                                             | CUSIP: 36176LGA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46943 | PA      | $45774.48      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 9/41 #769523                                                                             | CUSIP: 36176LVQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14007 | PA      | $13656.54      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 6/42 #772415                                                                             | CUSIP: 36176P3Y0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43332 | PA      | $41087.88      | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 9/41 #772060                                                                             | CUSIP: 36176PQM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65925 | PA      | $64312.97      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 8/41 #772621                                                                             | CUSIP: 36176QD27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2290 | PA      | $2173.13       | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 9/41 #773113                                                                             | CUSIP: 36176QVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6899 | PA      | $6750.82       | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 9/41 #773473                                                                             | CUSIP: 36176RCJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56990 | PA      | $55636.29      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #773499                                                                            | CUSIP: 36176RDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56964 | PA      | $55584.35      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 9/41 #775072                                                                             | CUSIP: 36176S2D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15701 | PA      | $15740.89      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 9/41 #774506                                                                             | CUSIP: 36176SGP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11974 | PA      | $12006.49      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 10/41 #774529                                                                            | CUSIP: 36176SHE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36979 | PA      | $37040.97      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 12/41 #775974                                                                            | CUSIP: 36176T2F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     125771 | PA      | $119662.09     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 10/41 #776144                                                                            | CUSIP: 36176UBM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16794 | PA      | $16822.18      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 8/42 #776802                                                                             | CUSIP: 36176UX75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8251 | PA      | $7826.54       | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 12/41 #778690                                                                            | CUSIP: 36176W2X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15194 | PA      | $14448.77      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 1/42 #778795                                                                             | CUSIP: 36176W7G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4528 | PA      | $4305.62       | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 3/42 #778961                                                                             | CUSIP: 36176XFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102479 | PA      | $97730.11      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 3/42 #778979                                                                             | CUSIP: 36176XFU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40209 | PA      | $38210.55      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 4/42 #779091                                                                             | CUSIP: 36176XKC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6801 | PA      | $6461.00       | 0.00%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 05/15/2042#779241                                                                    | CUSIP: 36176XP29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50775 | PA      | $48228.14      | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 5/42 #779242                                                                             | CUSIP: 36176XP37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12065 | PA      | $11467.52      | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 06/15/2042#779396                                                                    | CUSIP: 36176XUV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     339292 | PA      | $322502.11     | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #779843                                                                            | CUSIP: 36176YEQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73334 | PA      | $71498.50      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #779846                                                                            | CUSIP: 36176YET0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48150 | PA      | $47011.45      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 02/15/2042#793120                                                                    | CUSIP: 36177MPE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     291339 | PA      | $277147.23     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 2/42 #793185                                                                             | CUSIP: 36177MRF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72518 | PA      | $68958.32      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 2/42 #794370                                                                             | CUSIP: 36177N2C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     174457 | PA      | $165863.72     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 4/42 #793999                                                                             | CUSIP: 36177NNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21473 | PA      | $20394.95      | 0.00%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 6/42 #795664                                                                             | CUSIP: 36177QJJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64840 | PA      | $61583.95      | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 02/15/2043#796369                                                                    | CUSIP: 36177RCF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     201600 | PA      | $190955.66     | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 04/15/2042#798393                                                                    | CUSIP: 36177TKF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143172 | PA      | $132692.11     | 0.00%             | 2042-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 07/15/2042#AA2934                                                                    | CUSIP: 36178AHK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65111 | PA      | $60743.82      | 0.00%             | 2042-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 10/15/2042#AA4425                                                                    | CUSIP: 36178B4J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11359 | PA      | $10486.28      | 0.00%             | 2042-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 06/15/2042#AA5391                                                                    | CUSIP: 36178C7C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10256 | PA      | $9734.39       | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 11/15/2042#AA6688                                                                    | CUSIP: 36178END7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63869 | PA      | $59067.11      | 0.00%             | 2042-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 7/42 #AA8111                                                                             | CUSIP: 36178GAL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34824 | PA      | $33006.85      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 07/15/2042#AA8233                                                                    | CUSIP: 36178GEE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46251 | PA      | $44080.71      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 7/42 #AA8273                                                                             | CUSIP: 36178GFN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     730837 | PA      | $693525.00     | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 08/15/2042#AB2238                                                                    | CUSIP: 36178MPX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32434 | PA      | $30750.05      | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 08/15/2042#AB2759                                                                    | CUSIP: 36178NB40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35671 | PA      | $33881.74      | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 02/15/2043#AB3902                                                                    | CUSIP: 36178QKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122033 | PA      | $115330.59     | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 10/15/2042#AB9112                                                                    | CUSIP: 36178WDR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19828 | PA      | $18820.23      | 0.00%             | 2042-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 11/15/2042#AB9482                                                                    | CUSIP: 36178WRB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48468 | PA      | $45806.13      | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2043#AC1676                                                                    | CUSIP: 36179A2H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16156 | PA      | $15006.17      | 0.00%             | 2043-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 06/15/2043#AC2452                                                                    | CUSIP: 36179BWM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     363612 | PA      | $343947.74     | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 05/15/2043#AC7638                                                                    | CUSIP: 36179HPX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     218507 | PA      | $206552.65     | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 12/15/2042#AC7750                                                                    | CUSIP: 36179HTF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42387 | PA      | $40269.56      | 0.00%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 02/20/2043#MA0783                                                                      | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4090346 | PA      | $3892867.15    | 0.01%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 03/20/2043#MA0851                                                                      | CUSIP: 36179M5L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     412930 | PA      | $383959.14     | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 01/20/2043#MA0852                                                                      | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3370470 | PA      | $3207097.40    | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 04/20/2042#MA0022                                                                      | CUSIP: 36179MAX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2161835 | PA      | $2061972.02    | 0.00%             | 2042-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 3.50% 5/42 #MA0088                                                                             | CUSIP: 36179MCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6316354 | PA      | $6023279.87    | 0.01%             | 2042-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 07/20/2042#MA0219                                                                      | CUSIP: 36179MG46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1384378 | PA      | $1289521.47    | 0.00%             | 2042-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 3.50% 7/42 #MA0220                                                                             | CUSIP: 36179MG53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2315395 | PA      | $2206529.89    | 0.00%             | 2042-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 7/42 #MA0221                                                                          | CUSIP: 36179MG61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7628 | PA      | $7453.97       | 0.00%             | 2042-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 07/20/2042#MA0222                                                                      | CUSIP: 36179MG79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46770 | PA      | $46910.21      | 0.00%             | 2042-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 08/20/2042#MA0317                                                                      | CUSIP: 36179MK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16706652 | PA      | $15558410.51   | 0.02%             | 2042-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.50% 8/42 #MA0318                                                                          | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     798565 | PA      | $760855.39     | 0.00%             | 2042-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 9/20/42 #MA0394                                                                        | CUSIP: 36179MNK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53951 | PA      | $54109.04      | 0.00%             | 2042-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 10/20/2042#MA0460                                                                      | CUSIP: 36179MQM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72806 | PA      | $65836.54      | 0.00%             | 2042-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.00% 10/42 #MA0461                                                                         | CUSIP: 36179MQN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4005 | PA      | $3728.36       | 0.00%             | 2042-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.50% 11/42 #MA0534                                                                         | CUSIP: 36179MSX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6535725 | PA      | $6222994.59    | 0.01%             | 2042-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 12/20/2042#MA0623                                                                      | CUSIP: 36179MVQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30510 | PA      | $27611.30      | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 12/20/2042 #MA0625                                                                     | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3241239 | PA      | $3086118.03    | 0.00%             | 2042-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 01/20/2043#MA0698                                                                      | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82598 | PA      | $76850.24      | 0.00%             | 2043-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 12/20/2042#MA0699                                                                      | CUSIP: 36179MX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11997 | PA      | $11422.57      | 0.00%             | 2043-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 01/20/2043#MA0700                                                                      | CUSIP: 36179MX54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2838 | PA      | $2773.37       | 0.00%             | 2043-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 02/20/2044#MA1675                                                                      | CUSIP: 36179N2G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63701 | PA      | $57025.65      | 0.00%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 12/20/2043#MA1676                                                                      | CUSIP: 36179N2H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     607166 | PA      | $563121.08     | 0.00%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 02/20/2044#MA1677                                                                      | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     252492 | PA      | $239603.14     | 0.00%             | 2044-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 02/20/2044#MA1678                                                                      | CUSIP: 36179N2K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72360 | PA      | $70495.69      | 0.00%             | 2044-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 01/20/2043#MA1758                                                                      | CUSIP: 36179N5T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51003 | PA      | $45948.13      | 0.00%             | 2044-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.0% 03/20/2044#MA1763                                                                      | CUSIP: 36179N5Y0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     244111 | PA      | $249465.51     | 0.00%             | 2044-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 04/20/2043#MA0932                                                                      | CUSIP: 36179NA99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62461 | PA      | $56369.49      | 0.00%             | 2043-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 04/20/2043#MA0933                                                                      | CUSIP: 36179NBA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2435895 | PA      | $2264227.38    | 0.00%             | 2043-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 04/20/2043#MA0934                                                                      | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6226366 | PA      | $5923361.80    | 0.01%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 05/20/2043#MA1010                                                                      | CUSIP: 36179NDP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52152 | PA      | $47022.73      | 0.00%             | 2043-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 05/43 #MA1012                                                                          | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5217007 | PA      | $4940486.92    | 0.01%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 03/20/2043 #MA1090                                                                     | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     255260 | PA      | $242732.81     | 0.00%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.0% 06/20/2043#MA1093                                                                      | CUSIP: 36179NGA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26570 | PA      | $27138.21      | 0.00%             | 2043-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 07/20/2043#MA1155                                                                      | CUSIP: 36179NH84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     645399 | PA      | $580850.40     | 0.00%             | 2043-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 07/20/2043#MA1156                                                                      | CUSIP: 36179NH92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24252 | PA      | $22516.13      | 0.00%             | 2043-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 07/20/2043#MA1157                                                                      | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1473527 | PA      | $1401467.77    | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 07/20/2043#MA1158                                                                      | CUSIP: 36179NJB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     875607 | PA      | $855427.88     | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 08/20/2043#MA1223                                                                      | CUSIP: 36179NLC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     147229 | PA      | $136646.56     | 0.00%             | 2043-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 08/20/2043#MA1224                                                                      | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     316322 | PA      | $300659.41     | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 09/20/2043#MA1283                                                                      | CUSIP: 36179NM88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134462 | PA      | $121026.83     | 0.00%             | 2043-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 09/20/2043#MA1284                                                                      | CUSIP: 36179NM96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2897875 | PA      | $2688483.95    | 0.00%             | 2043-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 09/20/2043#MA1285                                                                      | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7258564 | PA      | $6895792.22    | 0.01%             | 2043-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 10/20/2043#MA1373                                                                      | CUSIP: 36179NQ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     172955 | PA      | $155929.97     | 0.00%             | 2043-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 07/20/2043#MA1374                                                                      | CUSIP: 36179NQ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91363 | PA      | $84784.50      | 0.00%             | 2043-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 10/20/2043#MA1379                                                                      | CUSIP: 36179NQ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24259 | PA      | $25131.63      | 0.00%             | 2043-10-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.0% 11/20/2043#MA1451                                                                      | CUSIP: 36179NTG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12602 | PA      | $12883.67      | 0.00%             | 2043-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 12/20/2043#MA1519                                                                      | CUSIP: 36179NVL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42170 | PA      | $37960.86      | 0.00%             | 2043-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 12/20/2043#MA1521                                                                      | CUSIP: 36179NVN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     261500 | PA      | $248259.66     | 0.00%             | 2043-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 12/20/2043#MA1525                                                                      | CUSIP: 36179NVS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43385 | PA      | $44892.59      | 0.00%             | 2043-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 01/20/2044#MA1599                                                                      | CUSIP: 36179NX45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     399641 | PA      | $371000.09     | 0.00%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 02/20/2045#MA2600                                                                      | CUSIP: 36179Q3H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4986043 | PA      | $4599516.28    | 0.01%             | 2045-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 02/20/2045#MA2601                                                                      | CUSIP: 36179Q3J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1773712 | PA      | $1678523.51    | 0.00%             | 2045-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.0% 02/20/2045#MA2604                                                                      | CUSIP: 36179Q3M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     189422 | PA      | $193635.88     | 0.00%             | 2045-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 03/20/45#MA2677                                                                        | CUSIP: 36179Q6N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74831 | PA      | $68995.18      | 0.00%             | 2045-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 03/20/2045#MA2679                                                                      | CUSIP: 36179Q6Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5010222 | PA      | $4876252.08    | 0.01%             | 2045-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 03/20/2045#MA2680                                                                      | CUSIP: 36179Q6R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     402415 | PA      | $403381.21     | 0.00%             | 2045-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 04/20/2044#MA1839                                                                      | CUSIP: 36179QBG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21961 | PA      | $21392.86      | 0.00%             | 2044-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.0% 04/20/2044#MA1841                                                                      | CUSIP: 36179QBJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     194539 | PA      | $198869.09     | 0.00%             | 2044-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 05/20/2044#MA1921                                                                      | CUSIP: 36179QD24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76450 | PA      | $76637.78      | 0.00%             | 2044-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.0% 05/20/2044#MA1922                                                                      | CUSIP: 36179QD32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     461570 | PA      | $471642.00     | 0.00%             | 2044-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 05/20/2044#MA1923                                                                      | CUSIP: 36179QD40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54677 | PA      | $56653.94      | 0.00%             | 2044-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 05/20/44#MA1920                                                                        | CUSIP: 36179QDZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10122 | PA      | $9860.42       | 0.00%             | 2044-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.0% 06/20/2044#MA1998                                                                      | CUSIP: 36179QGF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17145 | PA      | $17516.99      | 0.00%             | 2044-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 07/20/2044#MA2072                                                                      | CUSIP: 36179QJR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     494529 | PA      | $457505.07     | 0.00%             | 2044-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 07/20/2044#MA2074                                                                      | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39550 | PA      | $38511.52      | 0.00%             | 2044-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 08/20/2044#MA2147                                                                      | CUSIP: 36179QL41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     290597 | PA      | $269306.99     | 0.00%             | 2044-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 08/20/2044#MA2149                                                                      | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      94377 | PA      | $91887.96      | 0.00%             | 2044-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.0% 08/20/2044#MA2151                                                                      | CUSIP: 36179QL82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21839 | PA      | $22319.95      | 0.00%             | 2044-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 08/20/44#MA2152                                                                        | CUSIP: 36179QL90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68770 | PA      | $71386.73      | 0.00%             | 2044-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 09/20/2044#MA2224                                                                      | CUSIP: 36179QPH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     615582 | PA      | $599273.79     | 0.00%             | 2044-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 10/20/44#MA2305                                                                        | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7580 | PA      | $7592.02       | 0.00%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 10/20/2044#MA2304                                                                      | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     695663 | PA      | $677064.36     | 0.00%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 11/20/2044#MA2372                                                                      | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1462307 | PA      | $1423037.00    | 0.00%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 11/20/44#MA2373                                                                        | CUSIP: 36179QT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     145839 | PA      | $146070.82     | 0.00%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.0% 11/20/2044#MA2374                                                                      | CUSIP: 36179QT76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     259778 | PA      | $265581.45     | 0.00%             | 2044-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 12/20/44#MA2444                                                                        | CUSIP: 36179QWD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     213573 | PA      | $197123.66     | 0.00%             | 2044-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 12/20/44#MA2445                                                                        | CUSIP: 36179QWE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32608 | PA      | $30863.51      | 0.00%             | 2044-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 12/20/44#MA2446                                                                        | CUSIP: 36179QWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42596 | PA      | $41451.64      | 0.00%             | 2044-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 01/20/2045#MA2520                                                                      | CUSIP: 36179QYR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     677921 | PA      | $625360.85     | 0.00%             | 2045-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 01/20/2045#MA2521                                                                      | CUSIP: 36179QYS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2740204 | PA      | $2593121.55    | 0.00%             | 2045-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 01/20/2045#MA2523                                                                      | CUSIP: 36179QYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144103 | PA      | $144338.72     | 0.00%             | 2045-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.0% 04/20/2045#MA2757                                                                      | CUSIP: 36179RB24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3910 | PA      | $3996.32       | 0.00%             | 2045-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 04/20/2045#MA2752                                                                      | CUSIP: 36179RBV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     133575 | PA      | $119031.17     | 0.00%             | 2045-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 04/20/2045#MA2754                                                                      | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1883031 | PA      | $1780900.50    | 0.00%             | 2045-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 03/20/2045#MA2755                                                                      | CUSIP: 36179RBY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3799094 | PA      | $3696569.11    | 0.01%             | 2045-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 04/20/2045#MA2756                                                                      | CUSIP: 36179RBZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     495255 | PA      | $496464.73     | 0.00%             | 2045-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 05/20/2045#MA2825                                                                      | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2108716 | PA      | $1942601.49    | 0.00%             | 2045-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 05/20/2045#MA2826                                                                      | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     449565 | PA      | $425016.08     | 0.00%             | 2045-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 05/20/2045#MA2828                                                                      | CUSIP: 36179RD97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     265823 | PA      | $266220.92     | 0.00%             | 2045-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 06/20/2045#MA2891                                                                      | CUSIP: 36179RF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3003087 | PA      | $2765772.33    | 0.00%             | 2045-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 06/20/2045#MA2892                                                                      | CUSIP: 36179RF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2473476 | PA      | $2338422.23    | 0.00%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 06/20/2045#MA2893                                                                      | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53488 | PA      | $52006.42      | 0.00%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNMA II 4.5% 6/45#MA2894                                                                            | CUSIP: 36179RGB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1771952 | PA      | $1775149.29    | 0.00%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 07/20/2045#MA2960                                                                      | CUSIP: 36179RJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2846834 | PA      | $2621144.85    | 0.00%             | 2045-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 07/20/2045#MA2961                                                                      | CUSIP: 36179RJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6219076 | PA      | $5877275.35    | 0.01%             | 2045-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 07/20/2045#MA2962                                                                      | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2616532 | PA      | $2543132.74    | 0.00%             | 2045-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 07/20/2045#MA2963                                                                      | CUSIP: 36179RJG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58201 | PA      | $58288.20      | 0.00%             | 2045-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 08/45#MA3033                                                                           | CUSIP: 36179RLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     647237 | PA      | $595722.72     | 0.00%             | 2045-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 08/20/2045#MA3034                                                                      | CUSIP: 36179RLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3860778 | PA      | $3647824.50    | 0.01%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 08/20/2045#MA3035                                                                      | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     384087 | PA      | $373225.14     | 0.00%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 08/20/2045#MA3104                                                                      | CUSIP: 36179RNV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91071 | PA      | $83820.18      | 0.00%             | 2045-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 09/20/2045#MA3105                                                                      | CUSIP: 36179RNW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     216673 | PA      | $204715.96     | 0.00%             | 2045-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 09/45#MA3106                                                                           | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     929837 | PA      | $903423.78     | 0.00%             | 2045-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 10/45#MA3173                                                                           | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2782447 | PA      | $2627901.82    | 0.00%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 10/45#MA3174                                                                           | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1913431 | PA      | $1858835.38    | 0.00%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 10/20/2045#MA3172                                                                        | CUSIP: 36179RQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     626693 | PA      | $576618.42     | 0.00%             | 2045-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 11/20/2045#MA3244                                                                      | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2179730 | PA      | $2058293.16    | 0.00%             | 2045-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 11/20/2045#MA3245                                                                      | CUSIP: 36179RTA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     809651 | PA      | $786460.68     | 0.00%             | 2045-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 12/20/2045#MA3311                                                                        | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1599872 | PA      | $1554235.33    | 0.00%             | 2045-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 06/15/2043#AD1014                                                                    | CUSIP: 36180CDT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1406543 | PA      | $1296710.87    | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 01/15/2043#AD1621                                                                    | CUSIP: 36180CYS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5316 | PA      | $5072.38       | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2043#AD4497                                                                    | CUSIP: 36180F7J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4269 | PA      | $3972.47       | 0.00%             | 2043-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2043#AD4498                                                                    | CUSIP: 36180F7K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2469 | PA      | $2281.45       | 0.00%             | 2043-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 06/15/2043#AD4108                                                                    | CUSIP: 36180FR53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     109125 | PA      | $103505.99     | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 05/15/2043#AD5437                                                                    | CUSIP: 36180HBE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71990 | PA      | $68127.44      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 06/15/2043#AD5452                                                                    | CUSIP: 36180HBV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6296 | PA      | $5951.77       | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 05/15/2043#AD9151                                                                    | CUSIP: 36180NEY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     313589 | PA      | $297579.31     | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 07/15/2043#AD9312                                                                    | CUSIP: 36180NKZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     389896 | PA      | $359575.34     | 0.00%             | 2043-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 05/15/2043#AE4614                                                                    | CUSIP: 36180XDT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106705 | PA      | $100957.31     | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 09/15/2043#AE7788                                                                    | CUSIP: 36181BUM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21936 | PA      | $20980.93      | 0.00%             | 2043-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 08/15/2043#AF0653                                                                    | CUSIP: 36181FWN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22875 | PA      | $21632.29      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 12/15/2043#AG4954                                                                    | CUSIP: 36181YQF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11761 | PA      | $11138.42      | 0.00%             | 2043-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AH7281                                                                    | CUSIP: 36182QCS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46389 | PA      | $42340.43      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 09/15/2044#AJ8929                                                                    | CUSIP: 36183E4N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9431 | PA      | $9181.84       | 0.00%             | 2044-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 01/15/2045#AK3531                                                                    | CUSIP: 36183L4Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84662 | PA      | $77500.18      | 0.00%             | 2045-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AK7286                                                                    | CUSIP: 36183RCX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23352 | PA      | $21348.76      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 01/15/2045#AL1889                                                                    | CUSIP: 36183XC24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57211 | PA      | $52510.22      | 0.00%             | 2045-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 01/15/2045#AL1871                                                                    | CUSIP: 36183XCG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23625 | PA      | $21598.61      | 0.00%             | 2045-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 01/15/2045#AL1884                                                                    | CUSIP: 36183XCV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63349 | PA      | $58047.33      | 0.00%             | 2045-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL2277                                                                    | CUSIP: 36183XQ60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72671 | PA      | $66790.00      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL2282                                                                    | CUSIP: 36183XRB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     277944 | PA      | $254016.61     | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL2295                                                                    | CUSIP: 36183XRQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47761 | PA      | $44474.93      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL2303                                                                    | CUSIP: 36183XRY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84058 | PA      | $76821.95      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 02/15/2045#AL3843                                                                    | CUSIP: 36184AHU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     227950 | PA      | $208803.54     | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL5244                                                                    | CUSIP: 36184BZH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38203 | PA      | $35183.49      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL9282                                                                    | CUSIP: 36184HJ39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     427301 | PA      | $390897.13     | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL9314                                                                    | CUSIP: 36184HK37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76967 | PA      | $70525.29      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL9337                                                                    | CUSIP: 36184HLS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     252732 | PA      | $231889.52     | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL9557                                                                    | CUSIP: 36184HTN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132101 | PA      | $120925.68     | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 8% 11/01/2031                                                                         | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2275963.94    | 0.00%             | 2031-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 05/15/2044#AI0867                                                                    | CUSIP: 36198K6C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17969 | PA      | $17501.26      | 0.00%             | 2044-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 01/15/2045#AI6880                                                                    | CUSIP: 36198TUD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53819 | PA      | $49217.74      | 0.00%             | 2045-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 5.5% 10/15/2033#604674                                                                    | CUSIP: 36200MXB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        322 | PA      | $329.43        | 0.00%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 9/34 #605693                                                                             | CUSIP: 36200N3A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9207 | PA      | $9449.17       | 0.00%             | 2034-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 9/33 #594730                                                                             | CUSIP: 36201VVX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1311 | PA      | $1315.83       | 0.00%             | 2033-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 11/33 #003470                                                                          | CUSIP: 36202D2B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17780 | PA      | $17838.53      | 0.00%             | 2033-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 11/33 #003473                                                                          | CUSIP: 36202D2E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17146 | PA      | $17647.53      | 0.00%             | 2033-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 3/34 #003528                                                                           | CUSIP: 36202D4M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20870 | PA      | $20942.60      | 0.00%             | 2034-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 5/34 #003554                                                                          | CUSIP: 36202D5P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24750 | PA      | $24829.57      | 0.00%             | 2034-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.00% 5/34 #003557                                                                          | CUSIP: 36202D5S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28559 | PA      | $29776.63      | 0.00%             | 2034-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 10/32 #003295                                                                          | CUSIP: 36202DUU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        119 | PA      | $122.33        | 0.00%             | 2032-10-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 1/33 #003333                                                                           | CUSIP: 36202DV24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     164164 | PA      | $168560.71     | 0.00%             | 2033-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.50% 12/32 #003320                                                                         | CUSIP: 36202DVM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22211 | PA      | $22805.53      | 0.00%             | 2032-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 2/33 #003346                                                                           | CUSIP: 36202DWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85532 | PA      | $87822.33      | 0.00%             | 2033-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 3/33 #003358                                                                          | CUSIP: 36202DWT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3314 | PA      | $3323.98       | 0.00%             | 2033-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 6/33 #003401                                                                          | CUSIP: 36202DX63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        646 | PA      | $648.27        | 0.00%             | 2033-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 6/33 #003403                                                                           | CUSIP: 36202DX89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19381 | PA      | $19933.36      | 0.00%             | 2033-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.50% 4/33 #003375                                                                          | CUSIP: 36202DXC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1746 | PA      | $1795.19       | 0.00%             | 2033-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 7/33 #003413                                                                           | CUSIP: 36202DYJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2201 | PA      | $2207.42       | 0.00%             | 2033-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 9/33 #003441                                                                           | CUSIP: 36202DZE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2323 | PA      | $2330.12       | 0.00%             | 2033-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 12/34 #003650                                                                         | CUSIP: 36202EBT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        335 | PA      | $336.40        | 0.00%             | 2034-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 6/35 #003722                                                                          | CUSIP: 36202ED30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3150 | PA      | $3161.56       | 0.00%             | 2035-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 8/35 #003746                                                                          | CUSIP: 36202EET2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1901 | PA      | $1908.27       | 0.00%             | 2035-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.00% 10/35 #003775                                                                         | CUSIP: 36202EFQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53944 | PA      | $56490.94      | 0.00%             | 2035-10-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 7/36 #003879                                                                             | CUSIP: 36202EJY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66332 | PA      | $69659.06      | 0.00%             | 2036-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.5% 8/36 #003891                                                                           | CUSIP: 36202EKC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41128 | PA      | $43723.88      | 0.00%             | 2036-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.00% 12/36 #003931                                                                         | CUSIP: 36202ELL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42476 | PA      | $44605.68      | 0.00%             | 2036-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.00% 1/37 #003941                                                                          | CUSIP: 36202ELW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13140 | PA      | $13798.80      | 0.00%             | 2037-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.50% 4/37 #003975                                                                          | CUSIP: 36202EMY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        869 | PA      | $902.35        | 0.00%             | 2037-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.00% 4/37 #003976                                                                          | CUSIP: 36202EMZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22439 | PA      | $23579.62      | 0.00%             | 2037-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.00% 9/37 #004028                                                                          | CUSIP: 36202EPM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97747 | PA      | $102845.81     | 0.00%             | 2037-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.00% 10/37 #004039                                                                         | CUSIP: 36202EPY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96170 | PA      | $101204.39     | 0.00%             | 2037-10-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.00% 11/37 #004049                                                                         | CUSIP: 36202EQA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     336332 | PA      | $353935.34     | 0.00%             | 2037-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.00% 12/37 #004060                                                                         | CUSIP: 36202EQM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112588 | PA      | $118549.89     | 0.00%             | 2037-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.50% 3/38 #004100                                                                          | CUSIP: 36202ERV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     105538 | PA      | $112183.03     | 0.00%             | 2038-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.50% 7/38 #004194                                                                          | CUSIP: 36202EUT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122430 | PA      | $127275.78     | 0.00%             | 2038-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.50% 8/38 #004221                                                                          | CUSIP: 36202EVN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1876 | PA      | $1950.73       | 0.00%             | 2038-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.00% 9/38 #004245                                                                          | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15713 | PA      | $16568.69      | 0.00%             | 2038-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.00% 1/39 #004342                                                                          | CUSIP: 36202EZF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27334 | PA      | $27906.03      | 0.00%             | 2039-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 1/42 #005281                                                                          | CUSIP: 36202F2N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57316 | PA      | $57487.77      | 0.00%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.00% 3/42 #005334                                                                          | CUSIP: 36202F4T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33564 | PA      | $34283.57      | 0.00%             | 2042-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.00% 10/39 #004559                                                                         | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     622464 | PA      | $635724.09     | 0.00%             | 2039-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 9/39 #004539                                                                          | CUSIP: 36202FBG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2796 | PA      | $2741.96       | 0.00%             | 2039-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 11/39 #004576                                                                         | CUSIP: 36202FCM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82968 | PA      | $81346.01      | 0.00%             | 2039-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 11/39 #004577                                                                         | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3545 | PA      | $3556.91       | 0.00%             | 2039-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.00% 11/39 #004578                                                                         | CUSIP: 36202FCP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1209 | PA      | $1234.35       | 0.00%             | 2039-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.00% 3/40 #004658                                                                          | CUSIP: 36202FE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3813 | PA      | $3895.53       | 0.00%             | 2040-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.00% 2/40 #004637                                                                          | CUSIP: 36202FEJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1926 | PA      | $1966.96       | 0.00%             | 2040-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.00% 4/40 #004679                                                                          | CUSIP: 36202FFU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56676 | PA      | $57897.82      | 0.00%             | 2040-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 5/40 #004696                                                                          | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     404507 | PA      | $405815.96     | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 6/40 #004713                                                                          | CUSIP: 36202FGW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6380 | PA      | $6400.90       | 0.00%             | 2040-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.00% 6/40 #004715                                                                          | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     209990 | PA      | $214534.14     | 0.00%             | 2040-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 7/40 #004746                                                                          | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7024 | PA      | $7045.96       | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.00% 7/40 #004747                                                                          | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     110739 | PA      | $113135.45     | 0.00%             | 2040-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 8/40 #004770                                                                          | CUSIP: 36202FJP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      94664 | PA      | $92744.77      | 0.00%             | 2040-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.00% 8/40 #004772                                                                          | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     173605 | PA      | $177375.40     | 0.00%             | 2040-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 9/40 #004800                                                                          | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     109701 | PA      | $107454.89     | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 9/40 #004801                                                                          | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11440 | PA      | $11475.76      | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 5.00% 9/40 #004802                                                                             | CUSIP: 36202FKP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10810 | PA      | $11045.19      | 0.00%             | 2040-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 10/40 #004833                                                                         | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1252386 | PA      | $1226784.27    | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 10/40 #004834                                                                         | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26062 | PA      | $26143.90      | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 12/40 #004883                                                                         | CUSIP: 36202FM86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21973 | PA      | $22041.11      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 11/40 #004853                                                                         | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1679399 | PA      | $1644750.95    | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 11/40 #004854                                                                         | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     939530 | PA      | $942480.65     | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 2/41 #004945                                                                          | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     229835 | PA      | $225072.57     | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 1/41 #004946                                                                          | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     382836 | PA      | $384018.08     | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 1/41 #004922                                                                          | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2111820 | PA      | $2068292.59    | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 7/40 #004923                                                                          | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     294839 | PA      | $295754.67     | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 3/41 #004978                                                                          | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     871826 | PA      | $874517.74     | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 3/20/41 #004984                                                                        | CUSIP: 36202FRD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17236 | PA      | $17908.65      | 0.00%             | 2041-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 4/41 #005017                                                                          | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83270 | PA      | $83525.02      | 0.00%             | 2041-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 5/41 #005055                                                                          | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8263044 | PA      | $8288392.84    | 0.01%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 8/41 #005139                                                                          | CUSIP: 36202FV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1645029 | PA      | $1609610.51    | 0.00%             | 2041-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 8/41 #005140                                                                          | CUSIP: 36202FV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132612 | PA      | $133006.55     | 0.00%             | 2041-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 7/41 #005115                                                                          | CUSIP: 36202FVG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18483 | PA      | $18538.15      | 0.00%             | 2041-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 9/41 #005174                                                                          | CUSIP: 36202FXB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5275555 | PA      | $5161350.57    | 0.01%             | 2041-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 9/41 #005175                                                                          | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2150 | PA      | $2155.94       | 0.00%             | 2041-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 12/20/2041#005258                                                                      | CUSIP: 36202FZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2215179 | PA      | $2114643.65    | 0.00%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 12/41 #005259                                                                         | CUSIP: 36202FZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     490633 | PA      | $479849.03     | 0.00%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #479430                                                                            | CUSIP: 36209RST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     427155 | PA      | $416646.66     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 5/39 #716211                                                                             | CUSIP: 3620A1VC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114310 | PA      | $118304.07     | 0.00%             | 2039-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 4/39 #716781                                                                             | CUSIP: 3620A2J23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     268837 | PA      | $274518.12     | 0.00%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 8/39 #717883                                                                             | CUSIP: 3620A3RC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     133852 | PA      | $136739.76     | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #719228                                                                             | CUSIP: 3620A5A58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74804 | PA      | $75009.22      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #719230                                                                             | CUSIP: 3620A5A74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69920 | PA      | $70107.33      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #719232                                                                             | CUSIP: 3620A5A90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59184 | PA      | $59340.36      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 7/40 #719217                                                                             | CUSIP: 3620A5AS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     637234 | PA      | $651060.20     | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 7/40 #719248                                                                             | CUSIP: 3620A5BR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     317674 | PA      | $324459.61     | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.00% 11/39 #719739                                                                            | CUSIP: 3620A5S42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75002 | PA      | $79007.58      | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.00% 11/39 #719736                                                                            | CUSIP: 3620A5SZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6932 | PA      | $7292.79       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.00% 11/39 #720602                                                                            | CUSIP: 3620A6RX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18077 | PA      | $18968.32      | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 8/40 #721746                                                                             | CUSIP: 3620A7ZK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6365 | PA      | $6218.32       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 8/39 #723158                                                                             | CUSIP: 3620A9MF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97389 | PA      | $100782.53     | 0.00%             | 2039-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 5/40 #723747                                                                             | CUSIP: 3620AABQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     288887 | PA      | $281957.30     | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/40 #723820                                                                             | CUSIP: 3620AADZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13962 | PA      | $13999.34      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 8/39 #724189                                                                             | CUSIP: 3620AARJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     221336 | PA      | $226073.93     | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 8/39 #724228                                                                             | CUSIP: 3620AASR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     341656 | PA      | $348953.82     | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.00% 11/39 #727692                                                                            | CUSIP: 3620AENH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28486 | PA      | $29965.25      | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 4/40 #727851                                                                             | CUSIP: 3620AETG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30255 | PA      | $29543.27      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/40 #732823                                                                             | CUSIP: 3620ALD43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35764 | PA      | $35856.06      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 5/40 #733155                                                                             | CUSIP: 3620ALQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139215 | PA      | $142241.40     | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 6/40 #733205                                                                             | CUSIP: 3620ALR22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     173831 | PA      | $177595.28     | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 8/40 #733255                                                                             | CUSIP: 3620ALTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35376 | PA      | $35490.62      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 9/40 #733323                                                                             | CUSIP: 3620ALVQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1504 | PA      | $1507.31       | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 7/40 #733778                                                                             | CUSIP: 3620AMFT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     635135 | PA      | $649322.23     | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 7/40 #733779                                                                             | CUSIP: 3620AMFU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     148970 | PA      | $152308.39     | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 7/40 #733783                                                                             | CUSIP: 3620AMFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     376129 | PA      | $384289.28     | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 7/40 #733784                                                                             | CUSIP: 3620AMFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     338808 | PA      | $346268.08     | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 7/40 #733801                                                                             | CUSIP: 3620AMGJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112783 | PA      | $115285.11     | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 8/40 #733871                                                                             | CUSIP: 3620AMJQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8023 | PA      | $8044.66       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 11/40 #734022                                                                            | CUSIP: 3620AMPF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28088 | PA      | $27407.71      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 1/41 #734151                                                                             | CUSIP: 3620AMTG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     806705 | PA      | $787353.70     | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 4/40 #735701                                                                             | CUSIP: 3620APKN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     109314 | PA      | $111706.65     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/40 #737539                                                                            | CUSIP: 3620ARLU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4375 | PA      | $4273.07       | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 10/40 #737540                                                                            | CUSIP: 3620ARLV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19763 | PA      | $19815.28      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/40 #737802                                                                            | CUSIP: 3620ARU33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38451 | PA      | $37528.83      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 12/40 #737796                                                                            | CUSIP: 3620ARUV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58635 | PA      | $55895.39      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/40 #737824                                                                            | CUSIP: 3620ARVR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28224 | PA      | $27592.43      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 1/41 #737911                                                                             | CUSIP: 3620ARYG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56743 | PA      | $54039.37      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #738882                                                                            | CUSIP: 3620AS2P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2898 | PA      | $2826.65       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #738885                                                                            | CUSIP: 3620AS2S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     234591 | PA      | $228884.48     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #738886                                                                            | CUSIP: 3620AS2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114722 | PA      | $112062.52     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 5/41 #738316                                                                             | CUSIP: 3620ASGZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2197 | PA      | $2203.31       | 0.00%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/41 #738422                                                                             | CUSIP: 3620ASLB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13916 | PA      | $13950.24      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 4/40 #739091                                                                             | CUSIP: 3620ATC47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4134 | PA      | $4145.97       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 1/41 #740688                                                                             | CUSIP: 3620AU2V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44368 | PA      | $42436.24      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 2/41 #740764                                                                             | CUSIP: 3620AU5Z3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1135 | PA      | $1085.13       | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 7/42 #740286                                                                             | CUSIP: 3620AUNB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22902 | PA      | $21667.99      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 10/15/2042#740304                                                                    | CUSIP: 3620AUNV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21788 | PA      | $20079.77      | 0.00%             | 2042-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 8/40 #741372                                                                             | CUSIP: 3620AVT51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19503 | PA      | $19555.77      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/40 #742235                                                                            | CUSIP: 3620AWSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7973 | PA      | $7785.00       | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 7/41 #743046                                                                             | CUSIP: 3620AXP77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     504105 | PA      | $490851.62     | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 5/40 #743350                                                                             | CUSIP: 3620AXZP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58920 | PA      | $60176.28      | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 7/40 #745198                                                                             | CUSIP: 3620C03F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     485528 | PA      | $496062.25     | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 7/40 #745224                                                                             | CUSIP: 3620C04H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     377837 | PA      | $386034.98     | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #745236                                                                             | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81290 | PA      | $81514.92      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #745237                                                                             | CUSIP: 3620C04W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11354 | PA      | $11384.16      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/41 #744592                                                                             | CUSIP: 3620C0F94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23412 | PA      | $23452.11      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/40 #745138                                                                             | CUSIP: 3620C0ZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     189634 | PA      | $190161.91     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 9/40 #747149                                                                             | CUSIP: 3620C3BS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33074 | PA      | $33156.10      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 9/40 #747264                                                                             | CUSIP: 3620C3FD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42918 | PA      | $43029.19      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 8/41 #748183                                                                             | CUSIP: 3620C4FY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14880 | PA      | $14547.19      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 9/41 #748220                                                                             | CUSIP: 3620C4G53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47148 | PA      | $46001.32      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #748242                                                                            | CUSIP: 3620C4HT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28052 | PA      | $27369.59      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 11/41 #748278                                                                            | CUSIP: 3620C4JX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35531 | PA      | $34636.54      | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/41 #748314                                                                            | CUSIP: 3620C4K33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39299 | PA      | $38271.60      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 3/42 #748413                                                                             | CUSIP: 3620C4N63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2111 | PA      | $2009.57       | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 03/15/2042#748416                                                                    | CUSIP: 3620C4N97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3141 | PA      | $3054.58       | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/41 #749403                                                                             | CUSIP: 3620C5RY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8159 | PA      | $8173.83       | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 10/40 #749845                                                                            | CUSIP: 3620C6BN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17631 | PA      | $16762.35      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 3/41 #750197                                                                             | CUSIP: 3620C6NN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22023 | PA      | $22077.75      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 11/41 #489787                                                                            | CUSIP: 36210ECY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97836 | PA      | $93498.85      | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 2/35 #510585                                                                             | CUSIP: 36211EF29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        805 | PA      | $807.71        | 0.00%             | 2035-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/41 #552550                                                                            | CUSIP: 36213EZP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     267229 | PA      | $260427.59     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/41 #552552                                                                            | CUSIP: 36213EZR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154051 | PA      | $150129.65     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 1/42 #553471                                                                             | CUSIP: 36213F2C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71946 | PA      | $68162.98      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 1/42 #553460                                                                             | CUSIP: 36213FZZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141518 | PA      | $134107.03     | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 03/15/2044#783879                                                                    | CUSIP: 3622A2JY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55308 | PA      | $53900.65      | 0.00%             | 2044-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 9/41 #754197                                                                             | CUSIP: 36230NUW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14452 | PA      | $14079.81      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 11/40 #756928                                                                            | CUSIP: 36230RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36723 | PA      | $34998.92      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 05/15/2042#757522                                                                    | CUSIP: 36230SLB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84833 | PA      | $78879.87      | 0.00%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 1/41 #757946                                                                             | CUSIP: 36230SZK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23404 | PA      | $22834.98      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 1/41 #759125                                                                             | CUSIP: 36230UD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28937 | PA      | $28246.56      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 2/41 #759184                                                                             | CUSIP: 36230UFZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19499 | PA      | $19027.08      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 3/41 #759247                                                                             | CUSIP: 36230UHY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50120 | PA      | $48940.63      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 3/39 #782604                                                                             | CUSIP: 36241K3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     575172 | PA      | $594378.21     | 0.00%             | 2039-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.00% 11/34 #781868                                                                            | CUSIP: 36241KCD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     218804 | PA      | $227590.53     | 0.00%             | 2034-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 10/35 #781987                                                                            | CUSIP: 36241KF45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     319989 | PA      | $329187.77     | 0.00%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.00% 1/38 #782253                                                                             | CUSIP: 36241KQE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59974 | PA      | $62732.16      | 0.00%             | 2038-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.50% 2/38 #782282                                                                             | CUSIP: 36241KRB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42130 | PA      | $44896.79      | 0.00%             | 2038-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.00% 6/36 #782394                                                                             | CUSIP: 36241KUT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     444831 | PA      | $465212.90     | 0.00%             | 2036-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 12/38 #782495                                                                            | CUSIP: 36241KXY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     281791 | PA      | $290920.23     | 0.00%             | 2038-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 11/38 #782539                                                                            | CUSIP: 36241KZC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     110990 | PA      | $114730.44     | 0.00%             | 2038-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.50% 1/39 #782559                                                                             | CUSIP: 36241KZY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     188751 | PA      | $199871.31     | 0.00%             | 2039-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 9/41 #783501                                                                             | CUSIP: 36241L3J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1898468 | PA      | $1939106.32    | 0.00%             | 2041-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5.5% 12/41#783523                                                                           | CUSIP: 36241L4G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112770 | PA      | $117143.71     | 0.00%             | 2041-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4.5% 07/20/2041#783591                                                                      | CUSIP: 36241L7C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3040904 | PA      | $3050014.76    | 0.00%             | 2041-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.00% 11/39 #782803                                                                            | CUSIP: 36241LDG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7259 | PA      | $7626.09       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.00% 11/39 #782858                                                                            | CUSIP: 36241LE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70140 | PA      | $73620.61      | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 5.5% 03/15/2040#782920                                                                    | CUSIP: 36241LG59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4827 | PA      | $4986.82       | 0.00%             | 2040-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/40 #782989                                                                             | CUSIP: 36241LKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     452240 | PA      | $453461.11     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5.00% 7/40 #783050                                                                          | CUSIP: 36241LL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1450 | PA      | $1481.06       | 0.00%             | 2040-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5.00% 6/40 #783069                                                                          | CUSIP: 36241LMS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8853 | PA      | $9042.00       | 0.00%             | 2040-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/40 #783121                                                                            | CUSIP: 36241LPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     554511 | PA      | $541462.56     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 1/41 #783237                                                                             | CUSIP: 36241LS23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     410967 | PA      | $401108.72     | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5.00% 10/40 #783232                                                                         | CUSIP: 36241LSV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4181 | PA      | $4271.11       | 0.00%             | 2040-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 11/40 #783234                                                                            | CUSIP: 36241LSX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     199802 | PA      | $194986.78     | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 3/41 #783262                                                                             | CUSIP: 36241LTT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     679443 | PA      | $681291.68     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 3/41 #783267                                                                             | CUSIP: 36241LTY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     169353 | PA      | $165387.78     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 4/41 #783307                                                                             | CUSIP: 36241LU87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29200 | PA      | $28502.39      | 0.00%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5% 2/41#783278                                                                              | CUSIP: 36241LUB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66733 | PA      | $68182.74      | 0.00%             | 2041-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #783281                                                                             | CUSIP: 36241LUE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22368 | PA      | $22429.17      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.00% 12/40 #783292                                                                            | CUSIP: 36241LUR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64955 | PA      | $68145.41      | 0.00%             | 2040-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 3/41 #783295                                                                             | CUSIP: 36241LUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99485 | PA      | $99711.53      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5.00% 7/41 #783366                                                                          | CUSIP: 36241LW36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53187 | PA      | $54338.41      | 0.00%             | 2041-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 9/41 #783403                                                                             | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91456 | PA      | $87140.37      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 4/41 #783416                                                                             | CUSIP: 36241LYM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23248 | PA      | $24019.12      | 0.00%             | 2041-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 01/15/2043#614325                                                                    | CUSIP: 36290QPJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     169648 | PA      | $156838.93     | 0.00%             | 2043-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 06/15/2043#666368                                                                    | CUSIP: 36295CJM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     265871 | PA      | $244190.70     | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 06/15/2043#666369                                                                    | CUSIP: 36295CJN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     232276 | PA      | $214586.65     | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 05/15/2045#670008                                                                    | CUSIP: 36295GKV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143907 | PA      | $131689.65     | 0.00%             | 2045-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.00% 8/37 #671494                                                                             | CUSIP: 36295H7F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14581 | PA      | $15302.28      | 0.00%             | 2037-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 1/38 #676389                                                                             | CUSIP: 36295PNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25975 | PA      | $26816.21      | 0.00%             | 2038-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.00% 1/38 #676678                                                                             | CUSIP: 36295PXF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14026 | PA      | $14702.66      | 0.00%             | 2038-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 2/38 #676722                                                                             | CUSIP: 36295PYT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24683 | PA      | $25512.41      | 0.00%             | 2038-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 5/38 #676978                                                                             | CUSIP: 36295QCP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        338 | PA      | $348.76        | 0.00%             | 2038-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 6/38 #677176                                                                             | CUSIP: 36295QJV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5547 | PA      | $5734.83       | 0.00%             | 2038-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 8/38 #677205                                                                             | CUSIP: 36295QKS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        734 | PA      | $758.45        | 0.00%             | 2038-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 9/38 #677316                                                                             | CUSIP: 36295QN97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16725 | PA      | $17278.49      | 0.00%             | 2038-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.00% 10/39 #680489                                                                            | CUSIP: 36295T7A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26227 | PA      | $27603.17      | 0.00%             | 2039-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.00% 11/39 #680497                                                                            | CUSIP: 36295T7J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11459 | PA      | $12032.96      | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.00% 11/39 #680498                                                                            | CUSIP: 36295T7K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44640 | PA      | $47012.56      | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/40 #682474                                                                             | CUSIP: 36295WFP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23704 | PA      | $23765.15      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.50% 11/38 #688101                                                                            | CUSIP: 36296DNS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8043 | PA      | $8514.65       | 0.00%             | 2038-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 6/38 #690867                                                                             | CUSIP: 36296GQU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36286 | PA      | $37505.45      | 0.00%             | 2038-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 4/41 #691713                                                                             | CUSIP: 36296HN62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27264 | PA      | $26558.97      | 0.00%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 5/41 #691714                                                                             | CUSIP: 36296HN70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64969 | PA      | $63315.32      | 0.00%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 3/40 #691690                                                                             | CUSIP: 36296HNF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70848 | PA      | $69289.32      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 4/40 #691692                                                                             | CUSIP: 36296HNH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     224464 | PA      | $219234.26     | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 2/41 #691707                                                                             | CUSIP: 36296HNY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     140241 | PA      | $136652.11     | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 9/39 #692770                                                                             | CUSIP: 36296JT39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     433570 | PA      | $442668.66     | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 11/38 #697586                                                                            | CUSIP: 36296P6X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45412 | PA      | $46937.91      | 0.00%             | 2038-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #696983                                                                             | CUSIP: 36296PJ44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2636 | PA      | $2643.59       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.50% 10/38 #697656                                                                            | CUSIP: 36296QBZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        502 | PA      | $532.57        | 0.00%             | 2038-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 2/39 #697840                                                                             | CUSIP: 36296QHR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84129 | PA      | $84385.13      | 0.00%             | 2039-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 3/39 #697905                                                                             | CUSIP: 36296QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     152714 | PA      | $157860.41     | 0.00%             | 2039-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.50% 1/39 #698013                                                                             | CUSIP: 36296QN62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8375 | PA      | $8886.43       | 0.00%             | 2039-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 4/39 #698078                                                                             | CUSIP: 36296QQ77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67760 | PA      | $69171.62      | 0.00%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 5/39 #698307                                                                             | CUSIP: 36296QYC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     275084 | PA      | $284570.11     | 0.00%             | 2039-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 10/38 #700804                                                                            | CUSIP: 36296TRZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11090 | PA      | $11463.27      | 0.00%             | 2038-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 11/38 #700918                                                                            | CUSIP: 36296TVK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6178 | PA      | $6385.87       | 0.00%             | 2038-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 2/39 #701665                                                                             | CUSIP: 36296UQS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     211743 | PA      | $219044.66     | 0.00%             | 2039-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 5/39 #701897                                                                             | CUSIP: 36296UX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     303356 | PA      | $309968.94     | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 5/39 #701898                                                                             | CUSIP: 36296UX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118751 | PA      | $121317.48     | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 4/39 #704488                                                                             | CUSIP: 36296XUM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     201104 | PA      | $208057.27     | 0.00%             | 2039-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/40 #705008                                                                             | CUSIP: 36296YGR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63025 | PA      | $63212.04      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 2/39 #707289                                                                             | CUSIP: 36297BXS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51665 | PA      | $53469.99      | 0.00%             | 2039-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 5/41 #707756                                                                             | CUSIP: 36297CH93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15808 | PA      | $15858.44      | 0.00%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/41 #709061                                                                            | CUSIP: 36297DWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33780 | PA      | $33016.34      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 12/15/2041#709063                                                                    | CUSIP: 36297DWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36152 | PA      | $35305.52      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.00% 11/39 #709863                                                                            | CUSIP: 36297ETU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15375 | PA      | $16074.90      | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 11/39 #710995                                                                            | CUSIP: 36297F3C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     238614 | PA      | $243888.19     | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 1/40 #711062                                                                             | CUSIP: 36297F5X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19506 | PA      | $19078.66      | 0.00%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 6/39 #710446                                                                             | CUSIP: 36297FHX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39870 | PA      | $38968.54      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/39 #710683                                                                             | CUSIP: 36297FRC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12180 | PA      | $12212.41      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 9/39 #710869                                                                             | CUSIP: 36297FW65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     430075 | PA      | $445100.96     | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 9/39 #710849                                                                             | CUSIP: 36297FWJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     465850 | PA      | $475694.39     | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 9/39 #710856                                                                             | CUSIP: 36297FWR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     175416 | PA      | $179271.10     | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 9/39 #710857                                                                             | CUSIP: 36297FWS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     177102 | PA      | $180971.03     | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 10/39 #710924                                                                            | CUSIP: 36297FYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9513 | PA      | $9717.92       | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 6/39 #711994                                                                             | CUSIP: 36297G7F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     625881 | PA      | $612182.93     | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 2/40 #711188                                                                             | CUSIP: 36297GCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18510 | PA      | $18561.36      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 8/39 #711450                                                                             | CUSIP: 36297GL73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61969 | PA      | $60517.88      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 5/40 #711509                                                                             | CUSIP: 36297GN22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     257518 | PA      | $258063.92     | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 3/40 #711497                                                                             | CUSIP: 36297GNN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     153309 | PA      | $153629.26     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 4/40 #711503                                                                             | CUSIP: 36297GNU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     173644 | PA      | $169517.86     | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 06/15/2042#711656                                                                    | CUSIP: 36297GTM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88306 | PA      | $81812.78      | 0.00%             | 2042-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GE AEROSPACE                                                                    | GE AEROSPACE 6.875% 01/10/2039                                                                      | CUSIP: 36962G4B7<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |     119000 | PA      | $141903.34     | 0.00%             | 2039-01-10      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                               | GENERAL MOTORS CO 5.2% 04/01/2045                                                                   | CUSIP: 37045VAJ9<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    3392000 | PA      | $3083834.36    | 0.00%             | 2045-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GEORGE WASHINGTON UNIVERSITY                                                    | GEORGE WASH UNIV 4.3% 09/15/2044                                                                    | CUSIP: 372546AT8<br>LEI: 5493002S4P5IVD462L47 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1386423.79    | 0.00%             | 2044-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                             | GILEAD SCIENCES INC 4.75% 03/01/2046                                                                | CUSIP: 375558BD4<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    8737000 | PA      | $8088042.81    | 0.01%             | 2046-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                             | GILEAD SCIENCES INC 3.65% 03/01/2026                                                                | CUSIP: 375558BF9<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    4909000 | PA      | $4902903.76    | 0.01%             | 2026-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| GLAXOSMITHKLINE CAPITAL INC                                                     | GLAXOSMITHKLINE CAPITAL INC 6.375% 05/15/2038                                                       | CUSIP: 377372AE7<br>LEI: 5493007Q8VD7Q3ZYZS59 | Long             | DBT              | CORP              | US        |    5734000 | PA      | $6525230.53    | 0.01%             | 2038-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 5.95% 01/15/2027                                                      | CUSIP: 38141GES9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   11915000 | PA      | $12170994.49   | 0.02%             | 2027-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 6.75% 10/01/2037                                                      | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   20049000 | PA      | $22582491.48   | 0.03%             | 2037-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 6.25% 02/01/2041                                                      | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $6520686.02    | 0.01%             | 2041-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 4.75% 10/21/2045                                                      | CUSIP: 38141GVS0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   12534000 | PA      | $11550443.73   | 0.02%             | 2045-10-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 5.25% 03/14/2044                                                                  | CUSIP: 404280AQ2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3946000 | PA      | $3887852.97    | 0.01%             | 2044-03-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                                  | HALLIBURTON CO 7.45% 09/15/2039                                                                     | CUSIP: 406216AY7<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    1192000 | PA      | $1427751.47    | 0.00%             | 2039-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                                  | HALLIBURTON CO 4.85% 11/15/2035                                                                     | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $8953287.30    | 0.01%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| HALLIBURTON CO                                                                  | HALLIBURTON CO 5% 11/15/2045                                                                        | CUSIP: 406216BK6<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    5989000 | PA      | $5464424.69    | 0.01%             | 2045-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                                                                      | HASBRO INC 5.1% 05/15/2044                                                                          | CUSIP: 418056AU1<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3036217.71    | 0.00%             | 2044-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                                                | WELLTOWER OP LLC 6.5% 03/15/2041                                                                    | CUSIP: 42217KAX4<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1235134.45    | 0.00%             | 2041-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                       | HESS CORP 6% 01/15/2040                                                                             | CUSIP: 42809HAC1<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2189797.88    | 0.00%             | 2040-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                       | HESS CORP 5.6% 02/15/2041                                                                           | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    2701000 | PA      | $2828293.86    | 0.00%             | 2041-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HP INC                                                                          | HP INC 6% 09/15/2041                                                                                | CUSIP: 428236BR3<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |    3192000 | PA      | $3278897.92    | 0.00%             | 2041-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| HOME DEPOT INC                                                                  | HOME DEPOT INC 5.875% 12/16/2036                                                                    | CUSIP: 437076AS1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   13741000 | PA      | $15019538.90   | 0.02%             | 2036-12-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| HOME DEPOT INC                                                                  | HOME DEPOT INC 4.2% 04/01/2043                                                                      | CUSIP: 437076BA9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    1251000 | PA      | $1099180.42    | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                  | HOME DEPOT INC 4.875% 02/15/2044                                                                    | CUSIP: 437076BD3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    2283000 | PA      | $2163961.30    | 0.00%             | 2044-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                  | HOME DEPOT INC 4.25% 04/01/2046                                                                     | CUSIP: 437076BH4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    2606000 | PA      | $2248336.22    | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                      | HUMANA INC 4.95% 10/01/2044                                                                         | CUSIP: 444859BE1<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    1986000 | PA      | $1775596.21    | 0.00%             | 2044-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                                                             | HUNGARY REPUBLIC OF 7.625% 03/29/2041                                                               | CUSIP: 445545AF3<br>LEI: 5299008DH62LEB10JK83 | Long             | DBT              | NUSS              | HU        |    5792000 | PA      | $6826219.52    | 0.01%             | 2041-03-29      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                     | ILLINOIS ST TXBL                                                                                    | CUSIP: 452151LF8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   18973578 | PA      | $19471314.22   | 0.03%             | 2033-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VOYA FINANCIAL INC                                                              | VOYA FINANCIAL INC 5.7% 07/15/2043                                                                  | CUSIP: 45685EAJ5<br>LEI: 549300T065Z4KJ686G75 | Long             | DBT              | CORP              | US        |    2979000 | PA      | $3005705.99    | 0.00%             | 2043-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRANE TECHNOLOGIES FINANCING LTD                                                | TRANE TECHNOLOGIES FINANCING LTD 4.65% 11/01/2044                                                   | CUSIP: 456873AC2<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |    4766000 | PA      | $4377767.45    | 0.01%             | 2044-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INTER AMERICAN DEV BANK                                                         | INTER AMERICAN DEV BANK 4.375% 01/24/2044                                                           | CUSIP: 4581X0CE6<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | CORP              | US        |    6926000 | PA      | $6604063.73    | 0.01%             | 2044-01-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | INTERCONTINENTAL EXCHANGE INC 3.75% 12/01/2025                                                      | CUSIP: 45866FAD6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    4567000 | PA      | $4567000.00    | 0.01%             | 2025-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IBM CORPORATION                                                                 | IBM CORPORATION 5.6% 11/30/2039                                                                     | CUSIP: 459200GS4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6828128.65    | 0.01%             | 2039-11-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL PAPER CO                                                          | INTERNATIONAL PAPER CO 5.15% 05/15/2046                                                             | CUSIP: 460146CN1<br>LEI: 824LMFJDH41EY779Q875 | Long             | DBT              | CORP              | US        |    1438000 | PA      | $1340229.09    | 0.00%             | 2046-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 6.4% 05/15/2038                                                               | CUSIP: 46625HHF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $11447170.60   | 0.02%             | 2038-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 5.5% 10/15/2040                                                               | CUSIP: 46625HHV5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4528000 | PA      | $4781246.01    | 0.01%             | 2040-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 5.6% 07/15/2041                                                               | CUSIP: 46625HJB7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1192000 | PA      | $1259200.49    | 0.00%             | 2041-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 5.625% 08/16/2043                                                             | CUSIP: 46625HJM3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    3972000 | PA      | $4142170.49    | 0.01%             | 2043-08-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.85% 02/01/2044                                                              | CUSIP: 46625HJU5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    3972000 | PA      | $3815091.62    | 0.01%             | 2044-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.125% 12/15/2026                                                             | CUSIP: 46625HJZ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4667000 | PA      | $4673793.29    | 0.01%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.95% 06/01/2045                                                              | CUSIP: 46625HLL2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    7581000 | PA      | $7268409.44    | 0.01%             | 2045-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2014-C24                                                 | JPMBB 2014-C24 A5 3.6385% 11/47                                                                     | CUSIP: 46643GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1452441 | PA      | $1428615.50    | 0.00%             | 2047-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHNSON and JOHNSON                                                             | JOHNSON and JOHNSON 4.5% 09/01/2040                                                                 | CUSIP: 478160AV6<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1764750.76    | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| JOHNSON and JOHNSON                                                             | JOHNSON and JOHNSON 4.85% 05/15/2041                                                                | CUSIP: 478160BA1<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    3383000 | PA      | $3388413.21    | 0.00%             | 2041-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JOHNSON and JOHNSON                                                             | JOHNSON and JOHNSON 4.375% 12/05/2033                                                               | CUSIP: 478160BJ2<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2658678.13    | 0.00%             | 2033-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| JOHNSON and JOHNSON                                                             | JOHNSON and JOHNSON 4.5% 12/05/2043                                                                 | CUSIP: 478160BK9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    5262000 | PA      | $4954876.00    | 0.01%             | 2043-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KAISER FNDTN HOSPS                                                              | KAISER FNDTN HOSPS 4.875% 04/01/2042                                                                | CUSIP: 48305QAB9<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    1430000 | PA      | $1374768.54    | 0.00%             | 2042-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KANSAS ST DEV FIN AUTH REV                                                      | KS ST DEV FI 4.927% 4/15/45                                                                         | CUSIP: 485429Z72<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    6035000 | PA      | $6069346.39    | 0.01%             | 2045-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK CORP                                                             | KIMBERLY-CLARK CORP 6.625% 08/01/2037                                                               | CUSIP: 494368BC6<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1402646.83    | 0.00%             | 2037-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                | KINDER MORGAN ENERGY PTNRS LP 6.55% 09/15/2040                                                      | CUSIP: 494550BF2<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    2383000 | PA      | $2610754.63    | 0.00%             | 2040-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                | KINDER MORGAN ENERGY PTNRS LP 5.625% 09/01/2041                                                     | CUSIP: 494550BK1<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     795000 | PA      | $793819.01     | 0.00%             | 2041-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                | KINDER MORGAN ENERGY PTNRS LP 5% 03/01/2043                                                         | CUSIP: 494550BP0<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     795000 | PA      | $733088.85     | 0.00%             | 2043-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                | KINDER MORGAN ENERGY PTNRS LP 5.5% 03/01/2044                                                       | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    5558000 | PA      | $5416330.80    | 0.01%             | 2044-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC DEL                                                           | KINDER MORGAN INC DEL 5.3% 12/01/2034                                                               | CUSIP: 49456BAG6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    6792000 | PA      | $6961780.17    | 0.01%             | 2034-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC DEL                                                           | KINDER MORGAN INC DEL 5.55% 06/01/2045                                                              | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   12933000 | PA      | $12635191.03   | 0.02%             | 2045-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                            | KRAFT HEINZ FOODS CO 5% 06/04/2042                                                                  | CUSIP: 50076QAE6<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    9800000 | PA      | $9091695.79    | 0.01%             | 2042-06-04      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                            | KRAFT HEINZ FOODS CO 6.875% 01/26/2039                                                              | CUSIP: 50076QAR7<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2244892.66    | 0.00%             | 2039-01-26      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                       | KROGER CO 5.15% 08/01/2043                                                                          | CUSIP: 501044CT6<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    2165000 | PA      | $2063003.00    | 0.00%             | 2043-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LYB INTERNATIONAL FINANCE BV                                                    | LYB INTL FIN BV 4.875% 03/15/2044                                                                   | CUSIP: 50247VAC3<br>LEI: 549300J6QSW38QNOJK61 | Long             | DBT              | CORP              | NL        |    4647000 | PA      | $3908130.72    | 0.01%             | 2044-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CA CCD                                                              | LOS ANGELES CALIF CMNTY COLLEGE DIST BUILD AMERICA BDS                                              | CUSIP: 54438CPA4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    7505000 | PA      | $8487096.04    | 0.01%             | 2049-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CA DEPT ARPTS REV                                                   | LOS ANGELES CALIF DEPT ARPTS ARPT REV BUILD AMERICA BONDS-DIRECT PAY                                | CUSIP: 544435C32<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3270000 | PA      | $3570506.13    | 0.01%             | 2039-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LYONDELLBASELL INDS NV                                                          | LYONDELLBASELL INDS NV 4.625% 02/26/2055                                                            | CUSIP: 552081AM3<br>LEI: BN6WCCZ8OVP3ITUUVN49 | Long             | DBT              | CORP              | NL        |    2970000 | PA      | $2285763.08    | 0.00%             | 2055-02-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARATHON PETROLEUM CORP                                                         | MARATHON PETROLEUM CORP 6.5% 03/01/2041                                                             | CUSIP: 56585AAF9<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |     795000 | PA      | $854952.76     | 0.00%             | 2041-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS INSTITUTE OF TECHNOLOGY                                           | MASSACHUSETTS INSTITUTE OF TECHNOLOGY 3.959% 07/01/2038                                             | CUSIP: 575718AE1<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |    3753000 | PA      | $3532898.56    | 0.01%             | 2038-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                  | MCDONALDS CORP 6.3% 03/01/2038                                                                      | CUSIP: 58013MEF7<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    5596000 | PA      | $6263345.61    | 0.01%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                  | MCDONALDS CORP 4.875% 12/09/2045                                                                    | CUSIP: 58013MFA7<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    4313000 | PA      | $4009972.03    | 0.01%             | 2045-12-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEDTRONIC INC                                                                   | MEDTRONIC INC 4.625% 03/15/2045                                                                     | CUSIP: 585055BU9<br>LEI: D56MRZY2INAN94ZONZ37 | Long             | DBT              | CORP              | US        |   10267000 | PA      | $9525373.11    | 0.01%             | 2045-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEMORIAL SLOAN KETTERING CANCER CTR                                             | MEMORIAL SLOAN KTTRNG CNCR CTR 4.2% 07/01/2055                                                      | CUSIP: 586054AC2<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |    2383000 | PA      | $1988994.54    | 0.00%             | 2055-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MERCK and CO INC                                                                | MERCK and CO INC 3.6% 09/15/2042                                                                    | CUSIP: 589331AS6<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1303577.62    | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MERCK and CO INC                                                                | MERCK and CO INC 3.7% 02/10/2045                                                                    | CUSIP: 58933YAT2<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    5084000 | PA      | $4129166.84    | 0.01%             | 2045-02-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 6.11% 01/29/2037                                                        | CUSIP: 59022CAJ2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6621000 | PA      | $7205831.54    | 0.01%             | 2037-01-29      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 7.75% 05/14/2038                                                        | CUSIP: 59023VAA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3317000 | PA      | $4074666.65    | 0.01%             | 2038-05-14      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                                     | METLIFE INC 6.375% 06/15/2034                                                                       | CUSIP: 59156RAJ7<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2249270.74    | 0.00%             | 2034-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                                     | METLIFE INC 6.4%/VAR 12/15/2066                                                                     | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    6050000 | PA      | $6357261.35    | 0.01%             | 2066-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                                     | METLIFE INC 5.875% 02/06/2041                                                                       | CUSIP: 59156RAY4<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    2059000 | PA      | $2176205.55    | 0.00%             | 2041-02-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                                     | METLIFE INC 4.125% 08/13/2042                                                                       | CUSIP: 59156RBD9<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    6959000 | PA      | $5998210.81    | 0.01%             | 2042-08-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                                     | METLIFE INC VAR 12/15/2044                                                                          | CUSIP: 59156RBL1<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    3972000 | PA      | $3636201.12    | 0.01%             | 2044-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                                     | METLIFE INC 4.6% 05/13/2046                                                                         | CUSIP: 59156RBR8<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    3589000 | PA      | $3255754.78    | 0.00%             | 2046-05-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN MUSEUM OF ART/THE                                                  | METROPOLITAN MUSEUM OF ART/THE 3.4% 07/01/2045                                                      | CUSIP: 592189AA2<br>LEI: 549300LS1O4XQ1SY7T11 | Long             | DBT              | CORP              | US        |    2383000 | PA      | $1857760.11    | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN TRANSN AUTH NY RV                                                  | METROPOLITAN TRANSN AUTH NY REBUILD AMERICA BONDS 6.668% 11/15/39                                   | CUSIP: 59259YBY4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    4895000 | PA      | $5426957.76    | 0.01%             | 2039-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                  | MICROSOFT CORP 4.2% 11/03/2035                                                                      | CUSIP: 594918BK9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1720830.42    | 0.00%             | 2035-11-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                               | BERKSHIRE HATHAWAY ENERGY COMPANY 5.15% 11/15/2043                                                  | CUSIP: 59562VBD8<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    6144000 | PA      | $5972536.63    | 0.01%             | 2043-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 7.25% 04/01/2032                                                                     | CUSIP: 617446HD4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     795000 | PA      | $922840.44     | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 4.3% 01/27/2045                                                                      | CUSIP: 61747YDY8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1393372.20    | 0.00%             | 2045-01-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 6.375% 07/24/2042                                                                    | CUSIP: 617482V92<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2303000 | PA      | $2602877.45    | 0.00%             | 2042-07-24      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 3.95% 04/23/2027                                                                     | CUSIP: 61761JZN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   27155000 | PA      | $27152892.77   | 0.04%             | 2027-04-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOSAIC CO                                                                       | MOSAIC CO NEW 5.625% 11/15/2043                                                                     | CUSIP: 61945CAE3<br>LEI: 2YD5STGSJNMUB7H76907 | Long             | DBT              | CORP              | US        |    2979000 | PA      | $2894968.61    | 0.00%             | 2043-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NYU LANGONE HOSPITALS                                                           | NYU LANGONE HOSPITALS 4.784% 07/01/2044                                                             | CUSIP: 62952EAC1<br>LEI: 254900A1087KNNZSNH72 | Long             | DBT              | CORP              | US        |    6037000 | PA      | $5609376.35    | 0.01%             | 2044-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ECO DEV AUTH ST PEN                                                  | NEW JERSEY ECO DEV AUTH ST PENSER A MBIA                                                            | CUSIP: 645913AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     967000 | PA      | $1012820.71    | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST TPK AUTH TPK REV                                                  | NEW JERSEY ST TPK AUTH TPK REVBUILD AMERICA BDS-TAXABLE-SER F 7.414% 1/1/40                         | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |    3734000 | PA      | $4503189.06    | 0.01%             | 2040-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEW YORK and PRESBYTERIAN HOSP                                                  | NEW YORK and PRESBYTERIAN HOSP 4.024% 08/01/2045                                                    | CUSIP: 649322AA2<br>LEI: 19EOSPKL8HML7MY3UE63 | Long             | DBT              | CORP              | US        |    2780000 | PA      | $2350159.74    | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW YORK NY CTY MUN WTR FIN AU                                                  | NEW YORK NY CITY MUN WTR FIN AUTH WTR and SWR REV BUILD AMERICA BONDS                               | CUSIP: 64972FK88<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    7170000 | PA      | $7512240.59    | 0.01%             | 2042-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                    | NISOURCE INC 4.8% 02/15/2044                                                                        | CUSIP: 65473QBC6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    4369000 | PA      | $3972090.86    | 0.01%             | 2044-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                                           | NORFOLK SOUTHERN CORP 3.95% 10/01/2042                                                              | CUSIP: 655844BM9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    1509000 | PA      | $1276213.93    | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                                           | NORFOLK SOUTHERN CORP 4.65% 01/15/2046                                                              | CUSIP: 655844BR8<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    2589000 | PA      | $2334336.33    | 0.00%             | 2046-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES POWER CO (MN)                                                   | NORTHERN STATES POWER CO (MN) 3.4% 08/15/2042                                                       | CUSIP: 665772CJ6<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1261158.35    | 0.00%             | 2042-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES POWER CO (MN)                                                   | NORTHERN STATES POWER CO (MN) 4.125% 05/15/2044                                                     | CUSIP: 665772CL1<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    3575000 | PA      | $3061348.15    | 0.00%             | 2044-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                           | NORTHROP GRUMMAN CORP 4.75% 06/01/2043                                                              | CUSIP: 666807BH4<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    3177000 | PA      | $2962230.45    | 0.00%             | 2043-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                           | NORTHROP GRUMMAN CORP 3.85% 04/15/2045                                                              | CUSIP: 666807BJ0<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    1489000 | PA      | $1215463.87    | 0.00%             | 2045-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN UNIV                                                               | NORTHWESTERN UNIV 4.643% 12/01/2044                                                                 | CUSIP: 668444AC6<br>LEI: OBWWNZE695DUK77DTI34 | Long             | DBT              | CORP              | US        |    2661000 | PA      | $2573688.86    | 0.00%             | 2044-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAP CORP                                                               | NOVARTIS CAP CORP 3.7% 09/21/2042                                                                   | CUSIP: 66989HAF5<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |    2244000 | PA      | $1888156.82    | 0.00%             | 2042-09-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAP CORP                                                               | NOVARTIS CAP CORP 4% 11/20/2045                                                                     | CUSIP: 66989HAK4<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |    4162000 | PA      | $3538525.32    | 0.01%             | 2045-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NUCOR CORP                                                                      | NUCOR CORP 6.4% 12/01/2037                                                                          | CUSIP: 670346AH8<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |    4833000 | PA      | $5442759.75    | 0.01%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 4.5% 04/01/2027                                                      | CUSIP: 681936BF6<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    7547000 | PA      | $7572687.35    | 0.01%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| ORACLE CORP                                                                     | ORACLE CORP 6.125% 07/08/2039                                                                       | CUSIP: 68389XAH8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1818057.55    | 0.00%             | 2039-07-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 5.375% 07/15/2040                                                                       | CUSIP: 68389XAM7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   19029000 | PA      | $17762122.63   | 0.03%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 4.3% 07/08/2034                                                                         | CUSIP: 68389XAV7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3078000 | PA      | $2845568.03    | 0.00%             | 2034-07-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 4.125% 05/15/2045                                                                       | CUSIP: 68389XBF1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2383000 | PA      | $1797198.52    | 0.00%             | 2045-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORANGE                                                                          | ORANGE 5.5% 02/06/2044                                                                              | CUSIP: 685218AB5<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |    2383000 | PA      | $2370156.73    | 0.00%             | 2044-02-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PPL ELEC UTILS CORP                                                             | PPL ELEC UTILS CORP 4.15% 10/01/2045                                                                | CUSIP: 69351UAT0<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |    2780000 | PA      | $2381645.18    | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                     | PACIFIC GAS and ELECTRIC CO 4.75% 02/15/2044                                                        | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     967000 | PA      | $830775.64     | 0.00%             | 2044-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                      | PACIFICORP 6% 01/15/2039                                                                            | CUSIP: 695114CL0<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    4919000 | PA      | $5038967.43    | 0.01%             | 2039-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                              | PANAMA REPUBLIC OF 4.3% 04/29/2053                                                                  | CUSIP: 698299BB9<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    4663000 | PA      | $3450620.00    | 0.01%             | 2053-04-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MASS GENERAL BRIGHAM INC                                                        | MASS GENERAL BRIGHAM INC 4.117% 07/01/2055                                                          | CUSIP: 70213HAC2<br>LEI: 5493007Z86EDN0QFYU66 | Long             | DBT              | CORP              | US        |    2780000 | PA      | $2313725.89    | 0.00%             | 2055-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                     | PEPSICO INC 3.6% 08/13/2042                                                                         | CUSIP: 713448CC0<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    2383000 | PA      | $1967924.82    | 0.00%             | 2042-08-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                     | PEPSICO INC 4.25% 10/22/2044                                                                        | CUSIP: 713448CQ9<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    4766000 | PA      | $4211855.75    | 0.01%             | 2044-10-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                     | PEPSICO INC 4.45% 04/14/2046                                                                        | CUSIP: 713448DD7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    4607000 | PA      | $4149188.31    | 0.01%             | 2046-04-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| PERU, REPUBLIC OF                                                               | PERU REPUBLIC OF 6.55% 03/14/2037                                                                   | CUSIP: 715638AU6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    2443000 | PA      | $2726388.00    | 0.00%             | 2037-03-14      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY INC                                                               | SUNCOR ENERGY INC 6.8% 05/15/2038                                                                   | CUSIP: 71644EAJ1<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |    6708000 | PA      | $7459807.15    | 0.01%             | 2038-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                      | PFIZER INC 7.2% 03/15/2039                                                                          | CUSIP: 717081CY7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    4289000 | PA      | $5194421.24    | 0.01%             | 2039-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                      | PFIZER INC 4.4% 05/15/2044                                                                          | CUSIP: 717081DK6<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    3328000 | PA      | $3018443.18    | 0.00%             | 2044-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| PHILIP MORRIS INTERNATIONAL INC                                                 | PHILIP MORRIS INTL INC 6.375% 05/16/2038                                                            | CUSIP: 718172AC3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    1152000 | PA      | $1297247.12    | 0.00%             | 2038-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                 | PHILIP MORRIS INTL INC 3.875% 08/21/2042                                                            | CUSIP: 718172AU3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    3833000 | PA      | $3198428.37    | 0.00%             | 2042-08-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                 | PHILIP MORRIS INTL INC 4.125% 03/04/2043                                                            | CUSIP: 718172AW9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    7944000 | PA      | $6838312.77    | 0.01%             | 2043-03-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                 | PHILIP MORRIS INTL INC 4.875% 11/15/2043                                                            | CUSIP: 718172BD0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    4766000 | PA      | $4471767.89    | 0.01%             | 2043-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                         | PHILIPPINES REPUBLIC OF 6.375% 10/23/2034                                                           | CUSIP: 718286BG1<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |   25842000 | PA      | $29097058.32   | 0.04%             | 2034-10-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                         | PHILIPPINES REPUBLIC OF 3.95% 01/20/2040                                                            | CUSIP: 718286BZ9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |   12692000 | PA      | $11295880.00   | 0.02%             | 2040-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                     | PHILLIPS 66 5.875% 05/01/2042                                                                       | CUSIP: 718546AH7<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |    7547000 | PA      | $7664124.99    | 0.01%             | 2042-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                     | PHILLIPS 66 4.65% 11/15/2034                                                                        | CUSIP: 718546AK0<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1969837.36    | 0.00%             | 2034-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                     | PHILLIPS 66 4.875% 11/15/2044                                                                       | CUSIP: 718546AL8<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     795000 | PA      | $707393.77     | 0.00%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                  | PLAINS ALL AM PIPELN/PAA FIN C 6.65% 01/15/2037                                                     | CUSIP: 72650RAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4220000 | PA      | $4624748.85    | 0.01%             | 2037-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                  | PLAINS ALL AM PIPELN/PAA FIN C 4.9% 02/15/2045                                                      | CUSIP: 72650RBH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1509000 | PA      | $1326446.51    | 0.00%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PORT AUTH NY and NJ                                                             | NY *PORT AUTH-TXB-164TH 5.647% 11/01/40                                                             | CUSIP: 73358WCW2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    4135000 | PA      | $4440206.00    | 0.01%             | 2040-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PORT AUTH NY and NJ                                                             | PORT NY NJ 4.96% 8/1/2046                                                                           | CUSIP: 73358WRP1<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    4115000 | PA      | $3952252.16    | 0.01%             | 2046-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| POTOMAC ELECTRIC POWER CO                                                       | POTOMAC ELECTRIC POWER CO 6.5% 11/15/2037                                                           | CUSIP: 737679DB3<br>LEI: 549300BXF2DWUNN57U06 | Long             | DBT              | CORP              | US        |    3024000 | PA      | $3437011.57    | 0.01%             | 2037-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LINDE INC/CT                                                                    | LINDE INC/CT 3.55% 11/07/2042                                                                       | CUSIP: 74005PBD5<br>LEI: ZU69GUVJQGZ6Z1UOOO79 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1290896.86    | 0.00%             | 2042-11-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LINDE INC/CT                                                                    | LINDE INC/CT 3.2% 01/30/2026                                                                        | CUSIP: 74005PBQ6<br>LEI: ZU69GUVJQGZ6Z1UOOO79 | Long             | DBT              | CORP              | US        |    5036000 | PA      | $5027990.49    | 0.01%             | 2026-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRESIDENT AND FELLOWS OF HARVARD COLLEGE                                        | PRESIDENT AND FELLOWS OF HARVARD COLLEGE 3.619% 10/01/2037                                          | CUSIP: 740816AL7<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |     795000 | PA      | $715041.84     | 0.00%             | 2037-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROCTER and GAMBLE CO                                                           | PROCTER and GAMBLE CO 5.55% 03/05/2037                                                              | CUSIP: 742718DF3<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2187170.18    | 0.00%             | 2037-03-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| PROGRESS ENERGY INC                                                             | PROGRESS ENERGY INC 6% 12/01/2039                                                                   | CUSIP: 743263AP0<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |    4131000 | PA      | $4413807.39    | 0.01%             | 2039-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINL INC                                                             | PRUDENTIAL FINL INC 5.7% 12/14/2036                                                                 | CUSIP: 74432QAQ8<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |     302000 | PA      | $323364.33     | 0.00%             | 2036-12-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE CO OF COLORADO                                                   | PUBLIC SERVICE CO OF COLORADO 6.25% 09/01/2037                                                      | CUSIP: 744448BZ3<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2209145.44    | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC AND GAS CO                                              | PUBLIC SERVICE ELECTRIC AND GAS CO 3.65% 09/01/2042                                                 | CUSIP: 74456QBA3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    2244000 | PA      | $1838469.50    | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC AND GAS CO                                              | PUBLIC SERVICE ELECTRIC AND GAS CO 4% 06/01/2044                                                    | CUSIP: 74456QBF2<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    3972000 | PA      | $3272618.22    | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUGET SOUND ENERGY INC                                                          | PUGET SOUND ENERGY INC 4.3% 05/20/2045                                                              | CUSIP: 745332CG9<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |    5092000 | PA      | $4292594.29    | 0.01%             | 2045-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                                                    | QUALCOMM INC 4.8% 05/20/2045                                                                        | CUSIP: 747525AK9<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1864516.36    | 0.00%             | 2045-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REGIONS BANK OF ALABAMA                                                         | REGIONS BANK OF ALABAMA 6.45% 06/26/2037                                                            | CUSIP: 75913MAA7<br>LEI: EQTWLK1G7ODGC2MGLV11 | Long             | DBT              | CORP              | US        |    1850000 | PA      | $2021315.12    | 0.00%             | 2037-06-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENTAL DEL URUGUAY                                                  | URUGUAY REPUBLICA ORIENTAL DL 4.125% 11/20/2045                                                     | CUSIP: 760942AY8<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    3773151 | PA      | $3343011.79    | 0.00%             | 2045-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENTAL DEL URUGUAY                                                  | URUGUAY REPUBLICA ORIENTAL DL 4.375% 10/27/2027                                                     | CUSIP: 760942BB7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     644425 | PA      | $646680.16     | 0.00%             | 2027-10-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                           | REYNOLDS AMERICAN INC 7.25% 06/15/2037                                                              | CUSIP: 761713AT3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    5735000 | PA      | $6671856.01    | 0.01%             | 2037-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                           | REYNOLDS AMERICAN INC 5.85% 08/15/2045                                                              | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    3368000 | PA      | $3357726.93    | 0.00%             | 2045-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FINANCE (USA) LTD                                                     | RIO TINTO FINANCE (USA) LTD 7.125% 07/15/2028                                                       | CUSIP: 767201AD8<br>LEI: 213800RX94ZKEZXPKH58 | Long             | DBT              | CORP              | AU        |    1589000 | PA      | $1714548.13    | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FINANCE (USA) LTD                                                     | RIO TINTO FINANCE (USA) LTD 5.2% 11/02/2040                                                         | CUSIP: 767201AL0<br>LEI: 213800RX94ZKEZXPKH58 | Long             | DBT              | CORP              | AU        |   10343000 | PA      | $10441968.55   | 0.02%             | 2040-11-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                       | ROGERS COMMUNICATIONS INC 5.45% 10/01/2043                                                          | CUSIP: 775109AZ4<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    4588000 | PA      | $4387155.12    | 0.01%             | 2043-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                       | ROGERS COMMUNICATIONS INC 3.625% 12/15/2025                                                         | CUSIP: 775109BE0<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    1589000 | PA      | $1588498.45    | 0.00%             | 2025-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRAVELERS COS INC                                                               | TRAVELERS COS INC 6.75% 06/20/2036                                                                  | CUSIP: 792860AK4<br>LEI: 549300Y650407RU8B149 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $5222224.17    | 0.01%             | 2036-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS and ELECTRIC CO                                                   | SAN DIEGO GAS and ELECTRIC CO 4.5% 08/15/2040                                                       | CUSIP: 797440BM5<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     795000 | PA      | $733482.26     | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                          | SEMPRA 6% 10/15/2039                                                                                | CUSIP: 816851AP4<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     795000 | PA      | $838760.90     | 0.00%             | 2039-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FINANCE BV                                                  | SHELL INTL FIN B V 6.375% 12/15/2038                                                                | CUSIP: 822582AD4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    5337000 | PA      | $5961692.22    | 0.01%             | 2038-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTH CAROLINA ST SVC AUTH REV                                                  | SOUTH CAROLINA ST PUB SVC AUTH REV 5.784% 12/1/2041                                                 | CUSIP: 837151JB6<br>LEI: EMBXY64GWKA9MZGFUD26 | Long             | DBT              | MUN               | US        |    8986000 | PA      | $9390434.70    | 0.01%             | 2041-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COPPER CORP DEL                                                        | SOUTHERN COPPER CORP DEL 7.5% 07/27/2035                                                            | CUSIP: 84265VAA3<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |    4833000 | PA      | $5718067.29    | 0.01%             | 2035-07-27      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COPPER CORP DEL                                                        | SOUTHERN COPPER CORP DEL 5.25% 11/08/2042                                                           | CUSIP: 84265VAG0<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |    5448000 | PA      | $5238578.88    | 0.01%             | 2042-11-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COPPER CORP DEL                                                        | SOUTHERN COPPER CORP DEL 5.875% 04/23/2045                                                          | CUSIP: 84265VAJ4<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1031210.00    | 0.00%             | 2045-04-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                                             | SPRINT CAPITAL CORP 8.75% 03/15/2032                                                                | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $12171763.80   | 0.02%             | 2032-03-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| STANLEY BLACK and DECKER INC                                                    | STANLEY BLACK and DECKER INC 5.2% 09/01/2040                                                        | CUSIP: 854502AA9<br>LEI: 549300DJ09SMTO561131 | Long             | DBT              | CORP              | US        |    7100000 | PA      | $7021412.23    | 0.01%             | 2040-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                                     | EQUINOR ASA 5.1% 08/17/2040                                                                         | CUSIP: 85771PAC6<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    1589000 | PA      | $1603969.62    | 0.00%             | 2040-08-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY INC                                                               | SUNCOR ENERGY INC 6.85% 06/01/2039                                                                  | CUSIP: 86722TAB8<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |    1589000 | PA      | $1781498.45    | 0.00%             | 2039-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 5.3% 04/01/2044                                                                  | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4607000 | PA      | $4213928.73    | 0.01%             | 2044-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| TAMPA ELECTRIC CO                                                               | TAMPA ELECTRIC CO 6.15% 05/15/2037                                                                  | CUSIP: 875127AW2<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |    4972000 | PA      | $5398371.13    | 0.01%             | 2037-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TARGET CORP                                                                     | TARGET CORP 4% 07/01/2042                                                                           | CUSIP: 87612EBA3<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |    5561000 | PA      | $4756121.27    | 0.01%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| TELEFONICA EMISIONES SAU                                                        | TELEFONICA EMISIONES SAU 7.045% 06/20/2036                                                          | CUSIP: 87938WAC7<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |    6065000 | PA      | $6835231.59    | 0.01%             | 2036-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                                      | TENNESSEE VALLEY AUTHORITY 5.375% 04/01/2056                                                        | CUSIP: 880591DZ2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |    4286000 | PA      | $4424883.97    | 0.01%             | 2056-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                                      | TENNESSEE VALLEY AUTHORITY 5.25% 09/15/2039                                                         | CUSIP: 880591EH1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |   15887000 | PA      | $17101021.31   | 0.03%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                                      | TENNESSEE VALLEY AUTHORITY 4.25% 09/15/2065                                                         | CUSIP: 880591ES7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |    5896000 | PA      | $4939619.63    | 0.01%             | 2065-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC INC                                                    | THERMO FISHER SCIENTIFIC INC 5.3% 02/01/2044                                                        | CUSIP: 883556BG6<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    4622000 | PA      | $4646081.64    | 0.01%             | 2044-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| 3M CO                                                                           | 3M CO 5.7% 03/15/2037                                                                               | CUSIP: 88579EAC9<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $2033382.62    | 0.00%             | 2037-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                           | TIME WARNER CABLE LLC 6.55% 05/01/2037                                                              | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7667033.63    | 0.01%             | 2037-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                           | TIME WARNER CABLE LLC 7.3% 07/01/2038                                                               | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    3177000 | PA      | $3382061.09    | 0.00%             | 2038-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                           | TIME WARNER CABLE LLC 4.5% 09/15/2042                                                               | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   16137000 | PA      | $12587817.73   | 0.02%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES LTD                                                       | TRANSCANADA PIPELINES LTD 6.1% 06/01/2040                                                           | CUSIP: 893526DJ9<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    5321000 | PA      | $5646655.79    | 0.01%             | 2040-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES LTD                                                       | TRANSCANADA PIPELINES LTD 4.625% 03/01/2034                                                         | CUSIP: 89352HAM1<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |   10000000 | PA      | $9816145.50    | 0.01%             | 2034-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | TRANSCONTINENTAL GAS LINE LLC 4.45% 08/01/2042                                                      | CUSIP: 893574AF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6157000 | PA      | $5451382.62    | 0.01%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRAVELERS COS INC                                                               | TRAVELERS COS INC 6.25% 06/15/2037                                                                  | CUSIP: 89417EAD1<br>LEI: 549300Y650407RU8B149 | Long             | DBT              | CORP              | US        |    6633000 | PA      | $7442724.40    | 0.01%             | 2037-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRAVELERS COS INC                                                               | TRAVELERS COS INC 4.3% 08/25/2045                                                                   | CUSIP: 89417EAK5<br>LEI: 549300Y650407RU8B149 | Long             | DBT              | CORP              | US        |    1159000 | PA      | $1006563.23    | 0.00%             | 2045-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRINCETON UNIV                                                                  | PRINCETON UNIV 5.7% 03/01/2039                                                                      | CUSIP: 89837LAB1<br>LEI: 549300PJZYINN64GDJ90 | Long             | DBT              | CORP              | US        |     795000 | PA      | $868846.76     | 0.00%             | 2039-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TYCO ELECTRONICS GROUP SA                                                       | TYCO ELECTRONICS GROUP SA 7.125% 10/01/2037                                                         | CUSIP: 902133AG2<br>LEI: C33G1C5SYE2YM95EE712 | Long             | DBT              | CORP              | LU        |    1966000 | PA      | $2328058.78    | 0.00%             | 2037-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                                               | UNION ELECTRIC CO 3.9% 09/15/2042                                                                   | CUSIP: 906548CJ9<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    2940000 | PA      | $2448848.30    | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                               | UNITED AIRLINES 2015-1 CLASS A PASS THROUGH TRUST 3.45% 06/01/2029                                  | CUSIP: 90932LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     317431 | PA      | $312448.52     | 0.00%             | 2029-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                    | MEXICO UNITED MEXICAN STATES 6.05% 01/11/2040                                                       | CUSIP: 91086QAV0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    3812000 | PA      | $3817718.00    | 0.01%             | 2040-01-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                    | MEXICO UNITED MEXICAN STATES 4.75% 03/08/2044                                                       | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   15804000 | PA      | $13148928.00   | 0.02%             | 2044-03-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                    | MEXICO UNITED MEXICAN STATES 5.55% 01/21/2045                                                       | CUSIP: 91086QBE7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    3111000 | PA      | $2895563.25    | 0.00%             | 2045-01-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                    | MEXICO UNITED MEXICAN STATES 4.6% 01/23/2046                                                        | CUSIP: 91086QBF4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    4766000 | PA      | $3812800.00    | 0.01%             | 2046-01-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED PARCEL SERVICE INC                                                       | UNITED PARCEL SERVICE INC 6.2% 01/15/2038                                                           | CUSIP: 911312AJ5<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |    6986000 | PA      | $7780523.86    | 0.01%             | 2038-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED PARCEL SERVICE INC                                                       | UNITED PARCEL SERVICE INC 3.625% 10/01/2042                                                         | CUSIP: 911312AR7<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $895459.64     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 6.25% 05/15/2030                                                        | CUSIP: 912810FM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   48578300 | PA      | $53882063.73   | 0.08%             | 2030-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.5% 02/15/2036                                                         | CUSIP: 912810FT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20270200 | PA      | $21183150.75   | 0.03%             | 2036-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.375% 02/15/2038                                                       | CUSIP: 912810PW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20954900 | PA      | $21425566.75   | 0.03%             | 2038-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.5% 05/15/2038                                                         | CUSIP: 912810PX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5410000 | PA      | $5586036.31    | 0.01%             | 2038-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.25% 05/15/2039                                                        | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6384200 | PA      | $6351281.47    | 0.01%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.5% 08/15/2039                                                         | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4449500 | PA      | $4527366.25    | 0.01%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.375% 11/15/2039                                                       | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      79500 | PA      | $79633.54      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.625% 02/15/2040                                                       | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8282000 | PA      | $8500049.49    | 0.01%             | 2040-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.375% 05/15/2040                                                       | CUSIP: 912810QH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6354800 | PA      | $6341643.59    | 0.01%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.25% 11/15/2040                                                        | CUSIP: 912810QL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     644300 | PA      | $631665.68     | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.75% 02/15/2041                                                        | CUSIP: 912810QN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4764800 | PA      | $4930265.11    | 0.01%             | 2041-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.375% 05/15/2041                                                       | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6610300 | PA      | $6551427.02    | 0.01%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.75% 11/15/2042                                                        | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1066200 | PA      | $836009.08     | 0.00%             | 2042-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3.125% 02/15/2043                                                       | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23006500 | PA      | $18992045.43   | 0.03%             | 2043-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.875% 05/15/2043                                                       | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   89343900 | PA      | $70787590.99   | 0.10%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3.625% 08/15/2043                                                       | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   65327400 | PA      | $57574874.63   | 0.08%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3.75% 11/15/2043                                                        | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1969500 | PA      | $1762317.84    | 0.00%             | 2043-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3.625% 02/15/2044                                                       | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2123200 | PA      | $1861946.86    | 0.00%             | 2044-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3.375% 05/15/2044                                                       | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  147526800 | PA      | $124429635.38  | 0.18%             | 2044-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3.125% 08/15/2044                                                       | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   72478200 | PA      | $58670536.85   | 0.09%             | 2044-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3% 11/15/2044                                                           | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41912600 | PA      | $33155158.80   | 0.05%             | 2044-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.5% 02/15/2045                                                         | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   56988800 | PA      | $41303522.97   | 0.06%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3% 05/15/2045                                                           | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  119853100 | PA      | $94356225.08   | 0.14%             | 2045-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3% 11/15/2045                                                           | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16313000 | PA      | $12768108.59   | 0.02%             | 2045-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                        | RTX CORP 5.4% 05/01/2035                                                                            | CUSIP: 913017BJ7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1907357.17    | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                        | RTX CORP 5.7% 04/15/2040                                                                            | CUSIP: 913017BS7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1688259.46    | 0.00%             | 2040-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                        | RTX CORP 4.5% 06/01/2042                                                                            | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    5863000 | PA      | $5349923.24    | 0.01%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 5.8% 03/15/2036                                                              | CUSIP: 91324PAR3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1076000.03    | 0.00%             | 2036-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 6.625% 11/15/2037                                                            | CUSIP: 91324PBE1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2287555.06    | 0.00%             | 2037-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 6.875% 02/15/2038                                                            | CUSIP: 91324PBK7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1516819.60    | 0.00%             | 2038-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 4.375% 03/15/2042                                                            | CUSIP: 91324PBW1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    9373000 | PA      | $8383980.07    | 0.01%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 4.625% 07/15/2035                                                            | CUSIP: 91324PCQ3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7267955.85    | 0.01%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 4.75% 07/15/2045                                                             | CUSIP: 91324PCR1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1327000 | PA      | $1214212.21    | 0.00%             | 2045-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY CA REVS                                                              | UNIV CAL REV 3.931% 5/15/2045                                                                       | CUSIP: 91412GXE0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2970000 | PA      | $2762425.22    | 0.00%             | 2045-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY NOTRE DAME DU LAC                                                    | UNIVERSITY NOTRE DAME DU LAC 3.438% 02/15/2045                                                      | CUSIP: 914744AD9<br>LEI: XV74408A6JGDG5126L34 | Long             | DBT              | CORP              | US        |    2646000 | PA      | $2089466.56    | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY SOUTHN CALIF                                                         | UNIVERSITY SOUTHN CALIF 5.25% 10/01/2111                                                            | CUSIP: 914886AA4<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1526181.70    | 0.00%             | 2111-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VALE SA                                                                         | VALE SA 5.625% 09/11/2042                                                                           | CUSIP: 91912EAA3<br>LEI: 254900SMTWBX7RU2SR20 | Long             | DBT              | CORP              | BR        |    5243000 | PA      | $5293594.95    | 0.01%             | 2042-09-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VALERO ENERGY CORP                                                              | VALERO ENERGY CORP 6.625% 06/15/2037                                                                | CUSIP: 91913YAL4<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |    7605000 | PA      | $8491296.59    | 0.01%             | 2037-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 4.375% 02/01/2045                                                       | CUSIP: 92277GAF4<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    2383000 | PA      | $2029553.15    | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 4.125% 01/15/2026                                                       | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    1152000 | PA      | $1151271.92    | 0.00%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 4.75% 11/01/2041                                                         | CUSIP: 92343VBE3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     795000 | PA      | $731365.53     | 0.00%             | 2041-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 5.012% 08/21/2054                                                        | CUSIP: 92343VCM4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    9975000 | PA      | $8995060.59    | 0.01%             | 2054-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 4.4% 11/01/2034                                                          | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2999000 | PA      | $2912862.24    | 0.00%             | 2034-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 4.272% 01/15/2036                                                        | CUSIP: 92343VCV4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   19285000 | PA      | $18207837.48   | 0.03%             | 2036-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                | PARAMOUNT GLOBAL 4.375% 03/15/2043                                                                  | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    2093000 | PA      | $1575032.02    | 0.00%             | 2043-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                  | VIRGINIA ELECTRIC AND POWER CO 6% 05/15/2037                                                        | CUSIP: 927804FB5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1722267.75    | 0.00%             | 2037-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                  | VIRGINIA ELECTRIC AND POWER CO 4.45% 02/15/2044                                                     | CUSIP: 927804FR0<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    2185000 | PA      | $1930606.13    | 0.00%             | 2044-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                  | VIRGINIA ELECTRIC AND POWER CO 4.2% 05/15/2045                                                      | CUSIP: 927804FT6<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    8383000 | PA      | $7097526.97    | 0.01%             | 2045-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                     | WALMART INC 6.5% 08/15/2037                                                                         | CUSIP: 931142CK7<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    6573000 | PA      | $7713088.49    | 0.01%             | 2037-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| WALMART INC                                                                     | WALMART INC 5.625% 04/01/2040                                                                       | CUSIP: 931142CS0<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1718059.50    | 0.00%             | 2040-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                     | WALMART INC 5.625% 04/15/2041                                                                       | CUSIP: 931142DB6<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    3654000 | PA      | $3931429.40    | 0.01%             | 2041-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| WALMART INC                                                                     | WALMART INC 4.3% 04/22/2044                                                                         | CUSIP: 931142DQ3<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    4766000 | PA      | $4331002.41    | 0.01%             | 2044-04-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| ELEVANCE HEALTH INC                                                             | ELEVANCE HEALTH INC 4.625% 05/15/2042                                                               | CUSIP: 94973VAY3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    2065000 | PA      | $1871056.71    | 0.00%             | 2042-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                             | ELEVANCE HEALTH INC 4.65% 01/15/2043                                                                | CUSIP: 94973VBB2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1438014.62    | 0.00%             | 2043-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 5.606% 01/15/2044                                                            | CUSIP: 949746RF0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    9040000 | PA      | $9113069.60    | 0.01%             | 2044-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 5.375% 11/02/2043                                                            | CUSIP: 94974BFP0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    5336000 | PA      | $5259669.53    | 0.01%             | 2043-11-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 4.1% 06/03/2026                                                              | CUSIP: 94974BFY1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2562000 | PA      | $2561698.38    | 0.00%             | 2026-06-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 3.9% 05/01/2045                                                              | CUSIP: 94974BGK0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    3781000 | PA      | $3120640.79    | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 4.9% 11/17/2045                                                              | CUSIP: 94974BGQ7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    7663000 | PA      | $6992326.35    | 0.01%             | 2045-11-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTROCK MWV LLC                                                                | WESTROCK MWV LLC 8.2% 01/15/2030                                                                    | CUSIP: 961548AV6<br>LEI: 4DL8C98Z5G5IXZLH3578 | Long             | DBT              | CORP              | US        |    1580000 | PA      | $1807518.83    | 0.00%             | 2030-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| WILLIAM MARSH RICE UNIV                                                         | WILLIAM MARSH RICE UNIV 3.774% 05/15/2055                                                           | CUSIP: 96926GAD5<br>LEI: 549300QPVG49ONTSJJ20 | Long             | DBT              | CORP              | US        |    1510000 | PA      | $1178458.66    | 0.00%             | 2055-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 5.75% 06/24/2044                                                                   | CUSIP: 969457BV1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    1509000 | PA      | $1526294.15    | 0.00%             | 2044-06-24      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ELEC PWR CO                                                           | WISCONSIN ELEC PWR CO 4.25% 06/01/2044                                                              | CUSIP: 976656CG1<br>LEI: AENKIFMULUAWOUU8Q584 | Long             | DBT              | CORP              | US        |    3734000 | PA      | $3194378.19    | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WYETH LLC                                                                       | WYETH LLC 5.95% 04/01/2037                                                                          | CUSIP: 983024AN0<br>LEI: 549300Q9GR3WRH4N4836 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2182698.78    | 0.00%             | 2037-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                      | ZOETIS INC 4.7% 02/01/2043                                                                          | CUSIP: 98978VAH6<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    1032000 | PA      | $959477.20     | 0.00%             | 2043-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/45#G08681                                                                         | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6240 | PA      | $5892.95       | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 09/01/2045#AS5840                                                                    | CUSIP: 3138WFP26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24810 | PA      | $24224.52      | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 01/01/2044#AV4103                                                                    | CUSIP: 3138XFRZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139243 | PA      | $142651.64     | 0.00%             | 2044-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 12/01/2044#AX8242                                                                    | CUSIP: 3138YAEQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20658 | PA      | $21188.67      | 0.00%             | 2044-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 10/01/2035#836427                                                                    | CUSIP: 31407PHC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1960 | PA      | $2000.61       | 0.00%             | 2035-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 04/01/2045#AS4716                                                                    | CUSIP: 3138WEG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71945 | PA      | $70299.16      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2045#AZ9187                                                                    | CUSIP: 3140E2F55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84678 | PA      | $79775.05      | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2045#AZ9369                                                                    | CUSIP: 3140E2MT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94048 | PA      | $88774.77      | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2045#BC0330                                                                    | CUSIP: 3140EULL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     875810 | PA      | $799676.47     | 0.00%             | 2045-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2045#AS6392                                                                    | CUSIP: 3138WGC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343174 | PA      | $323701.16     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2045#AS6386                                                                    | CUSIP: 3138WGCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     504115 | PA      | $460292.45     | 0.00%             | 2045-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2045#AS6389                                                                    | CUSIP: 3138WGC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     595304 | PA      | $543554.89     | 0.00%             | 2045-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                                        | VISA INC 4.3% 12/14/2045                                                                            | CUSIP: 92826CAF9<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    5275000 | PA      | $4669885.34    | 0.01%             | 2045-12-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                         | BANK OF NOVA SCOTIA 4.5% 12/16/2025                                                                 | CUSIP: 064159HB5<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   12615000 | PA      | $12615189.60   | 0.02%             | 2025-12-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 12/01/2030#MA2474                                                                    | CUSIP: 31418BXC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28545 | PA      | $28017.54      | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2030#BC1224                                                                    | CUSIP: 3140EVLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70435 | PA      | $68695.57      | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 04/01/2029#AV5751                                                                    | CUSIP: 3138XHL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15836 | PA      | $15719.20      | 0.00%             | 2029-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 09/01/2030#AZ8966                                                                    | CUSIP: 3140E16C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46233 | PA      | $45832.56      | 0.00%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 04/01/2030#AY7661                                                                    | CUSIP: 3138YMQP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1880 | PA      | $1849.69       | 0.00%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 08/01/2030#AZ7234                                                                    | CUSIP: 3140E0BC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36051 | PA      | $35392.79      | 0.00%             | 2030-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 09/01/2030#MA2403                                                                    | CUSIP: 31418BU53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55202 | PA      | $54220.99      | 0.00%             | 2030-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 09/01/2029#AW8203                                                                    | CUSIP: 3138XYDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9893 | PA      | $9743.81       | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 10/01/2030#MA2425                                                                    | CUSIP: 31418BVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70073 | PA      | $68828.00      | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 09/01/2030#AZ5718                                                                    | CUSIP: 3138YXK87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6813 | PA      | $6693.72       | 0.00%             | 2030-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 07/01/2030#AS5358                                                                    | CUSIP: 3138WE5U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30081 | PA      | $29559.88      | 0.00%             | 2030-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 03/01/2030#AS4538                                                                    | CUSIP: 3138WEBG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61861 | PA      | $60817.34      | 0.00%             | 2030-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 12/01/2030#AS6305                                                                    | CUSIP: 3138WGAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34992 | PA      | $34337.50      | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 10/01/2030#AZ9232                                                                    | CUSIP: 3140E2HJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     383514 | PA      | $376613.54     | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 09/01/2030#AS5730                                                                    | CUSIP: 3138WFLL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58926 | PA      | $57879.36      | 0.00%             | 2030-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 11/01/2030#BA2149                                                                    | CUSIP: 3140E6L75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140225 | PA      | $137566.90     | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 06/01/2030#AS5156                                                                    | CUSIP: 3138WEWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59133 | PA      | $58108.18      | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2030#AZ9497                                                                    | CUSIP: 3140E2RT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81491 | PA      | $79299.50      | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 04/01/2030#AY7545                                                                    | CUSIP: 3138YML31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4809 | PA      | $4732.77       | 0.00%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 04/01/2030#AS4877                                                                    | CUSIP: 3138WEM30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226577 | PA      | $222753.39     | 0.00%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 09/01/2030#AZ9182                                                                    | CUSIP: 3140E2FY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56141 | PA      | $55130.18      | 0.00%             | 2030-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 09/01/2030#BA1261                                                                    | CUSIP: 3140E5MK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22603 | PA      | $22196.07      | 0.00%             | 2030-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 10/01/2030#AZ9631                                                                    | CUSIP: 3140E2VZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29338 | PA      | $28816.95      | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2030#AZ8666                                                                    | CUSIP: 3140E1TY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71428 | PA      | $69638.72      | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2030#BA3040                                                                    | CUSIP: 3140E7LW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12261 | PA      | $11925.97      | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 12/01/2030#AZ8679                                                                    | CUSIP: 3140E1UD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14359 | PA      | $14097.60      | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 06/01/2030#AZ1061                                                                    | CUSIP: 3138YSFB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14867 | PA      | $14737.82      | 0.00%             | 2030-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 12/01/2030#BA4723                                                                    | CUSIP: 3140E9G91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178140 | PA      | $174937.79     | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 12/01/2030#BA3913                                                                    | CUSIP: 3140E8K31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39739 | PA      | $39033.18      | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 11/01/2030#AZ7574                                                                    | CUSIP: 3140E0MY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123825 | PA      | $121567.94     | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 10/01/2030#AZ6012                                                                    | CUSIP: 3138YXVE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98965 | PA      | $97136.48      | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2030#AS6148                                                                    | CUSIP: 3138WFZN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35833 | PA      | $34922.28      | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 12/01/2029#AX3560                                                                    | CUSIP: 3138Y45W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9353 | PA      | $9199.38       | 0.00%             | 2029-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 03/20/2045#MA2682                                                                      | CUSIP: 36179Q6T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52366 | PA      | $54351.71      | 0.00%             | 2045-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 12/45#MA3309                                                                           | CUSIP: 36179RVA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3739224 | PA      | $3437789.16    | 0.01%             | 2045-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 11/45#MA3243                                                                           | CUSIP: 36179RS83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55333 | PA      | $50898.35      | 0.00%             | 2045-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/45#BA3036                                                                         | CUSIP: 3140E7LS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87593 | PA      | $82622.30      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 03/26#AH7249                                                                         | CUSIP: 3138A9BT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        624 | PA      | $622.17        | 0.00%             | 2026-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 12/20/2045#MA3310                                                                      | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     814782 | PA      | $769244.66     | 0.00%             | 2045-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 11/20/2045#MA3308                                                                      | CUSIP: 36179RU98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40064 | PA      | $35545.15      | 0.00%             | 2045-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 11/20/2045#MA3242                                                                      | CUSIP: 36179RS75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16301 | PA      | $14522.56      | 0.00%             | 2045-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/45#AS6311                                                                         | CUSIP: 3138WGAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37233 | PA      | $35119.89      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 09/01/2030#AZ0538                                                                    | CUSIP: 3138YRS41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3909 | PA      | $3839.31       | 0.00%             | 2030-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 01/46#MA3378                                                                           | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     380951 | PA      | $382089.88     | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 04/01/2043#Q17959                                                                    | CUSIP: 3132J9JD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27736 | PA      | $25709.90      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2044#AS3471                                                                      | CUSIP: 3138WC2D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17910 | PA      | $17504.34      | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AB9858                                                                    | CUSIP: 31417G5U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6789878 | PA      | $6275544.41    | 0.01%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 12/01/2045#G08682                                                                      | CUSIP: 3128MJXL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61214 | PA      | $59727.12      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2046#G08687                                                                    | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11326 | PA      | $10695.56      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 4.375% 01/12/2026                                                                      | CUSIP: 06738EAN5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    4289000 | PA      | $4289138.45    | 0.01%             | 2026-01-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 2/46#MA2522                                                                          | CUSIP: 31418BYU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162532 | PA      | $153309.05     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/46#AS6520                                                                         | CUSIP: 3138WGG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23554 | PA      | $22217.15      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/44#AX7309                                                                         | CUSIP: 3138Y9DP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78545 | PA      | $78959.68      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 11/01/2045#BA2964                                                                    | CUSIP: 3140E7JJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95689 | PA      | $87324.87      | 0.00%             | 2045-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2044#AX0153                                                                    | CUSIP: 3138Y1E35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14473 | PA      | $14549.00      | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2044#AS2278                                                                    | CUSIP: 3138WBQ81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248959 | PA      | $250207.53     | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2045#AX6446                                                                    | CUSIP: 3138Y8EU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9324 | PA      | $9378.81       | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 4.5% 11/01/2029#MA0232                                                                    | CUSIP: 31417YHJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4259 | PA      | $4273.15       | 0.00%             | 2029-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2043#AS1128                                                                    | CUSIP: 3138WAHE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50612 | PA      | $50846.51      | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2045#AS5177                                                                    | CUSIP: 3138WEXF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     325981 | PA      | $307825.71     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2045#G08628                                                                    | CUSIP: 3128MJVW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27422 | PA      | $26828.17      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2046#BA3939                                                                    | CUSIP: 3140E8LV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     399733 | PA      | $364984.76     | 0.00%             | 2046-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                       | KROGER CO 3.5% 02/01/2026                                                                           | CUSIP: 501044DC2<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    3177000 | PA      | $3171923.28    | 0.00%             | 2026-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2045#AZ7631                                                                      | CUSIP: 3140E0PR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112367 | PA      | $109616.22     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2045#AZ5022                                                                      | CUSIP: 3138YWSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     244410 | PA      | $238529.54     | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2045#AZ4671                                                                      | CUSIP: 3138YWFM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100828 | PA      | $98562.27      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2045#AY8410                                                                      | CUSIP: 3138YNKY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     452886 | PA      | $442005.22     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                               | CHILE REPUBLIC OF 3.125% 01/21/2026                                                                 | CUSIP: 168863CA4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    1000000 | PA      | $996875.00     | 0.00%             | 2026-01-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JAPAN BANK INTERNATIONAL COOPERATION                                            | JAPAN BANK INTL COOPERATION 2.75% 01/21/2026                                                        | CUSIP: 471048AR9<br>LEI: 549300TJ3QFYVCTSCJ29 | Long             | DBT              | CORP              | JP        |    2720000 | PA      | $2714985.11    | 0.00%             | 2026-01-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2044#AX7253                                                                    | CUSIP: 3138Y9BX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51930 | PA      | $52204.42      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV FIN INC                                                    | ANHEUSER-BUSCH INBEV FIN INC 4.9% 02/01/2046                                                        | CUSIP: 035242AN6<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |   14442000 | PA      | $13554564.52   | 0.02%             | 2046-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| ANHEUSER-BUSCH INBEV FIN INC                                                    | ANHEUSER-BUSCH INBEV FIN INC 4.7% 02/01/2036                                                        | CUSIP: 035242AM8<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |    3868000 | PA      | $3865196.82    | 0.01%             | 2036-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 06/01/2030#AZ3162                                                                    | CUSIP: 3138YUQQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17598 | PA      | $17284.71      | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 06/01/2030#MA2303                                                                    | CUSIP: 31418BRZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16999 | PA      | $16704.45      | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 08/01/2030#AS5627                                                                    | CUSIP: 3138WFHD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56460 | PA      | $55457.49      | 0.00%             | 2030-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 01/01/2031#BA2290                                                                    | CUSIP: 3140E6RL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26603 | PA      | $26111.59      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 12/01/2028#AP6078                                                                    | CUSIP: 3138M9XG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4121 | PA      | $4070.90       | 0.00%             | 2028-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 06/01/2030#AZ2279                                                                    | CUSIP: 3138YTQ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     370740 | PA      | $364482.77     | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 02/01/2031#MA2524                                                                    | CUSIP: 31418BYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9626 | PA      | $9443.76       | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/31#AL7856                                                                         | CUSIP: 3138EQWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29095 | PA      | $28311.41      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/31MA2510                                                                          | CUSIP: 31418BYG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28110 | PA      | $27352.88      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/31#AZ0112                                                                         | CUSIP: 3138YRDS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69969 | PA      | $68056.30      | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/30#BA2910                                                                         | CUSIP: 3140E7GU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28537 | PA      | $27811.85      | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | UBS GROUP AG 4.875% 05/15/2045                                                                      | CUSIP: 902613AY4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    8979000 | PA      | $8419365.33    | 0.01%             | 2045-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 01/46#MA3377                                                                           | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     832632 | PA      | $808595.58     | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 01/20/2046#MA3376                                                                      | CUSIP: 36179RXD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3180524 | PA      | $2993202.82    | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 01/46#MA3374                                                                           | CUSIP: 36179RXB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31824 | PA      | $28262.78      | 0.00%             | 2046-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 12/39#AC6681                                                                         | CUSIP: 31417TM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125394 | PA      | $130944.60     | 0.00%             | 2039-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 3.875% 01/27/2026                                                                    | CUSIP: 61746BDZ6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    6171000 | PA      | $6168008.92    | 0.01%             | 2026-01-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2031#BA7576                                                                    | CUSIP: 3140ECM22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4966 | PA      | $4824.02       | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TYCO ELECTRONICS GROUP SA                                                       | TYCO ELECTRONICS GROUP SA 3.7% 02/15/2026                                                           | CUSIP: 902133AT4<br>LEI: C33G1C5SYE2YM95EE712 | Long             | DBT              | CORP              | LU        |    4253000 | PA      | $4248386.13    | 0.01%             | 2026-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 10/01/2030#AZ8831                                                                    | CUSIP: 3140E1Y56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23944 | PA      | $23734.56      | 0.00%             | 2030-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 10/01/2030#BA1048                                                                    | CUSIP: 3140E5EW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12539 | PA      | $12432.29      | 0.00%             | 2030-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.0% 01/31#MA2498                                                                         | CUSIP: 31418BX43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12149 | PA      | $11921.96      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 01/46#MA3455                                                                             | CUSIP: 36179RZU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1555802 | PA      | $1511229.73    | 0.00%             | 2046-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/45#AZ9583                                                                           | CUSIP: 3140E2UH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55399 | PA      | $53991.97      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.5% 02/15/2046                                                         | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20048400 | PA      | $14307196.03   | 0.02%             | 2046-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2045#BC0997                                                                      | CUSIP: 3140EVDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54979 | PA      | $53582.33      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2046#G08693                                                                    | CUSIP: 3128MJXX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6856475 | PA      | $6474931.00    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2045#AS6352                                                                      | CUSIP: 3138WGBW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2228632 | PA      | $2174100.53    | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2045#AZ9666                                                                      | CUSIP: 3140E2W49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48836 | PA      | $47661.73      | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2045#AX3309                                                                      | CUSIP: 3138Y4VB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     446365 | PA      | $435386.18     | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/46#BA0891                                                                         | CUSIP: 3140E47D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44607 | PA      | $42076.05      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2045#V81760                                                                      | CUSIP: 3132L65V9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45316 | PA      | $44297.39      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2040#AH1166                                                                    | CUSIP: 3138A2JL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1499 | PA      | $1509.86       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2044#AV6366                                                                    | CUSIP: 3138XJCC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84286 | PA      | $84700.35      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2045#AS5938                                                                    | CUSIP: 3138WFS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1980373 | PA      | $1867019.43    | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2045#AZ7355                                                                    | CUSIP: 3140E0E50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3134291 | PA      | $2954927.00    | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2046#BA6924                                                                      | CUSIP: 3140EBVS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303633 | PA      | $277238.71     | 0.00%             | 2046-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2046#MA2516                                                                      | CUSIP: 31418BYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7650 | PA      | $6984.56       | 0.00%             | 2046-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2046#MA2559                                                                      | CUSIP: 31418BZZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92592 | PA      | $84543.34      | 0.00%             | 2046-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2046#AS6618                                                                      | CUSIP: 3138WGK86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74025 | PA      | $67590.50      | 0.00%             | 2046-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2046#BA1667                                                                      | CUSIP: 3140E5Z98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127274 | PA      | $116209.84     | 0.00%             | 2046-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2045#AS6336                                                                      | CUSIP: 3138WGBE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     868733 | PA      | $796204.76     | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2046#BA6646                                                                      | CUSIP: 3140EBL41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52051 | PA      | $47525.81      | 0.00%             | 2046-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2045#AY1823                                                                      | CUSIP: 3138YFAZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90542 | PA      | $83122.82      | 0.00%             | 2045-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2031#890707                                                                    | CUSIP: 31410LR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22553 | PA      | $21946.07      | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 06/45#MA2895                                                                             | CUSIP: 36179RGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96473 | PA      | $98640.40      | 0.00%             | 2045-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 03/01/2030#AS4684                                                                    | CUSIP: 3138WEF20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44698 | PA      | $44313.51      | 0.00%             | 2030-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2031#BA6893                                                                    | CUSIP: 3140EBUT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7861 | PA      | $7643.27       | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2031#BC4079                                                                    | CUSIP: 3140EYQ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9631 | PA      | $9374.76       | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2029#AS3498                                                                    | CUSIP: 3138WC3G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26168 | PA      | $25605.83      | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2030#AS5584                                                                    | CUSIP: 3138WFF27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26089 | PA      | $25435.49      | 0.00%             | 2030-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2030#AS5702                                                                    | CUSIP: 3138WFKQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54949 | PA      | $53552.80      | 0.00%             | 2030-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2030#AS5926                                                                    | CUSIP: 3138WFSQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15415 | PA      | $15022.81      | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2030#AS6150                                                                    | CUSIP: 3138WFZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11871 | PA      | $11556.18      | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2031#AS6455                                                                    | CUSIP: 3138WGE59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77086 | PA      | $74981.19      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2030#AS6430                                                                    | CUSIP: 3138WGEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10099 | PA      | $9827.28       | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2031#AS6463                                                                    | CUSIP: 3138WGFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6952 | PA      | $6762.32       | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2031#AL8034                                                                      | CUSIP: 3138EQ4U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13812 | PA      | $13550.54      | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2031#AS6549                                                                    | CUSIP: 3138WGH31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58120 | PA      | $56532.80      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2030#AX5481                                                                    | CUSIP: 3138Y7CT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63238 | PA      | $61559.61      | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 03/01/2030#AY3086                                                                    | CUSIP: 3138YGNC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72897 | PA      | $71120.59      | 0.00%             | 2030-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 04/01/2030#AY5322                                                                    | CUSIP: 3138YJ4G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64252 | PA      | $62778.48      | 0.00%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 03/01/2030#AY7282                                                                    | CUSIP: 3138YMCU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2298 | PA      | $2245.87       | 0.00%             | 2030-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2030#AY9186                                                                    | CUSIP: 3138YPF49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24507 | PA      | $23856.34      | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2030#AZ4061                                                                    | CUSIP: 3138YVQP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45794 | PA      | $44418.23      | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2031#AZ4068                                                                    | CUSIP: 3138YVQW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79198 | PA      | $77408.55      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2030#AZ5291                                                                    | CUSIP: 3138YW2Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52471 | PA      | $51211.85      | 0.00%             | 2030-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2031#AZ5011                                                                    | CUSIP: 3138YWR90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11836 | PA      | $11521.97      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2030#AZ6458                                                                    | CUSIP: 3138YYE82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5274 | PA      | $5132.22       | 0.00%             | 2030-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2031#AZ8692                                                                    | CUSIP: 3140E1US0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71392 | PA      | $69441.69      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2031#BA1651                                                                    | CUSIP: 3140E5ZR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130298 | PA      | $126380.78     | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2031#BA2667                                                                    | CUSIP: 3140E66D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269789 | PA      | $262211.77     | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2030#BA2334                                                                    | CUSIP: 3140E6SY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34669 | PA      | $33708.07      | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2031#BA5372                                                                    | CUSIP: 3140E96J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174958 | PA      | $170110.39     | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2031#BA4785                                                                    | CUSIP: 3140E9J72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84440 | PA      | $82165.21      | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2030#BA4818                                                                    | CUSIP: 3140E9K88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3847 | PA      | $3741.84       | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2030#BA4809                                                                    | CUSIP: 3140E9KX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64307 | PA      | $62718.16      | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2031#BA5042                                                                    | CUSIP: 3140E9S80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13515 | PA      | $13300.13      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2030#BA6260                                                                    | CUSIP: 3140EA5W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11854 | PA      | $11516.49      | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2030#BA5826                                                                    | CUSIP: 3140EAPL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5203 | PA      | $5063.19       | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2031#BA5983                                                                    | CUSIP: 3140EAUH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36244 | PA      | $35239.97      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2031#BA6628                                                                    | CUSIP: 3140EBLJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16201 | PA      | $15789.24      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2030#BA6927                                                                    | CUSIP: 3140EBVV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25025 | PA      | $24341.71      | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2031#BA7224                                                                    | CUSIP: 3140ECA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81133 | PA      | $78853.50      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2031#BC0495                                                                    | CUSIP: 3140EURR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8729 | PA      | $8490.92       | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2031#BC0970                                                                    | CUSIP: 3140EVCG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9621 | PA      | $9361.50       | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2030#BC1258                                                                    | CUSIP: 3140EVMG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75740 | PA      | $73699.05      | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2031#BC2301                                                                    | CUSIP: 3140EWRX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9590 | PA      | $9320.81       | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2030#MA2459                                                                    | CUSIP: 31418BWV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4862 | PA      | $4738.46       | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2030#MA2489                                                                    | CUSIP: 31418BXT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77469 | PA      | $75382.17      | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2031#MA2541                                                                    | CUSIP: 31418BZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114479 | PA      | $111395.61     | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2031#AS6736                                                                    | CUSIP: 3138WGPW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102395 | PA      | $99482.61      | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 12/01/2029#AW8096                                                                    | CUSIP: 3138XX7J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15208 | PA      | $15079.42      | 0.00%             | 2029-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 09/01/2030#AZ9399                                                                    | CUSIP: 3140E2NR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2466 | PA      | $2444.00       | 0.00%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2030#BA4495                                                                    | CUSIP: 3140E87H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49562 | PA      | $48245.52      | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2031#MA2551                                                                    | CUSIP: 31418BZR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2279 | PA      | $2214.66       | 0.00%             | 2031-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2031#BA5573                                                                    | CUSIP: 3140EAFP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42993 | PA      | $41850.90      | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2030#AZ1197                                                                    | CUSIP: 3138YSKK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75459 | PA      | $73647.51      | 0.00%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2030#AS5094                                                                    | CUSIP: 3138WEUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9603 | PA      | $9372.41       | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2030#AZ2405                                                                    | CUSIP: 3138YTU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50833 | PA      | $49576.89      | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | APPLE INC 4.65% 02/23/2046                                                                          | CUSIP: 037833BX7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   14788000 | PA      | $13873564.65   | 0.02%             | 2046-02-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | APPLE INC 4.5% 02/23/2036                                                                           | CUSIP: 037833BW9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    7355000 | PA      | $7516485.13    | 0.01%             | 2036-02-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| IBM CORPORATION                                                                 | IBM CORPORATION 4.7% 02/19/2046                                                                     | CUSIP: 459200JH5<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    3932000 | PA      | $3532214.73    | 0.01%             | 2046-02-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | COMCAST CORP 3.15% 03/01/2026                                                                       | CUSIP: 20030NBS9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    3972000 | PA      | $3963215.41    | 0.01%             | 2026-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 02/20/2046#MA3454                                                                      | CUSIP: 36179RZT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14732715 | PA      | $13865011.57   | 0.02%             | 2046-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                               | GENERAL MOTORS CO 6.6% 04/01/2036                                                                   | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    8489000 | PA      | $9290813.05    | 0.01%             | 2036-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                               | GENERAL MOTORS CO 6.75% 04/01/2046                                                                  | CUSIP: 37045VAL4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    5684000 | PA      | $6164312.44    | 0.01%             | 2046-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                 | PHILIP MORRIS INTL INC 2.75% 02/25/2026                                                             | CUSIP: 718172BT5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    2979000 | PA      | $2969558.63    | 0.00%             | 2026-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 5% 03/01/2026                                                                             | CUSIP: 682680BR3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    2383000 | PA      | $2383000.00    | 0.00%             | 2026-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | MITSUBISHI UFJ FIN GRP INC 3.85% 03/01/2026                                                         | CUSIP: 606822AD6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     538000 | PA      | $537622.82     | 0.00%             | 2026-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KELLANOVA                                                                       | KELLANOVA 3.25% 04/01/2026                                                                          | CUSIP: 487836BP2<br>LEI: LONOZNOJYIBXOHXWDB86 | Long             | DBT              | CORP              | US        |    2955000 | PA      | $2946132.13    | 0.00%             | 2026-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/01/2042#Q09230                                                                      | CUSIP: 3132GUST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50476 | PA      | $49580.97      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.45% 03/03/2026                                                        | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   10327000 | PA      | $10338905.59   | 0.02%             | 2026-03-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 01/01/2028#AL8046                                                                    | CUSIP: 3138EQ5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7395 | PA      | $7358.45       | 0.00%             | 2028-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 01/01/2038#A72378                                                                    | CUSIP: 3128L5UB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51248 | PA      | $53455.87      | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MANULIFE FINANCIAL CORP                                                         | MANULIFE FINANCIAL CORP 4.15% 03/04/2026                                                            | CUSIP: 56501RAC0<br>LEI: 5493007GBX87QOZACS27 | Long             | DBT              | CORP              | CA        |    9666000 | PA      | $9663074.78    | 0.01%             | 2026-03-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                                          | CONOCOPHILLIPS CO 5.95% 03/15/2046                                                                  | CUSIP: 20826FAR7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    4766000 | PA      | $5005462.76    | 0.01%             | 2046-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/44#AX6539                                                                           | CUSIP: 3138Y8HR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13465 | PA      | $13166.19      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/45#BA2083                                                                           | CUSIP: 3140E6J52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1033710 | PA      | $1011900.90    | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 02/20/2046#MA3456                                                                      | CUSIP: 36179RZV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     894291 | PA      | $896965.11     | 0.00%             | 2046-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                               | EVERSOURCE ENERGY 3.35% 03/15/2026                                                                  | CUSIP: 30040WAB4<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    5251000 | PA      | $5232972.06    | 0.01%             | 2026-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                       | DUKE ENERGY CAROLINAS LLC 3.875% 03/15/2046                                                         | CUSIP: 26442CAR5<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    3097000 | PA      | $2500253.01    | 0.00%             | 2046-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/43#AL8132                                                                           | CUSIP: 3138ETBA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4756279 | PA      | $4670881.29    | 0.01%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/01/2046#G08694                                                                      | CUSIP: 3128MJXY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101541 | PA      | $99075.07      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 03/46#MA3522                                                                             | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1440741 | PA      | $1399617.94    | 0.00%             | 2046-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2046#BC1012                                                                      | CUSIP: 3140EVDS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1246962 | PA      | $1138564.13    | 0.00%             | 2046-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2046#BC0175                                                                      | CUSIP: 3140EUFR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     675685 | PA      | $616947.79     | 0.00%             | 2046-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2046#BC0628                                                                      | CUSIP: 3140EUVW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     358823 | PA      | $327630.88     | 0.00%             | 2046-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2046#BC4207                                                                      | CUSIP: 3140EYU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     298089 | PA      | $272176.18     | 0.00%             | 2046-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2046#BC3863                                                                    | CUSIP: 3140EYJH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37347 | PA      | $35239.36      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2044#AS2130                                                                    | CUSIP: 3138WBLL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79661 | PA      | $80059.11      | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2044#AS3882                                                                    | CUSIP: 3138WDJ44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5417 | PA      | $5445.66       | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2045#AS6328                                                                    | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5663 | PA      | $5341.92       | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2045#AY9397                                                                      | CUSIP: 3138YPNP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80204 | PA      | $78228.48      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2045#G08641                                                                    | CUSIP: 3128MJWB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2483047 | PA      | $2346950.67    | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2043#AS0316                                                                      | CUSIP: 3138W9K66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107737 | PA      | $105532.97     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2044#AX7845                                                                    | CUSIP: 3138Y9WF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69969 | PA      | $70338.45      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2044#AS4176                                                                    | CUSIP: 3138WDUA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95343 | PA      | $95847.17      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2044#AX3172                                                                    | CUSIP: 3138Y4Q28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136535 | PA      | $137256.36     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 3/31#AS6877                                                                          | CUSIP: 3138WGUB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9216 | PA      | $8957.65       | 0.00%             | 2031-03-01      | 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 2.995% 12/25/2025                                                    | CUSIP: 3137BN6G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     963407 | PA      | $960689.19     | 0.00%             | 2025-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2031#AS6925                                                                      | CUSIP: 3138WGVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30546 | PA      | $29952.71      | 0.00%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2044#AX5260                                                                    | CUSIP: 3138Y6Z23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96727 | PA      | $97237.82      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 4.65% 03/24/2026                                                           | CUSIP: 53944YAB9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    6831000 | PA      | $6834833.08    | 0.01%             | 2026-03-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 3.3% 04/01/2026                                                               | CUSIP: 46625HQW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    7149000 | PA      | $7130875.86    | 0.01%             | 2026-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDEX CORP                                                                      | FEDEX CORP 4.55% 04/01/2046                                                                         | CUSIP: 31428XBG0<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |    1192000 | PA      | $969547.41     | 0.00%             | 2046-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2027#AL2462                                                                    | CUSIP: 3138EJWY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33491 | PA      | $33064.94      | 0.00%             | 2027-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2031#AS6609                                                                      | CUSIP: 3138WGKX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18122 | PA      | $17774.63      | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2031#AS6726                                                                      | CUSIP: 3138WGPL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88255 | PA      | $86582.19      | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/01/2030#AZ8883                                                                      | CUSIP: 3140E12R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16646 | PA      | $16333.99      | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 01/20/2046#MA3379                                                                        | CUSIP: 36179RXG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31744 | PA      | $32450.92      | 0.00%             | 2046-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYSCO CORP                                                                      | SYSCO CORP 3.3% 07/15/2026                                                                          | CUSIP: 871829BC0<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    2606000 | PA      | $2594678.96    | 0.00%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                               | NATWEST GROUP PLC 4.8% 04/05/2026                                                                   | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   10366000 | PA      | $10388712.32   | 0.02%             | 2026-04-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 07/01/2026#AY7257                                                                    | CUSIP: 3138YMB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6642 | PA      | $6617.47       | 0.00%             | 2026-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 02/01/2042#890737                                                                    | CUSIP: 31410LS29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314473 | PA      | $327211.48     | 0.00%             | 2042-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/45#MA2405                                                                           | CUSIP: 31418BU79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54142 | PA      | $52849.35      | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | ENTERPRISE PRODS OPER LLC 3.95% 02/15/2027                                                          | CUSIP: 29379VBL6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   20557000 | PA      | $20560766.25   | 0.03%             | 2027-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                              | ESSEX PORTFOLIO LP 3.375% 04/15/2026                                                                | CUSIP: 29717PAQ0<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1992708.86    | 0.00%             | 2026-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 12/01/2025#AB1939                                                                    | CUSIP: 31416XEM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        223 | PA      | $222.02        | 0.00%             | 2025-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 10/01/2028#AS0765                                                                    | CUSIP: 3138W9Z78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1996 | PA      | $1982.47       | 0.00%             | 2028-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2046#MA2514                                                                    | CUSIP: 31418BYL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29790 | PA      | $29900.65      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 3% 03/01/2026#MA2570                                                                      | CUSIP: 31418B2C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        703 | PA      | $700.40        | 0.00%             | 2026-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAYLOR SCOTT and WHITE HLDGS                                                    | BAYLOR SCOTT and WHITE HLDGS 3.967% 11/15/2046                                                      | CUSIP: 072863AF0<br>LEI: 549300JQDKSBWYRGGV95 | Long             | DBT              | CORP              | US        |    1986000 | PA      | $1630440.46    | 0.00%             | 2046-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2046#BC0791                                                                    | CUSIP: 3140EU2Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3097493 | PA      | $2926571.80    | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2046#G08702                                                                    | CUSIP: 3128MJX88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4578953 | PA      | $4318423.60    | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2046#MA2608                                                                      | CUSIP: 31418B3S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111189 | PA      | $101245.37     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 03/01/2045#Q31934                                                                      | CUSIP: 3132QNEG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59019 | PA      | $57648.85      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2044#AL5246                                                                    | CUSIP: 3138EMZL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7677 | PA      | $7715.75       | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2044#AS3656                                                                    | CUSIP: 3138WDB26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76974 | PA      | $77380.40      | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2045#AS4236                                                                    | CUSIP: 3138WDV65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160988 | PA      | $152181.98     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2045#AS5587                                                                    | CUSIP: 3138WFF50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     884324 | PA      | $834606.28     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2045#AS5770                                                                    | CUSIP: 3138WFMU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     358765 | PA      | $338312.48     | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2045#AU2449                                                                    | CUSIP: 3138X1WK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3700 | PA      | $3491.31       | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2044#AW8329                                                                    | CUSIP: 3138XYHF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3312 | PA      | $3329.90       | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2045#AX4277                                                                      | CUSIP: 3138Y5XF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51392 | PA      | $47126.49      | 0.00%             | 2045-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2045#AY6521                                                                    | CUSIP: 3138YLG70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133282 | PA      | $125885.95     | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2045#AZ4775                                                                    | CUSIP: 3138YWJV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3588218 | PA      | $3384585.40    | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2046#BA1527                                                                      | CUSIP: 3140E5VV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98593 | PA      | $89807.04      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2046#BA4403                                                                    | CUSIP: 3140E83M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11450 | PA      | $10800.48      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2046#BC0830                                                                      | CUSIP: 3140EU4Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281390 | PA      | $256225.31     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2046#BC0845                                                                    | CUSIP: 3140EU5F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99398 | PA      | $87080.39      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2046#BC0645                                                                      | CUSIP: 3140EUWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89161 | PA      | $81187.18      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2046#BC0753                                                                      | CUSIP: 3140EUZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49534 | PA      | $45228.33      | 0.00%             | 2046-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2046#BC1104                                                                      | CUSIP: 3140EVGN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     416464 | PA      | $380261.00     | 0.00%             | 2046-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2046#BC1816                                                                    | CUSIP: 3140EWAS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47835 | PA      | $41907.59      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2046#BC4391                                                                      | CUSIP: 3140EY2Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198223 | PA      | $180495.84     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2046#BC5312                                                                      | CUSIP: 3140F03W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29957 | PA      | $27352.62      | 0.00%             | 2046-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 04/01/2039#BC4575                                                                    | CUSIP: 3140F0CM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262200 | PA      | $273313.52     | 0.00%             | 2039-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2046#BC5408                                                                      | CUSIP: 3140F1AJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102452 | PA      | $93289.89      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2046#BC5971                                                                      | CUSIP: 3140F1T51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79639 | PA      | $72517.33      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2046#BC6329                                                                      | CUSIP: 3140F2A75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13314 | PA      | $12123.21      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2046#BC6323                                                                      | CUSIP: 3140F2AZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63904 | PA      | $58189.20      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2046#BC6659                                                                      | CUSIP: 3140F2MH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125480 | PA      | $114258.21     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2046#MA2539                                                                      | CUSIP: 31418BZD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98520 | PA      | $96016.96      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2046#BC2958                                                                      | CUSIP: 3140EXJC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72871 | PA      | $66354.34      | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2046#BC5443                                                                      | CUSIP: 3140F1BM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87249 | PA      | $79446.15      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JAPAN BANK INTERNATIONAL COOPERATION                                            | JAPAN BANK INTL COOPERATION 2.375% 04/20/2026                                                       | CUSIP: 471048AT5<br>LEI: 549300TJ3QFYVCTSCJ29 | Long             | DBT              | CORP              | JP        |   10372000 | PA      | $10306581.83   | 0.02%             | 2026-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 3.7% 04/15/2046                                                                       | CUSIP: 548661DN4<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    2780000 | PA      | $2131526.55    | 0.00%             | 2046-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/01/2039#BC4490                                                                      | CUSIP: 3140EY7C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84715 | PA      | $86655.82      | 0.00%             | 2039-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2046#BC4344                                                                      | CUSIP: 3140EYZJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2862 | PA      | $2612.77       | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 03/46#MA3521                                                                           | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3906320 | PA      | $3676251.57    | 0.01%             | 2046-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2045#AL7487                                                                      | CUSIP: 3138EQJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94799 | PA      | $92536.20      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2031#AS6610                                                                      | CUSIP: 3138WGKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     539177 | PA      | $528828.33     | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/42#G60517                                                                         | CUSIP: 31335ASE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     327051 | PA      | $329758.45     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2045#AS6071                                                                      | CUSIP: 3138WFW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239612 | PA      | $233910.90     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/41#AH2419                                                                           | CUSIP: 3138A3VM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68247 | PA      | $69890.30      | 0.00%             | 2041-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/01/2040#AD4063                                                                      | CUSIP: 31418RQR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30237 | PA      | $30963.02      | 0.00%             | 2040-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 04/20/2046#MA3596                                                                        | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17229 | PA      | $15782.86      | 0.00%             | 2046-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2031#BA6454                                                                    | CUSIP: 3140EBE49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84373 | PA      | $82002.75      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 04/01/2031#BC6794                                                                    | CUSIP: 3140F2RQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173763 | PA      | $168409.88     | 0.00%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2031#BA0924                                                                    | CUSIP: 3140E5A20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168432 | PA      | $163701.46     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2030#AS6902                                                                    | CUSIP: 3138WGU44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     379065 | PA      | $369703.14     | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2031#AS6431                                                                    | CUSIP: 3138WGED2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     256797 | PA      | $249784.63     | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/45#AZ7951                                                                           | CUSIP: 3140E0ZR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108694 | PA      | $106080.17     | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 03/20/2046#MA3520                                                                        | CUSIP: 36179R4D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66268 | PA      | $60706.98      | 0.00%             | 2046-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/31#AZ8800                                                                           | CUSIP: 3140E1X65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10253 | PA      | $10060.69      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/01/2046#Q38559                                                                      | CUSIP: 3132QVQM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3767000 | PA      | $3675521.99    | 0.01%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2031#BC0260                                                                      | CUSIP: 3140EUJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3461 | PA      | $3395.18       | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2045#BC0670                                                                      | CUSIP: 3140EUW88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46525 | PA      | $45343.03      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 04/20/2046#MA3597                                                                      | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12801275 | PA      | $12047326.32   | 0.02%             | 2046-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 02/01/2045#AL8106                                                                      | CUSIP: 3138ETAG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21478 | PA      | $21986.27      | 0.00%             | 2045-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/41#AB3035                                                                           | CUSIP: 31416YLR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249732 | PA      | $255850.16     | 0.00%             | 2041-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 04/41#AH9348                                                                           | CUSIP: 3138ABL64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42335 | PA      | $43359.50      | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/46#G08698                                                                         | CUSIP: 3128MJX47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11568 | PA      | $10924.01      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                  | US BANCORP DEL 3.1% 04/27/2026                                                                      | CUSIP: 91159HHM5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    7149000 | PA      | $7121746.15    | 0.01%             | 2026-04-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK NEW YORK MELLON CORP                                                       | BANK NEW YORK MELLON CORP 2.8% 05/04/2026                                                           | CUSIP: 06406FAC7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    4472000 | PA      | $4447655.06    | 0.01%             | 2026-05-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 12/01/2029#AS4198                                                                    | CUSIP: 3138WDUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1812 | PA      | $1798.65       | 0.00%             | 2029-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2043#AU3752                                                                      | CUSIP: 3138X3E24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10071 | PA      | $9866.07       | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/45#AS6111                                                                           | CUSIP: 3138WFYH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11958 | PA      | $11663.46      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLS INC 2016-2 CL AA PASS THRU TRS                                   | AMERICAN AIRLS INC 2016-2 CL AA PASS THRU TRS 3.2% 12/15/2029                                       | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3760972 | PA      | $3658641.22    | 0.01%             | 2029-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2046#BC1158                                                                    | CUSIP: 3140EVJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198449 | PA      | $187188.83     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/46#MA2609                                                                         | CUSIP: 31418B3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     806367 | PA      | $759603.35     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 06/20/2042#783607                                                                      | CUSIP: 3622A2AG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1776789 | PA      | $1693594.25    | 0.00%             | 2042-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/31#890710                                                                           | CUSIP: 31410LR79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3300 | PA      | $3239.41       | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/45#AS5018                                                                           | CUSIP: 3138WESG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1278572 | PA      | $1248425.75    | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                  | BURLINGTON NORTHN SANTA FE LLC 3.9% 08/01/2046                                                      | CUSIP: 12189LAZ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3686000 | PA      | $2997913.78    | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP 2.85% 05/13/2026                                                               | CUSIP: 961214CX9<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    3774000 | PA      | $3754647.34    | 0.01%             | 2026-05-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                      | ABBVIE INC 4.3% 05/14/2036                                                                          | CUSIP: 00287YAV1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    4972000 | PA      | $4820348.13    | 0.01%             | 2036-05-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| ABBVIE INC                                                                      | ABBVIE INC 4.45% 05/14/2046                                                                         | CUSIP: 00287YAW9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    5561000 | PA      | $4933923.57    | 0.01%             | 2046-05-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2039#AC4074                                                                      | CUSIP: 31417NQ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11535 | PA      | $11783.71      | 0.00%             | 2039-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2045#AX9784                                                                      | CUSIP: 3138YB2S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9696 | PA      | $8858.55       | 0.00%             | 2045-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2045#AY2541                                                                      | CUSIP: 3138YFZF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50636 | PA      | $46800.32      | 0.00%             | 2045-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2045#AY5256                                                                      | CUSIP: 3138YJZW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12163 | PA      | $11160.69      | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2046#BA4485                                                                      | CUSIP: 3140E86X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68774 | PA      | $62795.75      | 0.00%             | 2046-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2046#BA5403                                                                      | CUSIP: 3140EAAD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11567 | PA      | $10532.70      | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2046#BC4648                                                                      | CUSIP: 3140F0EW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13758 | PA      | $12527.24      | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 2/46#AS6649                                                                          | CUSIP: 3138WGL77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19072 | PA      | $17990.06      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2046#G08706                                                                    | CUSIP: 3128MJYC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     241556 | PA      | $227812.18     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 02/01/2042#AL8113                                                                    | CUSIP: 3138ETAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93067 | PA      | $96835.66      | 0.00%             | 2042-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2045#AS4718                                                                    | CUSIP: 3138WEG45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269400 | PA      | $254457.87     | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% #MA2642                                                                              | CUSIP: 31418B5C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1749185 | PA      | $1647744.51    | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2045#Q35784                                                                      | CUSIP: 3132QSNA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     381341 | PA      | $372792.35     | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2045#Q35929                                                                      | CUSIP: 3132QSST6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73619 | PA      | $71999.00      | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 12/01/2045#Q37730                                                                      | CUSIP: 3132QUSU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     374710 | PA      | $365610.09     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2045#AZ4460                                                                    | CUSIP: 3138YV5W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74411 | PA      | $74757.62      | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 10/01/2035#836418                                                                    | CUSIP: 31407PG36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14737 | PA      | $15334.57      | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2046#BC2678                                                                      | CUSIP: 3140EW6Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     270404 | PA      | $246897.99     | 0.00%             | 2046-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2046#BC7690                                                                      | CUSIP: 3140F3RL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     622927 | PA      | $567218.69     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2044#AS2516                                                                    | CUSIP: 3138WBYN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153100 | PA      | $153848.11     | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2046#AS6646                                                                    | CUSIP: 3138WGL44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1317712 | PA      | $1242940.78    | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2046#AS7236                                                                      | CUSIP: 3138WHBE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     605956 | PA      | $551765.37     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2043#AS9078                                                                    | CUSIP: 3138WKCQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17566 | PA      | $17660.91      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2044#AW3848                                                                    | CUSIP: 3138XTH24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78310 | PA      | $78642.74      | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2045#AZ7939                                                                      | CUSIP: 3140E0ZD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96302 | PA      | $93903.62      | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2046#BA7128                                                                      | CUSIP: 3140EB4N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4506 | PA      | $4391.76       | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2046#BC1849                                                                      | CUSIP: 3140EWBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90611 | PA      | $82507.71      | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2046#BC2344                                                                      | CUSIP: 3140EWTA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257923 | PA      | $234856.77     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 11/01/2045#Q37709                                                                      | CUSIP: 3132QUR70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     792485 | PA      | $773239.78     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                                                     | TRUIST BANK 3.3% 05/15/2026                                                                         | CUSIP: 86787GAJ1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |    6037000 | PA      | $6014922.33    | 0.01%             | 2026-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.75% 05/18/2046                                                                      | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    9151000 | PA      | $8156670.64    | 0.01%             | 2046-05-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PPL CAP FDG INC                                                                 | PPL CAP FDG INC 3.1% 05/15/2026                                                                     | CUSIP: 69352PAL7<br>LEI: 549300MROK5WY0D2NU17 | Long             | DBT              | CORP              | US        |    6356000 | PA      | $6325660.52    | 0.01%             | 2026-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                                                  | STARBUCKS CORP 2.45% 06/15/2026                                                                     | CUSIP: 855244AK5<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    7944000 | PA      | $7874834.05    | 0.01%             | 2026-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                      | INTEL CORP 4.1% 05/19/2046                                                                          | CUSIP: 458140AV2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    5561000 | PA      | $4359402.31    | 0.01%             | 2046-05-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2045#AZ2513                                                                    | CUSIP: 3138YTYK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6741 | PA      | $6803.92       | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                     | EXELON CORP 5.1% 06/15/2045                                                                         | CUSIP: 30161NAS0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     874000 | PA      | $821219.75     | 0.00%             | 2045-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                                               | STATE STREET CORP 2.65% 05/19/2026                                                                  | CUSIP: 857477AW3<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    5997000 | PA      | $5961970.62    | 0.01%             | 2026-05-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/01/2030#AS6062                                                                      | CUSIP: 3138WFWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15061 | PA      | $14786.63      | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2030#AS4329                                                                      | CUSIP: 3138WDY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     250792 | PA      | $246670.06     | 0.00%             | 2030-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 06/01/2030#AS5103                                                                      | CUSIP: 3138WEU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     408753 | PA      | $401674.12     | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 07/01/2030#AS5430                                                                      | CUSIP: 3138WFA89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12225 | PA      | $12021.03      | 0.00%             | 2030-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2030#AZ2219                                                                      | CUSIP: 3138YTPD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335006 | PA      | $329056.77     | 0.00%             | 2030-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 05/01/2031#MA2651                                                                      | CUSIP: 31418B5M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52412 | PA      | $51345.18      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/01/2030#BA5827                                                                      | CUSIP: 3140EAPM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36881 | PA      | $36208.66      | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/01/2030#BA1620                                                                      | CUSIP: 3140E5YS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126979 | PA      | $124696.63     | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2029#AW0937                                                                      | CUSIP: 3138XQBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10010 | PA      | $9868.20       | 0.00%             | 2029-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2030#AY2719                                                                      | CUSIP: 3138YGAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     513342 | PA      | $504904.56     | 0.00%             | 2030-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/01/2030#BA4806                                                                      | CUSIP: 3140E9KU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3811 | PA      | $3734.44       | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2031#BC0770                                                                      | CUSIP: 3140EU2C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44073 | PA      | $43226.68      | 0.00%             | 2031-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/01/2030#BA2186                                                                      | CUSIP: 3140E6NC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32341 | PA      | $31759.81      | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2030#AS4768                                                                      | CUSIP: 3138WEJN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12082 | PA      | $11877.66      | 0.00%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2030#BA4729                                                                      | CUSIP: 3140E9HF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8375 | PA      | $8222.31       | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 06/01/2030#AZ0149                                                                      | CUSIP: 3138YREX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8430 | PA      | $8274.10       | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2028#MA1382                                                                      | CUSIP: 31418ARC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4022 | PA      | $3978.42       | 0.00%             | 2028-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/01/2030#AZ0105                                                                      | CUSIP: 3138YRDK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56943 | PA      | $55905.29      | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 07/30#AS5428                                                                           | CUSIP: 3138WFA63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43114 | PA      | $42358.33      | 0.00%             | 2030-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 2.875% 06/01/2026                                                                   | CUSIP: 126650CU2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    5958000 | PA      | $5919188.87    | 0.01%             | 2026-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 04/20/2046#MA3598                                                                        | CUSIP: 36179R7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2096213 | PA      | $2038666.15    | 0.00%             | 2046-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KEYBANK NATL ASSN                                                               | KEYBANK NATL ASSN 3.4% 05/20/2026                                                                   | CUSIP: 49327V2A1<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |    4289000 | PA      | $4267631.77    | 0.01%             | 2026-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2046#BA5039                                                                    | CUSIP: 3140E9S56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9905 | PA      | $9342.72       | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                | SOUTHERN COMPANY 4.4% 07/01/2046                                                                    | CUSIP: 842587CX3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    5814000 | PA      | $4979567.92    | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 05/46#MA3661                                                                           | CUSIP: 36179SB63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37171 | PA      | $32974.17      | 0.00%             | 2046-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 04/46#MA3595                                                                           | CUSIP: 36179R7G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104590 | PA      | $92796.16      | 0.00%             | 2046-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 05/46#MA3662                                                                             | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48774 | PA      | $44681.12      | 0.00%             | 2046-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/45#AS5212                                                                           | CUSIP: 3138WEYJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13702 | PA      | $13389.35      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS CO                                                      | SOUTHERN CALIFORNIA GAS CO 2.6% 06/15/2026                                                          | CUSIP: 842434CQ3<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   10509000 | PA      | $10428768.93   | 0.02%             | 2026-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 06/15/2026                                                  | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    5997000 | PA      | $5992864.17    | 0.01%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOYA FINANCIAL INC                                                              | VOYA FINANCIAL INC 3.65% 06/15/2026                                                                 | CUSIP: 929089AB6<br>LEI: 549300T065Z4KJ686G75 | Long             | DBT              | CORP              | US        |   12542000 | PA      | $12512121.44   | 0.02%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLS PASS THRU TR 2016-AA                                               | UNITED AIRLS PASS THRU TR 2016-AA 3.1% 01/07/2030                                                   | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7186428 | PA      | $7012368.70    | 0.01%             | 2030-01-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DEERE JOHN CAPITAL CORP                                                         | DEERE JOHN CAPITAL CORP 2.65% 06/10/2026                                                            | CUSIP: 24422ETH2<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    3972000 | PA      | $3945304.19    | 0.01%             | 2026-06-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 4.4% 06/14/2046                                                              | CUSIP: 94974BGT1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    5672000 | PA      | $4829767.44    | 0.01%             | 2046-06-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C1                                     | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C1 A4 3.209% 05/10/2049                                    | CUSIP: 17290YAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14743149 | PA      | $14661308.31   | 0.02%             | 2049-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 05/46#MA3663                                                                           | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2811089 | PA      | $2645525.54    | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2045#MA2318                                                                    | CUSIP: 31418BSG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98816 | PA      | $99276.35      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2044#AV9684                                                                    | CUSIP: 3138XMXN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90829 | PA      | $91304.64      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 6/46#MA2670                                                                            | CUSIP: 31418B6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140389 | PA      | $127834.41     | 0.00%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2045#AS4302                                                                      | CUSIP: 3138WDX89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119172 | PA      | $116437.94     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2045#AS4901                                                                      | CUSIP: 3138WENT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37079 | PA      | $36223.05      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 04/01/2031#AS7048                                                                    | CUSIP: 3138WGZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     341992 | PA      | $332394.58     | 0.00%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2031#AS7088                                                                    | CUSIP: 3138WG2W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18585 | PA      | $18056.64      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2031#BC6862                                                                    | CUSIP: 3140F2TU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160283 | PA      | $155338.60     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2031#MA2644                                                                    | CUSIP: 31418B5E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31290 | PA      | $30349.51      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2031#BD0258                                                                    | CUSIP: 3140F7JC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100794 | PA      | $97766.25      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2031#BD1027                                                                    | CUSIP: 3140F8D95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44996 | PA      | $43526.60      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 6/1/31#MA2675                                                                        | CUSIP: 31418B6M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229556 | PA      | $222573.38     | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2031#BD1884                                                                    | CUSIP: 3140F9CW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183916 | PA      | $178251.62     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2031#BA4888                                                                    | CUSIP: 3140E9NE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53133 | PA      | $51497.40      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2031#BD0837                                                                    | CUSIP: 3140F74X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51336 | PA      | $49914.81      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2031#BD0883                                                                    | CUSIP: 3140F76V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94542 | PA      | $91667.63      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 06/20/2046#MA3735                                                                        | CUSIP: 36179SEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2282073 | PA      | $2090578.03    | 0.00%             | 2046-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 04/20/2046#MA3599                                                                      | CUSIP: 36179R7L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     185805 | PA      | $186064.16     | 0.00%             | 2046-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 04/20/2046#MA3739                                                                        | CUSIP: 36179SEL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54300 | PA      | $55503.29      | 0.00%             | 2046-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 07/20/2045#MA2964                                                                        | CUSIP: 36179RJH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114100 | PA      | $116678.53     | 0.00%             | 2045-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                          | COMMONWEALTH EDISON CO 3.65% 06/15/2046                                                             | CUSIP: 202795JJ0<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    2272000 | PA      | $1773244.47    | 0.00%             | 2046-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW YORK and PRESBYTERIAN HOSP                                                  | NEW YORK and PRESBYTERIAN HOSP 4.063% 08/01/2056                                                    | CUSIP: 649322AD6<br>LEI: 19EOSPKL8HML7MY3UE63 | Long             | DBT              | CORP              | US        |    2089000 | PA      | $1666749.59    | 0.00%             | 2056-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE CO                                                        | MOLSON COORS BEVERAGE CO 3% 07/15/2026                                                              | CUSIP: 60871RAG5<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |   13822000 | PA      | $13733578.73   | 0.02%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| MOLSON COORS BEVERAGE CO                                                        | MOLSON COORS BEVERAGE CO 4.2% 07/15/2046                                                            | CUSIP: 60871RAH3<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |   10509000 | PA      | $8605616.44    | 0.01%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 05/01/2029#AL7359                                                                      | CUSIP: 3138EQE99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2806 | PA      | $2797.70       | 0.00%             | 2029-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST                                                                | MA ST 3.277% 6/1/2046                                                                               | CUSIP: 57582RJN7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3750000 | PA      | $3015448.88    | 0.00%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 2.65% 07/15/2026                                                                        | CUSIP: 68389XBM6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    7149000 | PA      | $7083149.13    | 0.01%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 3.85% 07/15/2036                                                                        | CUSIP: 68389XBH7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   13797000 | PA      | $11880644.58   | 0.02%             | 2036-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 4% 07/15/2046                                                                           | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    7785000 | PA      | $5684203.43    | 0.01%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/46#AS6528                                                                           | CUSIP: 3138WGHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39566 | PA      | $38560.36      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 3.9% 07/15/2026                                                                  | CUSIP: 86765BAT6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    5974000 | PA      | $5965319.90    | 0.01%             | 2026-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TWDC ENTERPRISES 18 CORP                                                        | TWDC ENTERPRISES 18 CORP 3% 07/30/2046                                                              | CUSIP: 25468PDN3<br>LEI: 7260JQNI6SCF9FIV2392 | Long             | DBT              | CORP              | US        |    3575000 | PA      | $2523162.11    | 0.00%             | 2046-07-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2045#AS6075                                                                      | CUSIP: 3138WFXD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48380 | PA      | $47227.18      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2046#BA6721                                                                      | CUSIP: 3140EBPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89821 | PA      | $87483.23      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2046#BC5369                                                                      | CUSIP: 3140F06F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92078 | PA      | $89681.38      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2031#AS7642                                                                    | CUSIP: 3138WHP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69339 | PA      | $67229.41      | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | COMCAST CORP 2.35% 01/15/2027                                                                       | CUSIP: 20030NBW0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   18905000 | PA      | $18571407.10   | 0.03%             | 2027-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2044#AW7016                                                                    | CUSIP: 3138XWYN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3774 | PA      | $3789.93       | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2044#AS3873                                                                      | CUSIP: 3138WDJT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16050 | PA      | $15684.86      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2044#AL6072                                                                    | CUSIP: 3138ENXA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1311 | PA      | $1317.90       | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2044#AV6373                                                                    | CUSIP: 3138XJCK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        932 | PA      | $936.44        | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2046#BC5465                                                                      | CUSIP: 3140F1CB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191549 | PA      | $186562.31     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2044#AV6336                                                                    | CUSIP: 3138XJBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134368 | PA      | $135091.21     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2045#AL7206                                                                      | CUSIP: 3138EQAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20192 | PA      | $19719.78      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2044#AV2367                                                                    | CUSIP: 3138XDTZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1830 | PA      | $1839.57       | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2044#AL6819                                                                    | CUSIP: 3138EPSH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2576 | PA      | $2590.06       | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2046#BA6624                                                                      | CUSIP: 3140EBLE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5087 | PA      | $4962.59       | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2044#AV7923                                                                    | CUSIP: 3138XKYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2237 | PA      | $2248.01       | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2045#AS5211                                                                      | CUSIP: 3138WEYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149577 | PA      | $146070.11     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2043#AS0784                                                                      | CUSIP: 3138W92S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24129 | PA      | $23643.33      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2045#AX7723                                                                    | CUSIP: 3138Y9SM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2524 | PA      | $2536.26       | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2045#BA2992                                                                      | CUSIP: 3140E7KE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25186 | PA      | $24546.53      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2045#AY3689                                                                    | CUSIP: 3138YHC32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93659 | PA      | $94095.08      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2046#BC0647                                                                      | CUSIP: 3140EUWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68603 | PA      | $66817.64      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2045#BA1379                                                                      | CUSIP: 3140E5Q98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     446766 | PA      | $435368.35     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2044#MA1888                                                                      | CUSIP: 31418BC20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24586 | PA      | $24057.74      | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2046#BA6043                                                                      | CUSIP: 3140EAWD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77467 | PA      | $75498.57      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2045#AS6315                                                                      | CUSIP: 3138WGAR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14031 | PA      | $13701.67      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2044#AS2253                                                                      | CUSIP: 3138WBQF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9514 | PA      | $9316.73       | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2045#BA5922                                                                      | CUSIP: 3140EASL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118629 | PA      | $115717.28     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2046#BA7469                                                                      | CUSIP: 3140ECJP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41198 | PA      | $40150.96      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2045#AZ9990                                                                      | CUSIP: 3140E3C49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54441 | PA      | $53057.43      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2046#BC5450                                                                      | CUSIP: 3140F1BU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306373 | PA      | $298397.70     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2045#AZ5574                                                                      | CUSIP: 3138YXFQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59331 | PA      | $57920.31      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2045#AS6226                                                                      | CUSIP: 3138WF4L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16143 | PA      | $15763.56      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2044#AS3974                                                                      | CUSIP: 3138WDMY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26115 | PA      | $25523.59      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2046#BA0847                                                                      | CUSIP: 3140E45H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3926 | PA      | $3844.38       | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2045#AZ6229                                                                      | CUSIP: 3138YX4P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60815 | PA      | $59297.32      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2045#AX7712                                                                      | CUSIP: 3138Y9SA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18256 | PA      | $17834.93      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2045#BA3280                                                                      | CUSIP: 3140E7UE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43196 | PA      | $42216.97      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2045#BC3634                                                                      | CUSIP: 3140EYBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21961 | PA      | $21409.86      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2045#AZ6887                                                                      | CUSIP: 3138YYUM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20062 | PA      | $19554.66      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2044#AW7931                                                                      | CUSIP: 3138XXY59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100174 | PA      | $97949.85      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2044#AS3467                                                                      | CUSIP: 3138WCZ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22091 | PA      | $21611.29      | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2046#MA2683                                                                      | CUSIP: 31418B6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26611 | PA      | $25901.38      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2044#AX6639                                                                      | CUSIP: 3138Y8LV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7590 | PA      | $7424.45       | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2044#AV9064                                                                      | CUSIP: 3138XMCA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62636 | PA      | $61317.05      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2045#AS6314                                                                      | CUSIP: 3138WGAQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173397 | PA      | $168991.85     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2044#AS3955                                                                      | CUSIP: 3138WDMD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29329 | PA      | $28670.51      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2045#BA2766                                                                      | CUSIP: 3140E7CC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10206 | PA      | $9964.33       | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2045#AY1377                                                                      | CUSIP: 3138YEQ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186719 | PA      | $182376.96     | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2045#AZ5033                                                                      | CUSIP: 3138YWSX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7458 | PA      | $7268.62       | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2044#AS3161                                                                      | CUSIP: 3138WCQP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61345 | PA      | $59973.28      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2044#AX0462                                                                      | CUSIP: 3138Y1QQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17607 | PA      | $17209.85      | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2045#AZ9396                                                                      | CUSIP: 3140E2NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56393 | PA      | $55020.91      | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2045#AX9301                                                                      | CUSIP: 3138YBKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6530 | PA      | $6370.10       | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2045#AY2357                                                                      | CUSIP: 3138YFTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64333 | PA      | $62764.18      | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2046#AS6516                                                                      | CUSIP: 3138WGG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39694 | PA      | $38685.40      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2044#AX5992                                                                      | CUSIP: 3138Y7US9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6438 | PA      | $6283.35       | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2044#AS2976                                                                      | CUSIP: 3138WCJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60977 | PA      | $59673.53      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2045#BC0488                                                                      | CUSIP: 3140EURJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72078 | PA      | $70246.32      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2046#BC0630                                                                      | CUSIP: 3140EUVY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61184 | PA      | $59591.54      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2046#MA2653                                                                      | CUSIP: 31418B5P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19785 | PA      | $19270.29      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2045#BA3075                                                                      | CUSIP: 3140E7MZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55031 | PA      | $53633.29      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2044#AS2714                                                                      | CUSIP: 3138WCAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81514 | PA      | $79711.18      | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 02/01/2042#AL8552                                                                    | CUSIP: 3138ETQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91328 | PA      | $94993.34      | 0.00%             | 2042-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 03/01/2038#972999                                                                      | CUSIP: 31414QNQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44995 | PA      | $45959.75      | 0.00%             | 2038-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 04/01/2041#AI1170                                                                      | CUSIP: 3138AEJQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135881 | PA      | $139209.73     | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/01/2039#935228                                                                      | CUSIP: 31412UPM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12751 | PA      | $13040.85      | 0.00%             | 2039-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 06/01/2041#AI3095                                                                      | CUSIP: 3138AGNM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1604 | PA      | $1644.17       | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 02/01/2042#AL6289                                                                    | CUSIP: 3138EN7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18337 | PA      | $19171.86      | 0.00%             | 2042-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 08/01/2031#BD1996                                                                      | CUSIP: 3140F9GE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145892 | PA      | $142819.98     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PORT OF MORROW OR                                                               | TXBL-BONNEVILLE COOPERATION PR                                                                      | CUSIP: 73474TAP5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    4495000 | PA      | $3943482.38    | 0.01%             | 2036-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2045#AX7581                                                                      | CUSIP: 3138Y9M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5559 | PA      | $5435.13       | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2044#AX2491                                                                      | CUSIP: 3138Y3XV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22247 | PA      | $21753.27      | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2045#AY5297                                                                      | CUSIP: 3138YJ3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20325 | PA      | $20083.00      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2045#AY2197                                                                      | CUSIP: 3138YFNP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        902 | PA      | $882.66        | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2046#BC2703                                                                      | CUSIP: 3140EXAD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6022 | PA      | $5865.57       | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2045#AS5598                                                                      | CUSIP: 3138WFGG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     372566 | PA      | $363703.46     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2045#BA4510                                                                      | CUSIP: 3140E9AL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12911 | PA      | $12612.44      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2045#AZ8792                                                                      | CUSIP: 3140E1XW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51089 | PA      | $49885.26      | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2046#BC4249                                                                      | CUSIP: 3140EYWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62448 | PA      | $60822.24      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 07/01/2031#G18607                                                                    | CUSIP: 3128MMU92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1646406 | PA      | $1597359.35    | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2043#AU1687                                                                      | CUSIP: 3138X02V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79811 | PA      | $78168.01      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 2.95% 10/01/2026                                                              | CUSIP: 46625HRV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   20041000 | PA      | $19881513.92   | 0.03%             | 2026-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                        | COOPERATIEVE RABOBANK UA 3.75% 07/21/2026                                                           | CUSIP: 21684AAF3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   15291000 | PA      | $15236369.54   | 0.02%             | 2026-07-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 07/01/2031#BD1988                                                                      | CUSIP: 3140F9F67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29221 | PA      | $28578.91      | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2031#BC2387                                                                      | CUSIP: 3140EWUM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69343 | PA      | $67994.72      | 0.00%             | 2031-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.125% 07/25/2028                                                                     | CUSIP: 172967KU4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   17365000 | PA      | $17369013.40   | 0.03%             | 2028-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 05/20/2046#MA3667                                                                      | CUSIP: 36179SCC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79965 | PA      | $83076.39      | 0.00%             | 2046-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 06/20/2046#MA3738                                                                      | CUSIP: 36179SEK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     620426 | PA      | $621508.74     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2046#AL8161                                                                      | CUSIP: 3138ETB70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7690 | PA      | $7489.72       | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 03/20/2046#MA3524                                                                        | CUSIP: 36179R4H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122798 | PA      | $125539.99     | 0.00%             | 2046-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 3.125% 07/27/2026                                                                    | CUSIP: 61761J3R8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4448000 | PA      | $4422908.48    | 0.01%             | 2026-07-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE NATL ASSN MCLEAN VA                                                 | CAPITAL ONE NATL ASN MCLEAN VA 3.45% 07/27/2026                                                     | CUSIP: 25466AAJ0<br>LEI: 207ALC1P1YM0OVDV0K75 | Long             | DBT              | CORP              | US        |   10127000 | PA      | $10082347.22   | 0.01%             | 2026-07-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 3.75% 07/28/2026                                                               | CUSIP: 14040HBK0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    7746000 | PA      | $7721528.91    | 0.01%             | 2026-07-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 07/20/2034#003581                                                                      | CUSIP: 36202D6S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2055 | PA      | $2062.48       | 0.00%             | 2034-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 01/20/2035#003663                                                                      | CUSIP: 36202EB81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2242 | PA      | $2250.39       | 0.00%             | 2035-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 2.525% 05/25/2026                                                    | CUSIP: 3137BQYS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14560706 | PA      | $14451488.56   | 0.02%             | 2026-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK CORP                                                             | KIMBERLY-CLARK CORP 3.2% 07/30/2046                                                                 | CUSIP: 494368BV4<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |    1986000 | PA      | $1448174.42    | 0.00%             | 2046-07-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS INSTITUTE OF TECHNOLOGY                                           | MASSACHUSETTS INSTITUTE OF TECHNOLOGY 3.885% 07/01/2116                                             | CUSIP: 575718AF8<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |    2248000 | PA      | $1595547.90    | 0.00%             | 2116-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATIONAL RAILWAY CO                                                    | CANADIAN NATIONAL RAILWAY CO 3.2% 08/02/2046                                                        | CUSIP: 136375CK6<br>LEI: 3SU7BEP7TH9YEQOZCS77 | Long             | DBT              | CORP              | CA        |    2622000 | PA      | $1924737.02    | 0.00%             | 2046-08-02      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                  | MICROSOFT CORP 3.45% 08/08/2036                                                                     | CUSIP: 594918BS2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    2307000 | PA      | $2138116.27    | 0.00%             | 2036-08-08      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                              | UNION PACIFIC CORP 3.35% 08/15/2046                                                                 | CUSIP: 907818EK0<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    3750000 | PA      | $2788638.19    | 0.00%             | 2046-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                             | SYNCHRONY FINANCIAL 3.7% 08/04/2026                                                                 | CUSIP: 87165BAL7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    3752000 | PA      | $3736251.84    | 0.01%             | 2026-08-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL PAPER CO                                                          | INTERNATIONAL PAPER CO 4.4% 08/15/2047                                                              | CUSIP: 460146CQ4<br>LEI: 824LMFJDH41EY779Q875 | Long             | DBT              | CORP              | US        |    6908000 | PA      | $5775232.93    | 0.01%             | 2047-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.25% 08/15/2046                                                        | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25430300 | PA      | $17165452.50   | 0.03%             | 2046-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2046#BC1171                                                                    | CUSIP: 3140EVJR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46519 | PA      | $43821.30      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 08/15/2042#AB2761                                                                    | CUSIP: 36178NB65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2342158 | PA      | $2221550.33    | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 11/15/2041#772678                                                                    | CUSIP: 36176QFT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     412171 | PA      | $391495.41     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 04/15/2042#779106                                                                    | CUSIP: 36176XKT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87274 | PA      | $82916.16      | 0.00%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 10/15/2042#AA9222                                                                    | CUSIP: 36178HG71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60933 | PA      | $57782.18      | 0.00%             | 2042-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 07/15/2042#AA5073                                                                    | CUSIP: 36178CT60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34377 | PA      | $32561.68      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/46#G08716                                                                         | CUSIP: 3128MJYN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7869669 | PA      | $7421907.30    | 0.01%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINL SVCS CORP                                                      | CATERPILLAR FINL SVCS CORP 2.4% 08/09/2026                                                          | CUSIP: 14912L6T3<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |    2264000 | PA      | $2241354.32    | 0.00%             | 2026-08-09      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                    | MEXICO UNITED MEXICAN STATES 4.35% 01/15/2047                                                       | CUSIP: 91087BAB6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   11447000 | PA      | $8768402.00    | 0.01%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                            | BOSTON PROPERTIES LP 2.75% 10/01/2026                                                               | CUSIP: 10112RAY0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    5561000 | PA      | $5493196.01    | 0.01%             | 2026-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                            | DUKE ENERGY CORP NEW 3.75% 09/01/2046                                                               | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    7253000 | PA      | $5601349.31    | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                            | DUKE ENERGY CORP NEW 2.65% 09/01/2026                                                               | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   10605000 | PA      | $10493530.10   | 0.02%             | 2026-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 3/46#Q39578                                                                            | CUSIP: 3132QWUC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61610 | PA      | $60075.67      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2046#BA5159                                                                    | CUSIP: 3140E9WV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22628 | PA      | $21343.78      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2046#BA5969                                                                    | CUSIP: 3140EAT37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217287 | PA      | $204957.35     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2046#BA5991                                                                    | CUSIP: 3140EAUR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     475399 | PA      | $448423.34     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 12/01/2045#Q37992                                                                      | CUSIP: 3132QU3A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     309700 | PA      | $302179.60     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2043#Q21261                                                                      | CUSIP: 3132JNMJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27294 | PA      | $26782.57      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2040#V81897                                                                      | CUSIP: 3132L7DA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90616 | PA      | $89252.66      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2045#Q35815                                                                      | CUSIP: 3132QSN95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10266 | PA      | $10025.08      | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 12/01/2045#Q39051                                                                      | CUSIP: 3132QWBV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30215 | PA      | $29481.09      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 01/01/2044#Q24338                                                                      | CUSIP: 3132M4PX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31683 | PA      | $31035.18      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2045#V81991                                                                      | CUSIP: 3132L7F87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51618 | PA      | $50508.33      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2045#Q35796                                                                      | CUSIP: 3132QSNN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58091 | PA      | $56752.74      | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 03/01/2046#Q39124                                                                      | CUSIP: 3132QWD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     423907 | PA      | $413348.29     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/01/2045#V82041                                                                      | CUSIP: 3132L7HS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1105134 | PA      | $1081812.49    | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2045#Q35686                                                                      | CUSIP: 3132QSJ82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15071 | PA      | $14941.00      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2046#G08723                                                                      | CUSIP: 3128MJYV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43273 | PA      | $42167.81      | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/01/2045#Q33842                                                                      | CUSIP: 3132QQHU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38724 | PA      | $37836.33      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 01/01/2046#Q38473                                                                      | CUSIP: 3132QVMX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9938 | PA      | $9697.05       | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/01/2046#Q41346                                                                      | CUSIP: 3132WEP89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37329 | PA      | $36375.37      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2043#G08542                                                                      | CUSIP: 3128MJS84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45072 | PA      | $44224.78      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2044#G07825                                                                      | CUSIP: 3128MAA25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8900 | PA      | $8715.06       | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2045#Q36699                                                                      | CUSIP: 3132QTNR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6845 | PA      | $6684.21       | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 12/01/2045#Q38188                                                                      | CUSIP: 3132QVC25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22591 | PA      | $22063.32      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2046#BC6026                                                                    | CUSIP: 3140F1VU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     473463 | PA      | $446005.81     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2045#AY6023                                                                    | CUSIP: 3138YKVR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15456 | PA      | $14558.09      | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2045#G60542                                                                      | CUSIP: 31335AS74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     288173 | PA      | $282042.53     | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | AMGEN INC 2.6% 08/19/2026                                                                           | CUSIP: 031162CJ7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    8340000 | PA      | $8263614.69    | 0.01%             | 2026-08-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2046#BA4770                                                                    | CUSIP: 3140E9JQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     547503 | PA      | $516435.55     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2041#AL8111                                                                    | CUSIP: 3138ETAM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1243396 | PA      | $1195085.74    | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 08/20/2046#MA3873                                                                        | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24112085 | PA      | $22088774.61   | 0.03%             | 2046-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 03/01/2046#BC4413                                                                    | CUSIP: 3140EY3X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2603 | PA      | $2455.24       | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2046#AL8964                                                                    | CUSIP: 3138ET6A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116322 | PA      | $116874.08     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 11/01/2036#889776                                                                    | CUSIP: 31410KQ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197640 | PA      | $205233.29     | 0.00%             | 2036-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 02/01/2038#G60365                                                                      | CUSIP: 31335AMN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     479001 | PA      | $488978.17     | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2016-P4                                                   | CITIGROUP COML MTG TR 2016-P4 A4 2.902% 07/10/2049                                                  | CUSIP: 29429EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17078544 | PA      | $16913553.31   | 0.02%             | 2049-07-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS and ELECTRIC CO                                                   | BALTIMORE GAS and ELECTRIC CO 3.5% 08/15/2046                                                       | CUSIP: 059165EH9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    1986000 | PA      | $1495605.88    | 0.00%             | 2046-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                            | KRAFT HEINZ FOODS CO 5.2% 07/15/2045                                                                | CUSIP: 50077LAM8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1865219.58    | 0.00%             | 2045-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP NEW                                                                | ENTERGY CORP NEW 2.95% 09/01/2026                                                                   | CUSIP: 29364GAJ2<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    3734000 | PA      | $3701090.47    | 0.01%             | 2026-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                            | KRAFT HEINZ FOODS CO 4.375% 06/01/2046                                                              | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   14500000 | PA      | $12179144.79   | 0.02%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 07/20/2046#MA3802                                                                        | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9864272 | PA      | $9036533.93    | 0.01%             | 2046-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 09/45#MA3108                                                                             | CUSIP: 36179RNZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90620 | PA      | $92662.04      | 0.00%             | 2045-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                            | KRAFT HEINZ FOODS CO 5% 07/15/2035                                                                  | CUSIP: 50077LAL0<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1002313.87    | 0.00%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PROGRESSIVE CORP OHIO                                                           | PROGRESSIVE CORP OHIO 2.45% 01/15/2027                                                              | CUSIP: 743315AR4<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |    3765000 | PA      | $3706994.41    | 0.01%             | 2027-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/46#BD3336                                                                         | CUSIP: 3140FAV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26142 | PA      | $24650.66      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 03/01/2045#AS4522                                                                    | CUSIP: 3138WEAY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369210 | PA      | $348281.64     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 02/01/2029#AS1758                                                                    | CUSIP: 3138WA5U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1971 | PA      | $1957.49       | 0.00%             | 2029-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 07/01/2030#AZ5973                                                                    | CUSIP: 3138YXT70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3967 | PA      | $3936.70       | 0.00%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 12/01/2030#BC0406                                                                    | CUSIP: 3140EUNY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3465 | PA      | $3432.75       | 0.00%             | 2030-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 04/01/2031#BC5995                                                                    | CUSIP: 3140F1UV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4708 | PA      | $4665.06       | 0.00%             | 2031-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 01/01/2031#BC4871                                                                    | CUSIP: 3140F0MV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3527 | PA      | $3493.98       | 0.00%             | 2031-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 08/01/2031#MA2753                                                                    | CUSIP: 31418CBX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11852 | PA      | $11729.83      | 0.00%             | 2031-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 06/01/2029#AW2492                                                                    | CUSIP: 3138XRXW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10153 | PA      | $10079.19      | 0.00%             | 2029-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 03/01/2029#AW1033                                                                    | CUSIP: 3138XQEF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12344 | PA      | $12257.64      | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 08/01/2031#MA2729                                                                    | CUSIP: 31418CA79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12923 | PA      | $12794.30      | 0.00%             | 2031-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 08/01/2030#MA2377                                                                    | CUSIP: 31418BUB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14203 | PA      | $14081.03      | 0.00%             | 2030-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 02/01/2031#BC1938                                                                    | CUSIP: 3140EWEL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15671 | PA      | $15511.98      | 0.00%             | 2031-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 04/01/2031#BC6465                                                                    | CUSIP: 3140F2FF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43564 | PA      | $43159.99      | 0.00%             | 2031-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 08/01/2029#AS2993                                                                    | CUSIP: 3138WCKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21160 | PA      | $21004.36      | 0.00%             | 2029-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 01/01/2031#MA2515                                                                    | CUSIP: 31418BYM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44357 | PA      | $43963.85      | 0.00%             | 2031-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 08/01/2029#AX0108                                                                    | CUSIP: 3138Y1DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35312 | PA      | $35045.56      | 0.00%             | 2029-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 04/01/2031#MA2597                                                                    | CUSIP: 31418B3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48257 | PA      | $47809.49      | 0.00%             | 2031-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 09/01/2029#AX1318                                                                    | CUSIP: 3138Y2PC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81352 | PA      | $80736.98      | 0.00%             | 2029-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 11/01/2029#AX6171                                                                    | CUSIP: 3138Y72D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17850 | PA      | $17722.63      | 0.00%             | 2029-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 06/01/2031#MA2652                                                                    | CUSIP: 31418B5N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55488 | PA      | $54935.34      | 0.00%             | 2031-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 04/01/2031#BC4270                                                                    | CUSIP: 3140EYW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53084 | PA      | $52540.73      | 0.00%             | 2031-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 03/01/2028#AR9891                                                                    | CUSIP: 3138W77D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29073 | PA      | $28902.39      | 0.00%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 08/01/2029#AS3273                                                                    | CUSIP: 3138WCT78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24530 | PA      | $24355.44      | 0.00%             | 2029-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 05/01/2031#MA2625                                                                    | CUSIP: 31418B4K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72884 | PA      | $72207.97      | 0.00%             | 2031-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 07/01/2031#MA2685                                                                    | CUSIP: 31418B6X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68109 | PA      | $67424.64      | 0.00%             | 2031-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 07/01/2031#BD4879                                                                    | CUSIP: 3140FCM54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127454 | PA      | $126271.38     | 0.00%             | 2031-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 07/20/2046#MA3803                                                                      | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4609858 | PA      | $4338353.70    | 0.01%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2046#AS6673                                                                      | CUSIP: 3138WGMX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4974 | PA      | $4847.86       | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                                         | DUKE ENERGY FLORIDA LLC 3.4% 10/01/2046                                                             | CUSIP: 26444HAA9<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    1986000 | PA      | $1477816.78    | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 4.25% 09/15/2046                                                                          | CUSIP: 682680BX0<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    4369000 | PA      | $3483982.85    | 0.01%             | 2046-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 04/15/2045#AM4159                                                                      | CUSIP: 36184QTQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     145168 | PA      | $140846.20     | 0.00%             | 2045-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORP                                                     | AMERICAN HONDA FINANCE CORP 2.3% 09/09/2026                                                         | CUSIP: 02665WBH3<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    3972000 | PA      | $3920002.51    | 0.01%             | 2026-09-09      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2044#AL8878                                                                      | CUSIP: 3138ET2L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253628 | PA      | $259801.30     | 0.00%             | 2044-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 06/20/2046#MA3736                                                                      | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7199247 | PA      | $6775237.69    | 0.01%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 08/20/2046#MA3936                                                                        | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5940057 | PA      | $5441610.82    | 0.01%             | 2046-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL CORP                                                    | SOUTHERN CO GAS CAP 3.95% 10/01/2046                                                                | CUSIP: 8426EPAB4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   10740000 | PA      | $8562555.11    | 0.01%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2046#BC0822                                                                    | CUSIP: 3140EU4G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105849 | PA      | $99842.67      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 08/46#MA2705                                                                           | CUSIP: 31418CAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249340 | PA      | $227042.05     | 0.00%             | 2046-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/46#MA2771                                                                           | CUSIP: 31418CCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     895196 | PA      | $812621.08     | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2046#BC2817                                                                      | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18412796 | PA      | $16852462.58   | 0.02%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2045#AS5816                                                                    | CUSIP: 3138WFPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52605 | PA      | $49596.72      | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2045#AS4414                                                                    | CUSIP: 3138WD3Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25993 | PA      | $24520.45      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 2.57% 07/25/2026                                                     | CUSIP: 3137BRQJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11603184 | PA      | $11499789.21   | 0.02%             | 2026-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 3.875% 09/16/2046                                                                  | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    7944000 | PA      | $6066872.20    | 0.01%             | 2046-09-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2046#AS6847                                                                      | CUSIP: 3138WGTD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     516563 | PA      | $503115.99     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2045#AZ4779                                                                      | CUSIP: 3138YWJZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1459310 | PA      | $1425338.01    | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2045#MA2463                                                                    | CUSIP: 31418BWZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189814 | PA      | $190520.37     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/45#AS5942                                                                           | CUSIP: 3138WFS80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87986 | PA      | $85868.89      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2046#AL8460                                                                      | CUSIP: 3138ETMJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75266 | PA      | $73306.78      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| 3M CO                                                                           | 3M CO 3.125% 09/19/2046                                                                             | CUSIP: 88579YAW1<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    2192000 | PA      | $1551389.71    | 0.00%             | 2046-09-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 3.25% 10/15/2026                                                        | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    2780000 | PA      | $2760834.29    | 0.00%             | 2026-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AFLAC INC                                                                       | AFLAC INC 4% 10/15/2046                                                                             | CUSIP: 001055AR3<br>LEI: 549300N0B7DOGLXWPP39 | Long             | DBT              | CORP              | US        |    3003000 | PA      | $2445936.68    | 0.00%             | 2046-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WASHINGTON GAS LIGHT CO                                                         | WASHINGTON GAS LIGHT CO 3.796% 09/15/2046                                                           | CUSIP: 93884PDW7<br>LEI: DL22T1SB4DUBS063O841 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $1876568.18    | 0.00%             | 2046-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                             | GILEAD SCIENCES INC 4.15% 03/01/2047                                                                | CUSIP: 375558BK8<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    9882000 | PA      | $8362453.46    | 0.01%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 09/31#G18614                                                                         | CUSIP: 3128MMVG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     320362 | PA      | $310580.16     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 04/01/2031#G18595                                                                    | CUSIP: 3128MMUV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1940417 | PA      | $1887195.98    | 0.00%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2030#BA6865                                                                      | CUSIP: 3140EBTX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7835 | PA      | $7690.37       | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 07/01/2031#J34866                                                                    | CUSIP: 31307RMP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51315 | PA      | $49805.37      | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 03/01/2031#G18590                                                                    | CUSIP: 3128MMUQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76024 | PA      | $73966.55      | 0.00%             | 2031-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 07/01/2028#J24649                                                                    | CUSIP: 31307DEW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16286 | PA      | $16036.69      | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 01/01/2031#G18581                                                                    | CUSIP: 3128MMUF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     515831 | PA      | $502262.60     | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 08/01/2031#J35019                                                                    | CUSIP: 31307RSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46688 | PA      | $45262.20      | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 09/01/2031#G18611                                                                    | CUSIP: 3128MMVD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64853 | PA      | $62896.25      | 0.00%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 10/01/2031#J35369                                                                    | CUSIP: 31307R6E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42093 | PA      | $40807.46      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FGCI 15YR 2.5% 09/31#J35199                                                                         | CUSIP: 31307RX42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50767 | PA      | $49198.65      | 0.00%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 09/31#J35331                                                                         | CUSIP: 31307R4Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1096254 | PA      | $1062777.32    | 0.00%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 02/01/2029#AL6204                                                                      | CUSIP: 3138EN3N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2550 | PA      | $2543.52       | 0.00%             | 2029-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 03/01/2040#AL8571                                                                    | CUSIP: 3138ETQZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218182 | PA      | $226234.83     | 0.00%             | 2040-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 03/20/2046#MA3519                                                                      | CUSIP: 36179R4C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86636 | PA      | $77414.74      | 0.00%             | 2046-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 09/20/2046#MA3935                                                                      | CUSIP: 36179SLQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     386022 | PA      | $341602.47     | 0.00%             | 2046-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 09/20/2046#MA3937                                                                      | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1751106 | PA      | $1647971.81    | 0.00%             | 2046-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 12/20/2044#MA2448                                                                        | CUSIP: 36179QWH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103684 | PA      | $105982.47     | 0.00%             | 2044-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 05/20/2046#MA3666                                                                        | CUSIP: 36179SCB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103163 | PA      | $105459.89     | 0.00%             | 2046-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 07/20/2046#MA3806                                                                        | CUSIP: 36179SGP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37153 | PA      | $37972.16      | 0.00%             | 2046-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                       | HESS CORP 5.8% 04/01/2047                                                                           | CUSIP: 42809HAH0<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    3383000 | PA      | $3529275.95    | 0.01%             | 2047-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/46#AL9107                                                                         | CUSIP: 3138ERDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1070899 | PA      | $1076395.82    | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/46#AL9111                                                                         | CUSIP: 3138ERDR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2624065 | PA      | $2637394.77    | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                       | KROGER CO 2.65% 10/15/2026                                                                          | CUSIP: 501044DE8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    2264000 | PA      | $2237077.44    | 0.00%             | 2026-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 12/01/2042#C04320                                                                      | CUSIP: 31292LYR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20334318 | PA      | $18943381.25   | 0.03%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 01/01/2039#G60494                                                                    | CUSIP: 31335ARP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     240208 | PA      | $249119.69     | 0.00%             | 2039-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                                   | DTE ENERGY CO 2.85% 10/01/2026                                                                      | CUSIP: 233331AY3<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    4766000 | PA      | $4718458.63    | 0.01%             | 2026-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                     | PEPSICO INC 2.375% 10/06/2026                                                                       | CUSIP: 713448DN5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    5362000 | PA      | $5298673.60    | 0.01%             | 2026-10-06      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC 4% 10/06/2026                                                              | CUSIP: 37045XBQ8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    2923000 | PA      | $2919682.16    | 0.00%             | 2026-10-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2046#G08722                                                                    | CUSIP: 3128MJYU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1593603 | PA      | $1502931.29    | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SPECTRA ENERGY PARTNERS LP                                                      | SPECTRA ENERGY PARTNERS LP 3.375% 10/15/2026                                                        | CUSIP: 84756NAH2<br>LEI: 2HKVXE7U4NF5B6UGSU72 | Long             | DBT              | CORP              | US        |   12956000 | PA      | $12880884.48   | 0.02%             | 2026-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRESIDENT AND FELLOWS OF HARVARD COLLEGE                                        | PRESIDENT AND FELLOWS OF HARVARD COLLEGE 3.3% 07/15/2056                                            | CUSIP: 740816AN3<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |    3852000 | PA      | $2708627.79    | 0.00%             | 2056-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 3% 10/01/2046#AS8186                                                                 | CUSIP: 3138WJCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18393 | PA      | $16696.73      | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRESIDENT AND FELLOWS OF HARVARD COLLEGE                                        | PRESIDENT AND FELLOWS OF HARVARD COLLEGE 3.15% 07/15/2046                                           | CUSIP: 740816AM5<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2238248.07    | 0.00%             | 2046-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 03/01/2044#AS2046                                                                      | CUSIP: 3138WBHY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20497 | PA      | $20998.01      | 0.00%             | 2044-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 08/01/2044#AW9026                                                                      | CUSIP: 3138XZA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126579 | PA      | $129675.56     | 0.00%             | 2044-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2044#Q26140                                                                      | CUSIP: 3132M6PZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4276 | PA      | $4189.31       | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2046#G08734                                                                      | CUSIP: 3128MJY87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3284561 | PA      | $3196586.99    | 0.00%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2045#Q36148                                                                      | CUSIP: 3132QSZN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1063 | PA      | $1038.81       | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2045#Q36814                                                                      | CUSIP: 3132QTSC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1369961 | PA      | $1338525.71    | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2045#AY2068                                                                    | CUSIP: 3138YFJN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31561 | PA      | $29751.15      | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2045#AY3913                                                                    | CUSIP: 3138YHK33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179583 | PA      | $169452.11     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2045#AY2087                                                                    | CUSIP: 3138YFJ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171452 | PA      | $162056.81     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2045#AY1805                                                                    | CUSIP: 3138YFAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41604 | PA      | $39298.83      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2046#BC9667                                                                    | CUSIP: 3140F5W58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     345540 | PA      | $302720.55     | 0.00%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2045#Q31396                                                                    | CUSIP: 3132QMRS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     976894 | PA      | $923466.00     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2045#Q30543                                                                    | CUSIP: 3132QLS95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     432517 | PA      | $410438.52     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2046#AS6985                                                                    | CUSIP: 3138WGXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15710 | PA      | $14818.29      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2046#BC0247                                                                      | CUSIP: 3140EUHZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4177003 | PA      | $4070882.45    | 0.01%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 06/01/2041#G60243                                                                    | CUSIP: 31335AHU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     175768 | PA      | $182667.47     | 0.00%             | 2041-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2039#BC4574                                                                      | CUSIP: 3140F0CL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     259785 | PA      | $265661.48     | 0.00%             | 2039-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2046#AS8056                                                                      | CUSIP: 3138WH5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20648 | PA      | $18743.59      | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/42#AQ8681                                                                           | CUSIP: 3138MQUF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5130891 | PA      | $4754599.48    | 0.01%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2042#AO1803                                                                      | CUSIP: 3138LSAD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2982970 | PA      | $2925130.73    | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 15YR 3% 10/31#AS8216                                                                      | CUSIP: 3138WJDW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1443364 | PA      | $1412648.74    | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                        | CSX CORP 3.8% 11/01/2046                                                                            | CUSIP: 126408HF3<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    4544000 | PA      | $3632808.04    | 0.01%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2045#AZ7362                                                                      | CUSIP: 3140E0FC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6830 | PA      | $6668.29       | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ECOLAB INC                                                                      | ECOLAB INC 2.7% 11/01/2026                                                                          | CUSIP: 278865AV2<br>LEI: 82DYEISM090VG8LTLS26 | Long             | DBT              | CORP              | US        |    5243000 | PA      | $5187355.88    | 0.01%             | 2026-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2029#AS1417                                                                      | CUSIP: 3138WASF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2338 | PA      | $2306.27       | 0.00%             | 2029-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2031#BA0923                                                                      | CUSIP: 3140E5AZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3703 | PA      | $3625.59       | 0.00%             | 2031-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2031#BA0939                                                                      | CUSIP: 3140E5BH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5452 | PA      | $5347.53       | 0.00%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2031#BC6218                                                                      | CUSIP: 3140F14C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3644 | PA      | $3574.28       | 0.00%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2031#BA0039                                                                      | CUSIP: 3140E4BH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8616 | PA      | $8450.48       | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2031#AS6538                                                                      | CUSIP: 3138WGHQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     632266 | PA      | $620288.32     | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 06/01/2031#BA7736                                                                      | CUSIP: 3140ECS26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6609 | PA      | $6470.13       | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2031#BC4943                                                                      | CUSIP: 3140F0P57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11676 | PA      | $11473.61      | 0.00%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2030#BA3578                                                                      | CUSIP: 3140E76Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7749 | PA      | $7606.30       | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2031#MA2561                                                                      | CUSIP: 31418BZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9529 | PA      | $9348.70       | 0.00%             | 2031-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2031#BC3880                                                                      | CUSIP: 3140EYJ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6854 | PA      | $6714.47       | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 05/01/2030#AL6763                                                                      | CUSIP: 3138EPQR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13223 | PA      | $13007.47      | 0.00%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2031#BA6050                                                                      | CUSIP: 3140EAWL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33117 | PA      | $32473.13      | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 05/01/2031#AL8975                                                                      | CUSIP: 3138ET6M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18603 | PA      | $18276.41      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2031#BA5100                                                                      | CUSIP: 3140E9U20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16966 | PA      | $16614.31      | 0.00%             | 2031-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2031#BC0741                                                                      | CUSIP: 3140EUZF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29988 | PA      | $29426.86      | 0.00%             | 2031-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2031#BA5025                                                                      | CUSIP: 3140E9SP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17021 | PA      | $16676.23      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 05/01/2031#MA2617                                                                      | CUSIP: 31418B4B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3052 | PA      | $2990.86       | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 3.248% 10/21/2027                                                       | CUSIP: 06051GGA1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2979000 | PA      | $2947604.11    | 0.00%             | 2027-10-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 3% 10/23/2026                                                                | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   16149000 | PA      | $15996432.65   | 0.02%             | 2026-10-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 06/20/2046#MA3734                                                                      | CUSIP: 36179SEF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127135 | PA      | $112825.94     | 0.00%             | 2046-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 03/20/2046#MA3523                                                                      | CUSIP: 36179R4G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77879 | PA      | $78011.86      | 0.00%             | 2046-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                                        | NIKE INC 3.375% 11/01/2046                                                                          | CUSIP: 654106AG8<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    3575000 | PA      | $2683827.93    | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 15YR 2.5% 11/01/2031#AS8245                                                               | CUSIP: 3138WJET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8644 | PA      | $8374.55       | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% #AL9282                                                                                | CUSIP: 3138ERJ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337976 | PA      | $329178.43     | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED PARCEL SERVICE INC                                                       | UNITED PARCEL SERVICE INC 3.4% 11/15/2046                                                           | CUSIP: 911312AZ9<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |    2104000 | PA      | $1584082.87    | 0.00%             | 2046-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 10/20/2046#MA4003                                                                        | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2053274 | PA      | $1879694.56    | 0.00%             | 2046-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH FING AUTH PA REV                                                   | COM FIN AUTH PA 4.144% 6/1/2038                                                                     | CUSIP: 20281PKG6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    6095000 | PA      | $5763658.73    | 0.01%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 3% 03/26#AS6860                                                                           | CUSIP: 3138WGTS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        201 | PA      | $200.01        | 0.00%             | 2026-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL INC                                                     | HONEYWELL INTL INC 2.5% 11/01/2026                                                                  | CUSIP: 438516BL9<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    5688000 | PA      | $5617421.08    | 0.01%             | 2026-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JAPAN BANK INTERNATIONAL COOPERATION                                            | JAPAN BANK INTL COOPERATION 2.25% 11/04/2026                                                        | CUSIP: 471048AZ1<br>LEI: 549300TJ3QFYVCTSCJ29 | Long             | DBT              | CORP              | JP        |    4486000 | PA      | $4422832.23    | 0.01%             | 2026-11-04      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 07/46#MA3804                                                                             | CUSIP: 36179SGM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2424 | PA      | $2356.40       | 0.00%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                        | RTX CORP 3.75% 11/01/2046                                                                           | CUSIP: 913017CJ6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    5929000 | PA      | $4669028.39    | 0.01%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/31#BD8975                                                                           | CUSIP: 3140FG6M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57847 | PA      | $56616.54      | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 03/01/2041#AH8912                                                                      | CUSIP: 3138AA3W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112185 | PA      | $114977.00     | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 09/01/2041#AL9272                                                                    | CUSIP: 3138ERJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1178341 | PA      | $1220648.03    | 0.00%             | 2041-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2046#MA2806                                                                      | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7053470 | PA      | $6402845.41    | 0.01%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2% 11/15/2026                                                                             | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37465000 | PA      | $36885755.88   | 0.05%             | 2026-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY OP LLC                                                             | KIMCO REALTY OP LLC 4.125% 12/01/2046                                                               | CUSIP: 49446RAQ2<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |    7944000 | PA      | $6610991.00    | 0.01%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GROUP INC                                                   | PRINCIPAL FINL GROUP INC 4.3% 11/15/2046                                                            | CUSIP: 74251VAN2<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |    6356000 | PA      | $5477337.09    | 0.01%             | 2046-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                       | ROGERS COMMUNICATIONS INC 2.9% 11/15/2026                                                           | CUSIP: 775109BF7<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    1986000 | PA      | $1962864.87    | 0.00%             | 2026-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 4.582% 12/10/2025                                                          | CUSIP: 539439AM1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    9260000 | PA      | $9259041.59    | 0.01%             | 2025-12-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/31#AL9351                                                                           | CUSIP: 3138ERL99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     367438 | PA      | $359742.08     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 03/01/2046#BC0300                                                                    | CUSIP: 3140EUKN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24677 | PA      | $23276.60      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2045#AS5069                                                                      | CUSIP: 3138WET33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1394494 | PA      | $1361837.30    | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2045#BC0092                                                                    | CUSIP: 3140EUC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40393 | PA      | $38101.39      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2046#890765                                                                    | CUSIP: 31410LTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108446 | PA      | $102242.37     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2046#AS8269                                                                      | CUSIP: 3138WJFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11718259 | PA      | $10637345.71   | 0.02%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2030#BD8900                                                                    | CUSIP: 3140FG3J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     705871 | PA      | $694975.32     | 0.00%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                      | PFIZER INC 3% 12/15/2026                                                                            | CUSIP: 717081EA7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    5321000 | PA      | $5280534.01    | 0.01%             | 2026-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                       | DUKE ENERGY CAROLINAS LLC 2.95% 12/01/2026                                                          | CUSIP: 26442CAS3<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    4766000 | PA      | $4727949.83    | 0.01%             | 2026-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                      | PFIZER INC 4.125% 12/15/2046                                                                        | CUSIP: 717081ED1<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    2613000 | PA      | $2195182.95    | 0.00%             | 2046-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                      | PFIZER INC 4% 12/15/2036                                                                            | CUSIP: 717081EC3<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    9447000 | PA      | $8947039.63    | 0.01%             | 2036-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/31#BD9600                                                                         | CUSIP: 3140FHU21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141696 | PA      | $136966.01     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2031#MA2803                                                                    | CUSIP: 31418CDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300361 | PA      | $290773.76     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                  | MASTERCARD INC 3.8% 11/21/2046                                                                      | CUSIP: 57636QAH7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    3019000 | PA      | $2471718.40    | 0.00%             | 2046-11-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2031#BD5561                                                                    | CUSIP: 3140FDFB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91340 | PA      | $88424.42      | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2031#BC9302                                                                    | CUSIP: 3140F5KQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2822 | PA      | $2726.05       | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2031#BE0151                                                                    | CUSIP: 3140FKEZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8703 | PA      | $8415.02       | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2031#BD9357                                                                    | CUSIP: 3140FHMF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86624 | PA      | $83795.97      | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                                             | ABBOTT LABORATORIES 4.75% 11/30/2036                                                                | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |   11975000 | PA      | $12175373.48   | 0.02%             | 2036-11-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                                             | ABBOTT LABORATORIES 4.9% 11/30/2046                                                                 | CUSIP: 002824BH2<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    8261000 | PA      | $7903646.65    | 0.01%             | 2046-11-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                                             | ABBOTT LABORATORIES 3.75% 11/30/2026                                                                | CUSIP: 002824BF6<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    5539000 | PA      | $5537286.23    | 0.01%             | 2026-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 06/20/2045#MA2896                                                                      | CUSIP: 36179RGD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     108952 | PA      | $113114.46     | 0.00%             | 2045-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 11/20/2046#MA4068                                                                        | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19041084 | PA      | $17431394.51   | 0.03%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 11/20/2046#MA4067                                                                      | CUSIP: 36179SQU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     523904 | PA      | $463605.53     | 0.00%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 07/20/2046#MA3805                                                                      | CUSIP: 36179SGN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     367097 | PA      | $367590.17     | 0.00%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 4/45#AY3363                                                                            | CUSIP: 3138YGWZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2573349 | PA      | $2360604.95    | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.183% 11/25/2027                                                       | CUSIP: 06051GGC7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   12307000 | PA      | $12322917.87   | 0.02%             | 2027-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | ENBRIDGE INC 5.5% 12/01/2046                                                                        | CUSIP: 29250NAM7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   11511000 | PA      | $11476917.20   | 0.02%             | 2046-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 02/20/2046#MA3453                                                                        | CUSIP: 36179RZS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22023005 | PA      | $20174994.98   | 0.03%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                        | CONSTELLATION BRANDS INC 3.7% 12/06/2026                                                            | CUSIP: 21036PAQ1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    5997000 | PA      | $5979999.64    | 0.01%             | 2026-12-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                 | XCEL ENERGY INC 3.35% 12/01/2026                                                                    | CUSIP: 98389BAU4<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    2383000 | PA      | $2366520.43    | 0.00%             | 2026-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/46#G08707                                                                           | CUSIP: 3128MJYD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19940 | PA      | $19443.51      | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                              | ANALOG DEVICES INC 3.5% 12/05/2026                                                                  | CUSIP: 032654AN5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1694069.96    | 0.00%             | 2026-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLSTATE CORP                                                                   | ALLSTATE CORP 3.28% 12/15/2026                                                                      | CUSIP: 020002BD2<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |    3750000 | PA      | $3723709.58    | 0.01%             | 2026-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| ALLSTATE CORP                                                                   | ALLSTATE CORP 4.2% 12/15/2046                                                                       | CUSIP: 020002BC4<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |   10005000 | PA      | $8396918.46    | 0.01%             | 2046-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 4.75% 12/07/2046                                                             | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   12709000 | PA      | $11358871.33   | 0.02%             | 2046-12-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/46#AS7582                                                                           | CUSIP: 3138WHM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129763 | PA      | $118158.44     | 0.00%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.384% 10/23/2035   | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10684000 | PA      | $11039229.43   | 0.02%             | 2035-10-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.484% 10/23/2045   | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3725000 | PA      | $3569027.47    | 0.01%             | 2045-10-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2046#BC0894                                                                    | CUSIP: 3140EU7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3879304 | PA      | $3662817.08    | 0.01%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2046#Q40716                                                                    | CUSIP: 3132WDYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1847197 | PA      | $1746137.14    | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                                                   | FORD MOTOR CO 5.291% 12/08/2046                                                                     | CUSIP: 345370CS7<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    8130000 | PA      | $6860153.27    | 0.01%             | 2046-12-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| LINCOLN NATIONAL CORP IND                                                       | LINCOLN NATIONAL CORP IND 3.625% 12/12/2026                                                         | CUSIP: 534187BF5<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |    4766000 | PA      | $4743798.83    | 0.01%             | 2026-12-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/01/2046#G08738                                                                    | CUSIP: 3128MJZC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     470676 | PA      | $443160.06     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                          | ROPER TECHNOLOGIES INC 3.8% 12/15/2026                                                              | CUSIP: 776743AD8<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |    6752000 | PA      | $6735472.45    | 0.01%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 9/46#AL9549                                                                            | CUSIP: 3138ERTF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2248396 | PA      | $2195472.43    | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/46#BA6914                                                                           | CUSIP: 3140EBVG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203709 | PA      | $198533.59     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 08/01/2046#AS8320                                                                      | CUSIP: 3138WJG69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224766 | PA      | $204665.68     | 0.00%             | 2046-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2046#BC9083                                                                      | CUSIP: 3140F5CV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     709637 | PA      | $644179.10     | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 07/01/2046#BD2575                                                                    | CUSIP: 3140F92H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1057605 | PA      | $926547.27     | 0.00%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2046#BD8951                                                                      | CUSIP: 3140FG5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6523774 | PA      | $5922009.12    | 0.01%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2046#BE2295                                                                      | CUSIP: 3140FMRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201921 | PA      | $183295.44     | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2046#BE0518                                                                      | CUSIP: 3140FKSG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188149 | PA      | $170793.61     | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2046#BE2827                                                                      | CUSIP: 3140FND92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23507 | PA      | $21338.36      | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2046#AS7904                                                                      | CUSIP: 3138WHYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     336922 | PA      | $306791.24     | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2046#AS6922                                                                    | CUSIP: 3138WGVQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86189 | PA      | $81298.32      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2046#MA2833                                                                      | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7047 | PA      | $6397.27       | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2046#AS8483                                                                      | CUSIP: 3138WJM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8363767 | PA      | $7592278.21    | 0.01%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2046#AS7003                                                                      | CUSIP: 3138WGX90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27672 | PA      | $25266.16      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2043#AU4293                                                                      | CUSIP: 3138X3XX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     622920 | PA      | $610437.70     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2046#AL8097                                                                      | CUSIP: 3138EQ7K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1075676 | PA      | $1048347.63    | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2046#AS7908                                                                      | CUSIP: 3138WHYE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257556 | PA      | $234522.72     | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2046#MA2737                                                                      | CUSIP: 31418CBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3442405 | PA      | $3134553.04    | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2046#BD6426                                                                      | CUSIP: 3140FED84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5300 | PA      | $4811.31       | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2046#AS7155                                                                      | CUSIP: 3138WG5R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38105 | PA      | $34697.14      | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2046#BC2849                                                                      | CUSIP: 3140EXEX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180850 | PA      | $164168.13     | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2046#AY8866                                                                    | CUSIP: 3138YNZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86814 | PA      | $81888.19      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2046#BE3313                                                                      | CUSIP: 3140FNVF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53550 | PA      | $48610.32      | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2047#BD6333                                                                      | CUSIP: 3140FEBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55355 | PA      | $50404.75      | 0.00%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2046#BC7098                                                                      | CUSIP: 3140F23G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17217 | PA      | $15677.48      | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2046#BE2814                                                                      | CUSIP: 3140FNDU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28075 | PA      | $25485.38      | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2046#BD5566                                                                      | CUSIP: 3140FDFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156944 | PA      | $142467.17     | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2046#BC9722                                                                      | CUSIP: 3140F5YU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     730929 | PA      | $663506.63     | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2047#MA2863                                                                      | CUSIP: 31418CFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1680426 | PA      | $1525420.10    | 0.00%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 02/01/2041#AH4823                                                                      | CUSIP: 3138A6LD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4465 | PA      | $4575.46       | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/01/2044#AV5431                                                                      | CUSIP: 3138XHA92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76742 | PA      | $78621.17      | 0.00%             | 2044-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/01/2044#AV4197                                                                      | CUSIP: 3138XFUX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64982 | PA      | $66573.20      | 0.00%             | 2044-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 04/01/2044#AS2638                                                                      | CUSIP: 3138WB4Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67820 | PA      | $69475.71      | 0.00%             | 2044-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 12/01/2031#G18622                                                                    | CUSIP: 3128MMVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15164 | PA      | $14690.29      | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2044#AS3470                                                                      | CUSIP: 3138WC2C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1551 | PA      | $1516.57       | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2046#AS8579                                                                      | CUSIP: 3138WJQ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2330497 | PA      | $2115528.12    | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 11/46#MA4126                                                                             | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     976970 | PA      | $894379.07     | 0.00%             | 2046-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 4.2% 01/15/2047                                                              | CUSIP: 91324PCX8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    2859000 | PA      | $2383302.54    | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2031#BA4786                                                                      | CUSIP: 3140E9J80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31394 | PA      | $30806.02      | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/01/2031#BD4213                                                                      | CUSIP: 3140FBVF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22380 | PA      | $21876.75      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 05/01/2031#AS7631                                                                      | CUSIP: 3138WHPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319605 | PA      | $313540.39     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2031#AS7437                                                                    | CUSIP: 3138WHHP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2547788 | PA      | $2470306.58    | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/01/2029#AX1412                                                                      | CUSIP: 3138Y2SA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269250 | PA      | $264951.30     | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2030#AY9541                                                                      | CUSIP: 3138YPS78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4195 | PA      | $4128.28       | 0.00%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2031#BD3159                                                                    | CUSIP: 3140FAQM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36828 | PA      | $35667.18      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2031#BE0146                                                                    | CUSIP: 3140FKEU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21612 | PA      | $20946.72      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2031#MA2868                                                                    | CUSIP: 31418CFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17202 | PA      | $16646.40      | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 4.5% 03/09/2048                                                                        | CUSIP: 00206RDJ8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    6502000 | PA      | $5482079.83    | 0.01%             | 2048-03-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2031#AS8226                                                                    | CUSIP: 3138WJD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110426 | PA      | $106902.91     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 11/20/2046#MA4069                                                                      | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      94815 | PA      | $89112.29      | 0.00%             | 2046-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 07/20/2046#MA3801                                                                      | CUSIP: 36179SGJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     256760 | PA      | $228062.75     | 0.00%             | 2046-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 03/20/2045#MA2676                                                                      | CUSIP: 36179Q6M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46665 | PA      | $41608.80      | 0.00%             | 2045-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 01/20/2045#MA2519                                                                      | CUSIP: 36179QYQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67294 | PA      | $60137.40      | 0.00%             | 2045-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 10/20/2046#MA4006                                                                      | CUSIP: 36179SNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26603 | PA      | $26667.65      | 0.00%             | 2046-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 11/20/2045#MA3247                                                                        | CUSIP: 36179RTC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23185 | PA      | $23702.54      | 0.00%             | 2045-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                              | UNION PACIFIC CORP 3.799% 10/01/2051                                                                | CUSIP: 907818EM6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    2224000 | PA      | $1717848.62    | 0.00%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 05/15/2041#734425                                                                      | CUSIP: 3620AM4J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23030 | PA      | $22488.12      | 0.00%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEWLETT PACKARD ENTERPRISE CO                                                   | HEWLETT PACKARD ENTERPRISE CO VAR 10/15/2045                                                        | CUSIP: 42824CAY5<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |    1493000 | PA      | $1546212.94    | 0.00%             | 2045-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 08/01/2043#Q20527                                                                      | CUSIP: 3132JMSQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76836 | PA      | $71332.24      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 08/01/2043#Q20647                                                                      | CUSIP: 3132JMWG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31140 | PA      | $28759.76      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 06/01/2043#Q19379                                                                      | CUSIP: 3132JA2M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3040 | PA      | $2828.20       | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 06/01/2043#Q19773                                                                      | CUSIP: 3132JBJT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     184370 | PA      | $170628.20     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 07/01/2043#Q20670                                                                      | CUSIP: 3132JMW70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     230282 | PA      | $212447.38     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 01/01/2044#V82592                                                                      | CUSIP: 3132L72Z1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2105402 | PA      | $1950544.23    | 0.00%             | 2044-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 05/01/2043#Q18264                                                                      | CUSIP: 3132J9TW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     224281 | PA      | $207001.48     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 03/01/2043#Q16630                                                                      | CUSIP: 3132J7Y48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     531348 | PA      | $495621.80     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 03/01/2043#V80012                                                                      | CUSIP: 3132L5AM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     499940 | PA      | $464479.48     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 12/01/2042#Q14321                                                                      | CUSIP: 3132HQYS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77097 | PA      | $71448.96      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 12/01/2042#Q14402                                                                      | CUSIP: 3132HQ3K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     138726 | PA      | $128759.38     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 01/01/2043#Q14783                                                                      | CUSIP: 3132HRJ43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148179 | PA      | $137236.35     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/01/2042#G07162                                                                      | CUSIP: 3128M9JF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     589175 | PA      | $546126.33     | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/01/2042#G08507                                                                      | CUSIP: 3128MJR51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105336 | PA      | $97825.52      | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/01/2042#Q12544                                                                      | CUSIP: 3132HNZH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     991572 | PA      | $919844.23     | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/01/2042#Q12612                                                                      | CUSIP: 3132HN3V9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     213935 | PA      | $198005.81     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 09/01/2042#Q11233                                                                      | CUSIP: 3132HMLN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     175038 | PA      | $162740.98     | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 01/01/2043#V82687                                                                      | CUSIP: 3132L76Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1063846 | PA      | $987766.14     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 07/01/2042#C09006                                                                      | CUSIP: 31292SAF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73498 | PA      | $68419.84      | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 07/01/2042#Q09258                                                                      | CUSIP: 3132GUTP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1493 | PA      | $1414.51       | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 07/01/2042#Q09305                                                                      | CUSIP: 3132GUU69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1272016 | PA      | $1182803.95    | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HEWLETT PACKARD ENTERPRISE CO                                                   | HEWLETT PACKARD ENTERPRISE CO VAR 10/15/2035                                                        | CUSIP: 42824CAX7<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |    6390000 | PA      | $6926285.54    | 0.01%             | 2035-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 12/01/2031#G18626                                                                    | CUSIP: 3128MMVU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107365 | PA      | $103968.42     | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 4.95% 01/10/2047                                                                       | CUSIP: 06738EAV7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   12837000 | PA      | $11949539.04   | 0.02%             | 2047-01-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDEX CORP                                                                      | FEDEX CORP 4.4% 01/15/2047                                                                          | CUSIP: 31428XBN5<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |    6356000 | PA      | $5227858.37    | 0.01%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASIAN DEVELOPMENT BANK                                                          | ASIAN DEVELOPMENT BANK 2.625% 01/12/2027                                                            | CUSIP: 045167DU4<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | CORP              | PH        |    5164000 | PA      | $5104814.52    | 0.01%             | 2027-01-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 3.887%/VAR 01/10/2028                                                                 | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3575000 | PA      | $3565557.82    | 0.01%             | 2028-01-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 05/37#G03833                                                                         | CUSIP: 3128M5SW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     307868 | PA      | $320877.72     | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/46#BC1578                                                                           | CUSIP: 3140EVXG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72586 | PA      | $70741.69      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2031#AS8012                                                                    | CUSIP: 3138WH3W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4913 | PA      | $4759.63       | 0.00%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2031#MA2831                                                                      | CUSIP: 31418CED2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15146 | PA      | $14820.22      | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | COMCAST CORP 3.3% 02/01/2027                                                                        | CUSIP: 20030NBY6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    9461000 | PA      | $9385856.48    | 0.01%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 10/20/2046#MA4004                                                                      | CUSIP: 36179SNV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1288694 | PA      | $1211183.84    | 0.00%             | 2046-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 01/47#MA4197                                                                             | CUSIP: 36179SUW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5717636 | PA      | $5551738.32    | 0.01%             | 2047-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                      | MARSH and MCLENNAN COS INC 4.35% 01/30/2047                                                         | CUSIP: 571748BC5<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    2224000 | PA      | $1914914.57    | 0.00%             | 2047-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/47#AS8650                                                                           | CUSIP: 3138WJTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3176889 | PA      | $2883847.15    | 0.00%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | AMGEN INC 4.663% 06/15/2051                                                                         | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    9908000 | PA      | $8683973.01    | 0.01%             | 2051-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC 4.35% 01/17/2027                                                           | CUSIP: 37045XBT2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    6356000 | PA      | $6365099.50    | 0.01%             | 2027-01-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2046#AS8325                                                                      | CUSIP: 3138WJHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1163322 | PA      | $1134493.61    | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                                             | EMERA US FINANCE LP 4.75% 06/15/2046                                                                | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4138000 | PA      | $3575473.62    | 0.01%             | 2046-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 01/01/2047#G08747                                                                      | CUSIP: 3128MJZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3974845 | PA      | $3612401.90    | 0.01%             | 2047-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2044#AW8749                                                                    | CUSIP: 3138XYWK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29528 | PA      | $29664.13      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2046#AS6856                                                                    | CUSIP: 3138WGTN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11471 | PA      | $11499.63      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2047#MA2895                                                                      | CUSIP: 31418CGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187788 | PA      | $170465.74     | 0.00%             | 2047-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2046#BD0421                                                                      | CUSIP: 3140F7PF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7438 | PA      | $7240.05       | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2046#AS7807                                                                    | CUSIP: 3138WHU91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18030 | PA      | $16984.00      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2044#AW5713                                                                    | CUSIP: 3138XVK33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132506 | PA      | $133119.53     | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2045#BA4471                                                                    | CUSIP: 3140E86H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177029 | PA      | $177466.10     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2044#AS3062                                                                    | CUSIP: 3138WCML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19211 | PA      | $19290.17      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2044#AV9574                                                                    | CUSIP: 3138XMT83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61012 | PA      | $61331.71      | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2044#AS1626                                                                    | CUSIP: 3138WAYY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     472166 | PA      | $474608.23     | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2045#AY3886                                                                    | CUSIP: 3138YHJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        956 | PA      | $963.19        | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2044#AL5082                                                                    | CUSIP: 3138EMUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120427 | PA      | $120999.71     | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2044#AS4177                                                                    | CUSIP: 3138WDUB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22835 | PA      | $22955.41      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 08/01/2046#AS7736                                                                      | CUSIP: 3138WHS29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69248 | PA      | $63055.32      | 0.00%             | 2046-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2046#BE1391                                                                      | CUSIP: 3140FLRM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134860 | PA      | $122420.19     | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2046#AS7890                                                                      | CUSIP: 3138WHXU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146327 | PA      | $133241.16     | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2047#BE1976                                                                      | CUSIP: 3140FMFS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236941 | PA      | $215085.53     | 0.00%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                                             | EMERA US FINANCE LP 3.55% 06/15/2026                                                                | CUSIP: 29103DAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2090698.68    | 0.00%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2046#BD8294                                                                      | CUSIP: 3140FGGC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145645 | PA      | $132210.30     | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 4.375% 01/22/2047                                                                    | CUSIP: 61746BEG7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    8818000 | PA      | $7761288.62    | 0.01%             | 2047-01-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2046#AS7253                                                                    | CUSIP: 3138WHBX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17650 | PA      | $17665.71      | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2046#AS7601                                                                      | CUSIP: 3138WHNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66537 | PA      | $64763.69      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2046#BD4225                                                                      | CUSIP: 3140FBVT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17920 | PA      | $16266.99      | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2046#BE4737                                                                      | CUSIP: 3140FQHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18658 | PA      | $16936.66      | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2047#BE2472                                                                      | CUSIP: 3140FMXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1058533 | PA      | $960891.87     | 0.00%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2047#BE2829                                                                      | CUSIP: 3140FNEB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     946564 | PA      | $859251.26     | 0.00%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2046#BD6326                                                                      | CUSIP: 3140FEA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188040 | PA      | $170694.51     | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2045#AZ0870                                                                      | CUSIP: 3138YR6G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7192 | PA      | $6584.84       | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 3.824%/VAR 01/20/2028                                                   | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   17200000 | PA      | $17144000.58   | 0.03%             | 2028-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.443%/VAR 01/20/2048                                                   | CUSIP: 06051GGG8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   12114000 | PA      | $10758714.63   | 0.02%             | 2048-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2031#AS8292                                                                    | CUSIP: 3138WJGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117378 | PA      | $113632.90     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2031#AS8038                                                                    | CUSIP: 3138WH4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     724278 | PA      | $700891.25     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2031#BE0509                                                                    | CUSIP: 3140FKR77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     444871 | PA      | $430344.47     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2031#BE4369                                                                    | CUSIP: 3140FP2B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8252 | PA      | $7989.14       | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2044#AS2284                                                                    | CUSIP: 3138WBRE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11215 | PA      | $11266.12      | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/31#BD5882                                                                         | CUSIP: 3140FDRC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42334 | PA      | $40967.60      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 01/47#MA4194                                                                           | CUSIP: 36179SUT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     899058 | PA      | $794704.95     | 0.00%             | 2047-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 11/46#MA4195                                                                             | CUSIP: 36179SUU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5527173 | PA      | $5059918.94    | 0.01%             | 2047-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 3.85% 01/26/2027                                                      | CUSIP: 38141GWB6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   24021000 | PA      | $23974246.73   | 0.04%             | 2027-01-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2044#AX4116                                                                      | CUSIP: 3138Y5SE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112950 | PA      | $115852.05     | 0.00%             | 2044-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 04/01/2041#AI1200                                                                      | CUSIP: 3138AEKN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     503808 | PA      | $516149.19     | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2046#BC4522                                                                    | CUSIP: 3140F0AY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13719 | PA      | $13766.09      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2045#AY3875                                                                    | CUSIP: 3138YHJV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6985 | PA      | $7050.26       | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB INC                                                        | UTAH ACQUISITION SUB INC 3.95% 06/15/2026                                                           | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |    1355000 | PA      | $1350270.49    | 0.00%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2046#AS8157                                                                    | CUSIP: 3138WJB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104344 | PA      | $104275.86     | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB INC                                                        | UTAH ACQUISITION SUB INC 5.25% 06/15/2046                                                           | CUSIP: 62854AAP9<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |    2622000 | PA      | $2171655.19    | 0.00%             | 2046-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3% 02/15/2047                                                           | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10813300 | PA      | $8346938.30    | 0.01%             | 2047-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.25% 02/15/2027                                                                          | CUSIP: 912828V98<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24750900 | PA      | $24361266.63   | 0.04%             | 2027-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 02/43#MA0784                                                                             | CUSIP: 36179M2R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2694 | PA      | $2632.01       | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2047#MA2920                                                                      | CUSIP: 31418CG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393459 | PA      | $357165.86     | 0.00%             | 2047-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | APPLE INC 4.25% 02/09/2047                                                                          | CUSIP: 037833CH1<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    1986000 | PA      | $1743561.14    | 0.00%             | 2047-02-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                          | FEDERAL HOM 15YR 2.5% 02/01/2032#J36214                                                             | CUSIP: 31307S3X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31666 | PA      | $30664.03      | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 4.125% 03/01/2027                                                                           | CUSIP: 55336VAK6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    7506000 | PA      | $7498741.47    | 0.01%             | 2027-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 5.2% 03/01/2047                                                                             | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    4861000 | PA      | $4379298.09    | 0.01%             | 2047-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/45#AZ4758                                                                         | CUSIP: 3138YWJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22191 | PA      | $22274.04      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2047#BE5790                                                                    | CUSIP: 3140FRNG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     275108 | PA      | $240844.63     | 0.00%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2047#BE4558                                                                    | CUSIP: 3140FQB48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148283 | PA      | $129815.54     | 0.00%             | 2047-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 02/01/2047#G08750                                                                      | CUSIP: 3128MJZQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8845595 | PA      | $8039015.83    | 0.01%             | 2047-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2046#BE3960                                                                      | CUSIP: 3140FPMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1158538 | PA      | $1051672.20    | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2045#AZ6050                                                                      | CUSIP: 3138YXWL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23149 | PA      | $22560.49      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2045#AY3503                                                                      | CUSIP: 3138YG3M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82505 | PA      | $80709.81      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2046#BD2231                                                                      | CUSIP: 3140F9PR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31241 | PA      | $30408.19      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2046#BC1976                                                                      | CUSIP: 3140EWFS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81408 | PA      | $79288.40      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2046#BD3911                                                                      | CUSIP: 3140FBKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32791 | PA      | $31916.85      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2045#BA0108                                                                      | CUSIP: 3140E4DN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249741 | PA      | $243582.03     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2046#BE4143                                                                      | CUSIP: 3140FPS91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57512 | PA      | $55907.45      | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2046#BA3371                                                                      | CUSIP: 3140E7W97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62052 | PA      | $60436.45      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2046#BA4467                                                                      | CUSIP: 3140E86D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     267976 | PA      | $261167.34     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2045#AX4319                                                                      | CUSIP: 3138Y5YR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     401633 | PA      | $392377.04     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2044#AV2267                                                                    | CUSIP: 3138XDQV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35350 | PA      | $35567.78      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2047#AS8799                                                                      | CUSIP: 3138WJX52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1292707 | PA      | $1173464.98    | 0.00%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2046#AL9254                                                                    | CUSIP: 3138ERH86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93987 | PA      | $94072.66      | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2044#AY0343                                                                    | CUSIP: 3138YDLZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67698 | PA      | $68055.28      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2047#BD2446                                                                      | CUSIP: 3140F9WG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2406600 | PA      | $2184610.66    | 0.00%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2047#MA2938                                                                    | CUSIP: 31418CHQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     525509 | PA      | $524508.63     | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2047#MA2896                                                                    | CUSIP: 31418CGE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205095 | PA      | $192880.35     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/46#AS7191                                                                           | CUSIP: 3138WG7D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     368967 | PA      | $359362.14     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2046#BC7156                                                                      | CUSIP: 3140F25S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8908 | PA      | $8666.51       | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAP CORP                                                               | NOVARTIS CAP CORP 3.1% 05/17/2027                                                                   | CUSIP: 66989HAN8<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |    4679000 | PA      | $4640516.49    | 0.01%             | 2027-05-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 3.65% 03/01/2047                                                                          | CUSIP: 097023BV6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    2192000 | PA      | $1616805.17    | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 02/47#MA4262                                                                           | CUSIP: 36179SWX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     339333 | PA      | $318922.93     | 0.00%             | 2047-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2032#AS8602                                                                    | CUSIP: 3138WJRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222842 | PA      | $215647.61     | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2030#BA5942                                                                    | CUSIP: 3140EAS87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6919 | PA      | $6732.98       | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2031#BD2211                                                                    | CUSIP: 3140F9N50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6737 | PA      | $6531.64       | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2031#BD5535                                                                    | CUSIP: 3140FDEH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31007 | PA      | $30041.13      | 0.00%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2031#BD8832                                                                    | CUSIP: 3140FGY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16743 | PA      | $16209.57      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2032#MA2903                                                                      | CUSIP: 31418CGM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70220 | PA      | $68677.77      | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2032#MA2931                                                                      | CUSIP: 31418CHH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115070 | PA      | $112516.38     | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 02/47#MA4261                                                                             | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5011169 | PA      | $4587536.61    | 0.01%             | 2047-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 02/20/2047#MA4260                                                                      | CUSIP: 36179SWV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     420904 | PA      | $372016.02     | 0.00%             | 2047-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 10/20/2046#MA4007                                                                        | CUSIP: 36179SNY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67211 | PA      | $68666.73      | 0.00%             | 2046-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 12/20/2046#MA4125                                                                      | CUSIP: 36179SSN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     378787 | PA      | $334965.34     | 0.00%             | 2046-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 05/46#MA3665                                                                           | CUSIP: 36179SCA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134158 | PA      | $134381.35     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 11/46#MA4071                                                                           | CUSIP: 36179SQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51245 | PA      | $51336.17      | 0.00%             | 2046-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LYB INTERNATIONAL FINANCE II BV                                                 | LYB INTERNATIONAL FINANCE II BV 3.5% 03/02/2027                                                     | CUSIP: 50247WAB3<br>LEI: 549300ZSNDBYN4Z4VZ93 | Long             | DBT              | CORP              | NL        |   19438000 | PA      | $19325368.45   | 0.03%             | 2027-03-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/47#MA2872                                                                         | CUSIP: 31418CFN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44070 | PA      | $44040.87      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2047#BE5910                                                                    | CUSIP: 3140FRR80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3180 | PA      | $3177.70       | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHNSON and JOHNSON                                                             | JOHNSON and JOHNSON 3.625% 03/03/2037                                                               | CUSIP: 478160CF9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    3177000 | PA      | $2911682.66    | 0.00%             | 2037-03-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 03/01/2031#AL9421                                                                      | CUSIP: 3138ERPF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92666 | PA      | $92503.24      | 0.00%             | 2031-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 09/01/2040#G60558                                                                    | CUSIP: 31335ATP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     548392 | PA      | $573612.26     | 0.00%             | 2040-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2045#AL9934                                                                      | CUSIP: 3138ESBC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369324 | PA      | $378219.11     | 0.00%             | 2045-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMISIONES SAU                                                        | TELEFONICA EMISIONES SAU 5.213% 03/08/2047                                                          | CUSIP: 87938WAU7<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |    5203000 | PA      | $4644959.88    | 0.01%             | 2047-03-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMISIONES SAU                                                        | TELEFONICA EMISIONES SAU 4.103% 03/08/2027                                                          | CUSIP: 87938WAT0<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |   10645000 | PA      | $10631512.89   | 0.02%             | 2027-03-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                | BRIXMOR OPERATING PARTNERSHIP LP 3.9% 03/15/2027                                                    | CUSIP: 11120VAE3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    4480000 | PA      | $4467261.03    | 0.01%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2046#BD9979                                                                    | CUSIP: 3140FJCR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1634096 | PA      | $1536776.57    | 0.00%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2046#BD1599                                                                    | CUSIP: 3140F8X51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1005821 | PA      | $947490.00     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/46#BD7490                                                                         | CUSIP: 3140FFKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1279310 | PA      | $1203119.63    | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/46#BD7950                                                                         | CUSIP: 3140FFZQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200097 | PA      | $188180.56     | 0.00%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2046#BE4015                                                                    | CUSIP: 3140FPN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1106892 | PA      | $1040970.02    | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                | GEORGIA POWER CO 3.25% 03/30/2027                                                                   | CUSIP: 373334KH3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    6781000 | PA      | $6726335.24    | 0.01%             | 2027-03-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                  | MCDONALDS CORP 4.45% 03/01/2047                                                                     | CUSIP: 58013MFC3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    4511000 | PA      | $3919775.75    | 0.01%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/46#BC1168                                                                           | CUSIP: 3140EVJN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60667 | PA      | $59049.61      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                  | BURLINGTON NORTHN SANTA FE LLC 4.125% 06/15/2047                                                    | CUSIP: 12189LBB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2264000 | PA      | $1895095.10    | 0.00%             | 2047-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                  | BURLINGTON NORTHN SANTA FE LLC 3.25% 06/15/2027                                                     | CUSIP: 12189LBA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5958000 | PA      | $5915663.23    | 0.01%             | 2027-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 3.75% 03/09/2027                                                               | CUSIP: 14040HBN4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   28095000 | PA      | $27974879.55   | 0.04%             | 2027-03-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 3.375% 04/15/2027                                                            | CUSIP: 91324PCY6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    4289000 | PA      | $4258826.84    | 0.01%             | 2027-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 03/01/2032#AS9321                                                                    | CUSIP: 3138WKLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7872 | PA      | $7609.16       | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2047#BE9210                                                                      | CUSIP: 3140FVGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172345 | PA      | $156447.78     | 0.00%             | 2047-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2046#BC6308                                                                    | CUSIP: 3140F2AJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39354 | PA      | $34477.20      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/01/2046#BC8395                                                                    | CUSIP: 3140F4KH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     243677 | PA      | $213480.51     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2046#BC7362                                                                    | CUSIP: 3140F3FC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     192885 | PA      | $181699.03     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2046#BC8144                                                                      | CUSIP: 3140F4BN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179630 | PA      | $163060.89     | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2046#BC8145                                                                      | CUSIP: 3140F4BP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189433 | PA      | $171959.47     | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2046#BD5545                                                                      | CUSIP: 3140FDET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1163974 | PA      | $1056607.16    | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2046#AS8453                                                                      | CUSIP: 3138WJMB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176836 | PA      | $160524.26     | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2047#BD3985                                                                      | CUSIP: 3140FBNB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93467 | PA      | $85108.63      | 0.00%             | 2047-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2047#BE6833                                                                      | CUSIP: 3140FSSX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145133 | PA      | $131745.23     | 0.00%             | 2047-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2046#AS8482                                                                      | CUSIP: 3138WJM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339924 | PA      | $308568.65     | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2046#AZ3808                                                                    | CUSIP: 3138YVGS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107153 | PA      | $100938.88     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2046#BE2190                                                                    | CUSIP: 3140FMNG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     336076 | PA      | $316061.23     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2046#AS6987                                                                    | CUSIP: 3138WGXR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71518 | PA      | $67460.28      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2046#BC9096                                                                    | CUSIP: 3140F5DA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     650271 | PA      | $611544.02     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2047#AS8862                                                                    | CUSIP: 3138WJZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142110 | PA      | $133646.37     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 03/01/2047#G08756                                                                      | CUSIP: 3128MJZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     255560 | PA      | $232256.85     | 0.00%             | 2047-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 01/01/2047#Q45872                                                                      | CUSIP: 3132WKQ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10595 | PA      | $9629.29       | 0.00%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2047#BE7286                                                                      | CUSIP: 3140FTCY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     296584 | PA      | $271265.58     | 0.00%             | 2047-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2046#BD7003                                                                      | CUSIP: 3140FEX90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1263715 | PA      | $1147147.60    | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2046#BD6996                                                                      | CUSIP: 3140FEX25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     298130 | PA      | $270629.97     | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2046#BD7008                                                                      | CUSIP: 3140FEYE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158398 | PA      | $143786.78     | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 08/01/2026#AI8870                                                                      | CUSIP: 3138AN2C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40917 | PA      | $40796.27      | 0.00%             | 2026-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                                   | DTE ENERGY CO 3.8% 03/15/2027                                                                       | CUSIP: 233331AZ0<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |   10732000 | PA      | $10641154.69   | 0.02%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/47#MA2974                                                                         | CUSIP: 31418CJU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13269 | PA      | $13243.49      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 12/01/2039#AC8524                                                                    | CUSIP: 31417VPJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158746 | PA      | $165856.55     | 0.00%             | 2039-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 04/20/2045#MA2758                                                                      | CUSIP: 36179RB32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     227169 | PA      | $235602.73     | 0.00%             | 2045-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 4.125% 03/16/2027                                                        | CUSIP: 92343VDY7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    5561000 | PA      | $5569941.37    | 0.01%             | 2027-03-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2032#MA2898                                                                    | CUSIP: 31418CGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145512 | PA      | $140758.26     | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/01/2031#BE3314                                                                      | CUSIP: 3140FNVG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16738 | PA      | $16374.73      | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/01/2030#BD0167                                                                      | CUSIP: 3140F7FH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7946 | PA      | $7816.22       | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2031#BC1941                                                                      | CUSIP: 3140EWEP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17833 | PA      | $17490.30      | 0.00%             | 2031-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 07/01/2031#BC1467                                                                      | CUSIP: 3140EVTZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13576 | PA      | $13289.47      | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2031#BA4768                                                                      | CUSIP: 3140E9JN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     479431 | PA      | $470574.44     | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2030#AZ8225                                                                      | CUSIP: 3140E1D75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22780 | PA      | $22348.79      | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 06/01/2030#AZ2444                                                                      | CUSIP: 3138YTWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30332 | PA      | $29813.05      | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 07/01/2030#AZ2180                                                                      | CUSIP: 3138YTM68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95013 | PA      | $93404.93      | 0.00%             | 2030-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2030#AY6340                                                                      | CUSIP: 3138YLBJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5536 | PA      | $5465.38       | 0.00%             | 2030-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2030#AY4153                                                                      | CUSIP: 3138YHTK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50024 | PA      | $49225.33      | 0.00%             | 2030-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2030#AY3731                                                                      | CUSIP: 3138YHED8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5640 | PA      | $5540.90       | 0.00%             | 2030-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2030#AY3002                                                                      | CUSIP: 3138YGKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        455 | PA      | $452.66        | 0.00%             | 2030-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2030#AY1709                                                                      | CUSIP: 3138YE3T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9801 | PA      | $9628.97       | 0.00%             | 2030-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2030#AY0491                                                                      | CUSIP: 3138YDRM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42759 | PA      | $42106.47      | 0.00%             | 2030-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/01/2029#AY0145                                                                      | CUSIP: 3138YDET2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5229 | PA      | $5144.41       | 0.00%             | 2029-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2030#AY0857                                                                      | CUSIP: 3138YD5T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8059 | PA      | $8005.54       | 0.00%             | 2030-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2030#AX9419                                                                      | CUSIP: 3138YBPD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67083 | PA      | $65991.10      | 0.00%             | 2030-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2030#AX8286                                                                      | CUSIP: 3138YAF42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27143 | PA      | $26713.35      | 0.00%             | 2030-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2030#AX7708                                                                      | CUSIP: 3138Y9R67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50541 | PA      | $49698.47      | 0.00%             | 2030-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2030#AX7675                                                                      | CUSIP: 3138Y9Q50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16196 | PA      | $15929.50      | 0.00%             | 2030-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2029#AX6463                                                                      | CUSIP: 3138Y8FD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6373 | PA      | $6276.28       | 0.00%             | 2029-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/01/2029#AX5113                                                                      | CUSIP: 3138Y6VF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4464 | PA      | $4390.09       | 0.00%             | 2029-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2029#AX2334                                                                      | CUSIP: 3138Y3SY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23239 | PA      | $22867.78      | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2029#AX2203                                                                      | CUSIP: 3138Y3NV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25697 | PA      | $25286.35      | 0.00%             | 2029-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 07/01/2029#AW9290                                                                      | CUSIP: 3138XZKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4943 | PA      | $4871.62       | 0.00%             | 2029-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2029#AW4170                                                                      | CUSIP: 3138XTT47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20573 | PA      | $20273.91      | 0.00%             | 2029-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2031#AS8608                                                                      | CUSIP: 3138WJR67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13077 | PA      | $12826.50      | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2032#AS8896                                                                      | CUSIP: 3138WJ3E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15521 | PA      | $15173.71      | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 03/01/2032#MA2921                                                                    | CUSIP: 31418CG73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214423 | PA      | $207337.95     | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2031#BC4777                                                                    | CUSIP: 3140F0JX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5971 | PA      | $5784.50       | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 11/20/2046#MA4073                                                                      | CUSIP: 36179SQ26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143886 | PA      | $149272.40     | 0.00%             | 2046-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 01/20/2047#MA4320                                                                        | CUSIP: 36179SYR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     257466 | PA      | $235700.51     | 0.00%             | 2047-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                   | SOUTHERN CALIFORNIA EDISON CO 4% 04/01/2047                                                         | CUSIP: 842400GG2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    7944000 | PA      | $6089120.49    | 0.01%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 3.85% 04/01/2027                                                        | CUSIP: 92277GAL1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    7547000 | PA      | $7523561.36    | 0.01%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY OP LLC                                                             | KIMCO REALTY OP LLC 3.8% 04/01/2027                                                                 | CUSIP: 49446RAS8<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |    3177000 | PA      | $3171027.24    | 0.00%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| APPLIED MATERIALS INC                                                           | APPLIED MATERIALS INC 4.35% 04/01/2047                                                              | CUSIP: 038222AM7<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | DBT              | CORP              | US        |   10263000 | PA      | $9034143.17    | 0.01%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                              | UNION PACIFIC CORP 3% 04/15/2027                                                                    | CUSIP: 907818EP9<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    3972000 | PA      | $3927186.59    | 0.01%             | 2027-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 03/01/2047#G08758                                                                      | CUSIP: 3128MJZY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3272868 | PA      | $3176002.39    | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/01/2037#AB8016                                                                      | CUSIP: 31417E4A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20813 | PA      | $21228.84      | 0.00%             | 2037-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 04/35#AB0113                                                                           | CUSIP: 31416VDT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58897 | PA      | $60131.04      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 02/01/2039#AL6417                                                                    | CUSIP: 3138EPDX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     623756 | PA      | $647473.89     | 0.00%             | 2039-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/47#Q45899                                                                           | CUSIP: 3132WKRV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1482785 | PA      | $1440753.19    | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 04/20/2047#MA4383                                                                        | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6182403 | PA      | $5995291.65    | 0.01%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QUEBEC PROVINCE CDA                                                             | QUEBEC PROVINCE CDA 2.75% 04/12/2027                                                                | CUSIP: 748149AN1<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |   10154000 | PA      | $10022749.40   | 0.01%             | 2027-04-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 06/01/2046#AS7375                                                                      | CUSIP: 3138WHFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1218375 | PA      | $1109416.82    | 0.00%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2032#BD2471                                                                    | CUSIP: 3140F9W92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6857 | PA      | $6635.75       | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                    | AUTOZONE INC 3.75% 06/01/2027                                                                       | CUSIP: 053332AV4<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    4611000 | PA      | $4589408.90    | 0.01%             | 2027-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2046#AS7106                                                                    | CUSIP: 3138WG3Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     498288 | PA      | $469390.92     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2046#BC0644                                                                    | CUSIP: 3140EUWE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16694 | PA      | $14624.92      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2046#BC6453                                                                    | CUSIP: 3140F2E30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17791 | PA      | $15586.40      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/01/2046#BC8652                                                                    | CUSIP: 3140F4TJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61791 | PA      | $54133.96      | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2046#BD6965                                                                      | CUSIP: 3140FEW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19104 | PA      | $17341.99      | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2046#BE0397                                                                      | CUSIP: 3140FKNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24815 | PA      | $22596.01      | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2047#BE4330                                                                      | CUSIP: 3140FPY45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117170 | PA      | $106362.22     | 0.00%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2044#AL5780                                                                    | CUSIP: 3138ENM63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34393 | PA      | $34578.12      | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 03/01/2032#G18636                                                                      | CUSIP: 3128MMV67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2498637 | PA      | $2445764.71    | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2032#AS8712                                                                    | CUSIP: 3138WJVE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     247892 | PA      | $239613.55     | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 09/31#J35336                                                                         | CUSIP: 31307R4V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4802 | PA      | $4654.96       | 0.00%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 3.54%/VAR 05/01/2028                                                          | CUSIP: 46647PAF3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   13504000 | PA      | $13414446.87   | 0.02%             | 2028-05-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2047#G08762                                                                      | CUSIP: 3128MJZ45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     968887 | PA      | $940211.58     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 09/20/2046#MA3938                                                                        | CUSIP: 36179SLT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     375627 | PA      | $365315.27     | 0.00%             | 2046-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 04/20/2047#MA4381                                                                        | CUSIP: 36179S2N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1440829 | PA      | $1319024.66    | 0.00%             | 2047-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2031#MA2596                                                                      | CUSIP: 31418B3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139818 | PA      | $137097.93     | 0.00%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 05/01/2031#AS7086                                                                      | CUSIP: 3138WG2U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27782 | PA      | $27248.45      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2032#MA2997                                                                      | CUSIP: 31418CKK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103034 | PA      | $100699.91     | 0.00%             | 2032-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2032#BE7004                                                                      | CUSIP: 3140FSYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40253 | PA      | $39370.18      | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 08/20/2046#MA3877                                                                        | CUSIP: 36179SJW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     262990 | PA      | $268817.09     | 0.00%             | 2046-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2047#MA2930                                                                      | CUSIP: 31418CHG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74064 | PA      | $71788.64      | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 3.705%/VAR 04/24/2028                                                   | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6991000 | PA      | $6954937.84    | 0.01%             | 2028-04-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 08/20/2046#MA3876                                                                      | CUSIP: 36179SJV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     981232 | PA      | $982985.02     | 0.00%             | 2046-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2032#AS9336                                                                      | CUSIP: 3138WKLS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72321 | PA      | $70700.34      | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2032#BE7024                                                                      | CUSIP: 3140FSYW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13579 | PA      | $13271.69      | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 07/01/2030#AZ5972                                                                      | CUSIP: 3138YXT62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47384 | PA      | $46532.06      | 0.00%             | 2030-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2032#AS8894                                                                      | CUSIP: 3138WJ3C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     553000 | PA      | $540735.06     | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 03/20/2047#MA4319                                                                      | CUSIP: 36179SYQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50495 | PA      | $44659.72      | 0.00%             | 2047-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 4.05% 05/03/2047                                                                      | CUSIP: 548661DQ7<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    9135000 | PA      | $7350487.43    | 0.01%             | 2047-05-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.244%/VAR 04/24/2038                                                   | CUSIP: 06051GGM5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1889012.60    | 0.00%             | 2038-04-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2032#BE2377                                                                      | CUSIP: 3140FMUB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218052 | PA      | $213161.98     | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/01/2030#AZ7491                                                                      | CUSIP: 3140E0KD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3649 | PA      | $3582.21       | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 04/47#MA4382                                                                           | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     294090 | PA      | $276125.78     | 0.00%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTLAKE CORP                                                                   | WESTLAKE CORP 5% 08/15/2046                                                                         | CUSIP: 960413AS1<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1366916.70    | 0.00%             | 2046-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| S and P GLOBAL INC                                                              | S and P GLOBAL INC 2.95% 01/22/2027                                                                 | CUSIP: 78409VAM6<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    4833000 | PA      | $4782943.85    | 0.01%             | 2027-01-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KAISER FNDTN HOSPS                                                              | KAISER FNDTN HOSPS 4.15% 05/01/2047                                                                 | CUSIP: 48305QAD5<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    5204000 | PA      | $4406578.07    | 0.01%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                       | CLECO CORPORATE HLDGS LLC 3.743% 05/01/2026                                                         | CUSIP: 18551PAC3<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |    4496000 | PA      | $4479077.42    | 0.01%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                        | CSX CORP 3.25% 06/01/2027                                                                           | CUSIP: 126408HH9<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    3972000 | PA      | $3935474.00    | 0.01%             | 2027-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 8/38#G05505                                                                          | CUSIP: 3128M7NW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19190 | PA      | $19971.25      | 0.00%             | 2038-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 5% 8/39#724247                                                                            | CUSIP: 3620AATC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37754 | PA      | $38555.54      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2047#G08757                                                                    | CUSIP: 3128MJZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18008 | PA      | $16949.96      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 4.836% 05/09/2028                                                                      | CUSIP: 06738EAW5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    7626000 | PA      | $7674270.67    | 0.01%             | 2028-05-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SHERWIN WILLIAMS CO                                                             | SHERWIN WILLIAMS CO 4.5% 06/01/2047                                                                 | CUSIP: 824348AX4<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    6776000 | PA      | $5880674.52    | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SHERWIN WILLIAMS CO                                                             | SHERWIN WILLIAMS CO 3.45% 06/01/2027                                                                | CUSIP: 824348AW6<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |   17609000 | PA      | $17451729.97   | 0.03%             | 2027-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                        | RTX CORP 4.05% 05/04/2047                                                                           | CUSIP: 913017CP2<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    1851000 | PA      | $1524612.34    | 0.00%             | 2047-05-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                        | CONSTELLATION BRANDS INC 3.5% 05/09/2027                                                            | CUSIP: 21036PAS7<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    7944000 | PA      | $7882288.86    | 0.01%             | 2027-05-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3% 05/15/2047                                                           | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19395700 | PA      | $14934689.00   | 0.02%             | 2047-05-15      | 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 3.224% 03/25/2027                                                    | CUSIP: 3137BXQY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13702081 | PA      | $13588038.58   | 0.02%             | 2027-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2047#MA2995                                                                      | CUSIP: 31418CKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     167016 | PA      | $161885.81     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | APPLE INC 3.2% 05/11/2027                                                                           | CUSIP: 037833CR9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   13008000 | PA      | $12926318.87   | 0.02%             | 2027-05-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| BANK 2017-BNK4                                                                  | BANK 2017-BNK4 ASB 3.419 05/15/2050                                                                 | CUSIP: 06541FAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3830546 | PA      | $3812554.27    | 0.01%             | 2050-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                      | INTEL CORP 4.1% 05/11/2047                                                                          | CUSIP: 458140AY6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    1906000 | PA      | $1475520.50    | 0.00%             | 2047-05-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 05/20/2047#MA4452                                                                        | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5802038 | PA      | $5626438.34    | 0.01%             | 2047-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2045#AZ7217                                                                      | CUSIP: 3140E0AT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70678 | PA      | $69124.12      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2046#AS7960                                                                    | CUSIP: 3138WHZ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86248 | PA      | $86326.09      | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2047#MA2960                                                                      | CUSIP: 31418CJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     563148 | PA      | $545848.85     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2047#AL9865                                                                      | CUSIP: 3138ER6B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5903161 | PA      | $5358643.12    | 0.01%             | 2047-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2046#AL9285                                                                    | CUSIP: 3138ERJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61733 | PA      | $58153.36      | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#AL9603                                                                    | CUSIP: 3138ERU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14989 | PA      | $14096.04      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2046#AL8960                                                                    | CUSIP: 3138ET5W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29025 | PA      | $29164.36      | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12046#BM2001                                                                         | CUSIP: 3140J6GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208773 | PA      | $196665.90     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2046#AS7770                                                                    | CUSIP: 3138WHT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1101163 | PA      | $1102164.30    | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2046#AS8381                                                                    | CUSIP: 3138WJJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     697030 | PA      | $696574.00     | 0.00%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2047#AS9579                                                                    | CUSIP: 3138WKUD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48452 | PA      | $45566.27      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2044#AV8417                                                                    | CUSIP: 3138XLK76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45273 | PA      | $45483.61      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2044#AW5110                                                                    | CUSIP: 3138XUVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124956 | PA      | $125563.84     | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2044#AX0884                                                                    | CUSIP: 3138Y16W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108348 | PA      | $108920.03     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2044#AX2905                                                                    | CUSIP: 3138Y4GP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93101 | PA      | $93592.80      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2044#AX8241                                                                    | CUSIP: 3138YAEP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4219 | PA      | $4241.05       | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 03/01/2045#AY2617                                                                    | CUSIP: 3138YF4B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39488 | PA      | $37342.53      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2045#AY6522                                                                    | CUSIP: 3138YLG88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73693 | PA      | $69745.80      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2046#BC1442                                                                    | CUSIP: 3140EVS81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6400 | PA      | $6028.85       | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2046#BC1507                                                                    | CUSIP: 3140EVU96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2909 | PA      | $2911.70       | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2046#BC4527                                                                    | CUSIP: 3140F0A53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12433 | PA      | $12463.81      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2046#BC4766                                                                    | CUSIP: 3140F0JL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25850 | PA      | $25833.49      | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2046#BD1979                                                                    | CUSIP: 3140F9FV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25825 | PA      | $25848.94      | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2046#BD1980                                                                    | CUSIP: 3140F9FW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36785 | PA      | $36818.17      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2046#BD5598                                                                    | CUSIP: 3140FDGG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4097 | PA      | $4094.46       | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2046#BD5602                                                                    | CUSIP: 3140FDGL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164577 | PA      | $164469.88     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2047#BE4428                                                                    | CUSIP: 3140FP4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     413571 | PA      | $412783.53     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2046#BE4716                                                                    | CUSIP: 3140FQG27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55603 | PA      | $55567.04      | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2047#BE7682                                                                    | CUSIP: 3140FTRC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46619 | PA      | $46588.35      | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2045#BM1164                                                                    | CUSIP: 3140J5JJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1895755 | PA      | $1787299.90    | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2047#BM2000                                                                    | CUSIP: 3140J6GJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4349 | PA      | $4089.81       | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2046#MA2724                                                                    | CUSIP: 31418CA20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6851 | PA      | $6856.98       | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2046#MA2783                                                                    | CUSIP: 31418CCV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166913 | PA      | $167064.94     | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2046#MA2836                                                                    | CUSIP: 31418CEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60956 | PA      | $60916.36      | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2047#MA2994                                                                    | CUSIP: 31418CKG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292582 | PA      | $275065.24     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2047#MA3038                                                                    | CUSIP: 31418CLU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3626 | PA      | $3618.65       | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2046#AL8208                                                                    | CUSIP: 3138ETDN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2342 | PA      | $2347.67       | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2044#AX1740                                                                    | CUSIP: 3138Y25A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6509 | PA      | $6547.06       | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/32#AS9505                                                                           | CUSIP: 3138WKR31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177263 | PA      | $173290.57     | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                    | NISOURCE INC 4.375% 05/15/2047                                                                      | CUSIP: 65473QBF9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    3797000 | PA      | $3205735.64    | 0.00%             | 2047-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                    | NISOURCE INC 3.49% 05/15/2027                                                                       | CUSIP: 65473QBE2<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    6076000 | PA      | $6030970.95    | 0.01%             | 2027-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NSTAR ELEC CO                                                                   | NSTAR ELEC CO 3.2% 05/15/2027                                                                       | CUSIP: 67021CAM9<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |    6076000 | PA      | $6011254.27    | 0.01%             | 2027-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2032#MA2964                                                                      | CUSIP: 31418CJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172561 | PA      | $168731.03     | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/01/2030#BA2811                                                                      | CUSIP: 3140E7DR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36350 | PA      | $35704.41      | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 05/01/2032#AS9531                                                                      | CUSIP: 3138WKSV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140429 | PA      | $137282.51     | 0.00%             | 2032-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2043#AL9612                                                                    | CUSIP: 3138ERVE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     690794 | PA      | $658324.11     | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2032#BD7101                                                                      | CUSIP: 3140FE3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     922971 | PA      | $902067.38     | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2032#AS9334                                                                      | CUSIP: 3138WKLQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17357 | PA      | $16967.63      | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 05/01/2032#BH1267                                                                      | CUSIP: 3140GPMR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251797 | PA      | $246096.66     | 0.00%             | 2032-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2032#BE6688                                                                    | CUSIP: 3140FSNE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36074 | PA      | $34922.09      | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2047#G08761                                                                    | CUSIP: 3128MJZ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38297 | PA      | $36045.94      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 3.584%/VAR 05/22/2028                                                        | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    8313000 | PA      | $8252190.07    | 0.01%             | 2028-05-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 06/47#MA4511                                                                             | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     329582 | PA      | $319607.21     | 0.00%             | 2047-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 05/20/2047#MA4450                                                                        | CUSIP: 36179S5K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     803633 | PA      | $735695.96     | 0.00%             | 2047-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 04/20/2047#MA4384                                                                      | CUSIP: 36179S2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     937002 | PA      | $938925.68     | 0.00%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                                                        | EUROPEAN INVESTMENT BANK 2.375% 05/24/2027                                                          | CUSIP: 298785HM1<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | CORP              | LU        |    3177000 | PA      | $3121604.78    | 0.00%             | 2027-05-24      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                  | EPR PPTYS 4.5% 06/01/2027                                                                           | CUSIP: 26884UAD1<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2001124.82    | 0.00%             | 2027-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2046#AS8154                                                                    | CUSIP: 3138WJBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1953 | PA      | $1955.21       | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                                           | ENTERGY LOUISIANA LLC 3.12% 09/01/2027                                                              | CUSIP: 29364WAZ1<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1577786.27    | 0.00%             | 2027-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                                                    | QUALCOMM INC 4.3% 05/20/2047                                                                        | CUSIP: 747525AV5<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    8023000 | PA      | $6868147.00    | 0.01%             | 2047-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON and CO                                                         | BECTON DICKINSON and CO 3.7% 06/06/2027                                                             | CUSIP: 075887BW8<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |   22048000 | PA      | $21921020.50   | 0.03%             | 2027-06-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                  | CANADIAN NATL RESOURCES LTD 4.95% 06/01/2047                                                        | CUSIP: 136385AY7<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    5084000 | PA      | $4510841.13    | 0.01%             | 2047-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JAPAN BANK INTERNATIONAL COOPERATION                                            | JAPAN BANK INTL COOPERATION 2.875% 06/01/2027                                                       | CUSIP: 471048BE7<br>LEI: 549300TJ3QFYVCTSCJ29 | Long             | DBT              | CORP              | JP        |    6038000 | PA      | $5962745.57    | 0.01%             | 2027-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                  | HOME DEPOT INC 3.9% 06/15/2047                                                                      | CUSIP: 437076BS0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    6813000 | PA      | $5501603.17    | 0.01%             | 2047-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                         | AEP TRANSMISSION CO LLC 4% 12/01/2046                                                               | CUSIP: 00115AAF6<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2457213.21    | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 3.75% 06/15/2027                                                                   | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   18557000 | PA      | $18431437.21   | 0.03%             | 2027-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 04/20/2047#MA4385                                                                        | CUSIP: 36179S2S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     262101 | PA      | $268104.66     | 0.00%             | 2047-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 01/20/2047#MA4198                                                                      | CUSIP: 36179SUX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1598538 | PA      | $1603318.54    | 0.00%             | 2047-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 04/01/2047#AS9444                                                                      | CUSIP: 3138WKP66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62837 | PA      | $64196.18      | 0.00%             | 2047-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 07/01/2029#AS2788                                                                    | CUSIP: 3138WCC27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1827 | PA      | $1813.93       | 0.00%             | 2029-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 3% 05/01/2026#MA2629                                                                      | CUSIP: 31418B4P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        495 | PA      | $492.78        | 0.00%             | 2026-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2047#MA2959                                                                    | CUSIP: 31418CJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2393768 | PA      | $2243425.94    | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2047#AS9394                                                                    | CUSIP: 3138WKNL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     283502 | PA      | $282962.75     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 09/01/2044#AW8345                                                                      | CUSIP: 3138XYHX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5031 | PA      | $5160.28       | 0.00%             | 2044-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 11/01/2036#MA2817                                                                    | CUSIP: 31418CDX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97111 | PA      | $90586.74      | 0.00%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 04/01/2043#V80006                                                                      | CUSIP: 3132L5AF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111271 | PA      | $103400.67     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2047#V83157                                                                    | CUSIP: 3132L8QJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8254 | PA      | $8248.09       | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 11/15/2044#AK0616                                                                      | CUSIP: 36183HVH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34807 | PA      | $33748.29      | 0.00%             | 2044-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 02/32#G18631                                                                         | CUSIP: 3128MMVZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90965 | PA      | $88053.65      | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 06/32#G18648                                                                         | CUSIP: 3128MMWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22334 | PA      | $22115.35      | 0.00%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 3.691%/VAR 06/05/2028                                                 | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   14113000 | PA      | $14017216.62   | 0.02%             | 2028-06-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                                                             | CARDINAL HEALTH INC 4.368% 06/15/2047                                                               | CUSIP: 14149YBM9<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |   11033000 | PA      | $9326841.88    | 0.01%             | 2047-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/01/2047#G08767                                                                      | CUSIP: 3128MJZ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1011201 | PA      | $981273.31     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2047#AS8699                                                                      | CUSIP: 3138WJUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3143 | PA      | $3050.27       | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                          | CONSOLIDATED EDISON CO OF NY 3.875% 06/15/2047                                                      | CUSIP: 209111FL2<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    2272000 | PA      | $1805059.15    | 0.00%             | 2047-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                          | SEMPRA 3.25% 06/15/2027                                                                             | CUSIP: 816851BA6<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    4846000 | PA      | $4774131.78    | 0.01%             | 2027-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2043#AL9745                                                                    | CUSIP: 3138ERZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     578272 | PA      | $551705.55     | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2046#BC2364                                                                    | CUSIP: 3140EWTW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104019 | PA      | $98117.03      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 02/01/2047#Q46272                                                                      | CUSIP: 3132WK6J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3826456 | PA      | $3477542.99    | 0.01%             | 2047-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2044#AS2075                                                                    | CUSIP: 3138WBJV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3838 | PA      | $3861.98       | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2044#AS2037                                                                    | CUSIP: 3138WBHP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172022 | PA      | $172903.67     | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2041#AI8716                                                                    | CUSIP: 3138ANVJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6040 | PA      | $6080.13       | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2047#BE4949                                                                    | CUSIP: 3140FQQB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179081 | PA      | $178740.24     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2046#AL9981                                                                    | CUSIP: 3138ESCT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9380 | PA      | $9439.85       | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2046#AS7252                                                                    | CUSIP: 3138WHBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5410 | PA      | $5414.87       | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2045#AY3868                                                                    | CUSIP: 3138YHJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9183 | PA      | $9223.32       | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2046#BC1501                                                                    | CUSIP: 3140EVU39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22710 | PA      | $22730.70      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2047#AS8685                                                                      | CUSIP: 3138WJUK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     742550 | PA      | $720668.39     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2047#BE7593                                                                      | CUSIP: 3140FTNK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     467297 | PA      | $452942.20     | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2044#AS2496                                                                      | CUSIP: 3138WBX26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102663 | PA      | $100459.04     | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2047#BH2417                                                                    | CUSIP: 3140GQVK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     309196 | PA      | $290685.18     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#AS8583                                                                    | CUSIP: 3138WJRD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111582 | PA      | $104936.80     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2046#G08744                                                                    | CUSIP: 3128MJZJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7821 | PA      | $7825.38       | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2047#MA3082                                                                      | CUSIP: 31418CM84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     464683 | PA      | $421819.59     | 0.00%             | 2047-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/01/2046#G60919                                                                    | CUSIP: 31335BAU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54672 | PA      | $54938.97      | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/01/2042#AL2006                                                                      | CUSIP: 3138EJGQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3668 | PA      | $3759.49       | 0.00%             | 2042-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2044#AS3798                                                                      | CUSIP: 3138WDGG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29855 | PA      | $30622.12      | 0.00%             | 2044-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 07/01/2044#AW7301                                                                      | CUSIP: 3138XXDF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82730 | PA      | $84713.58      | 0.00%             | 2044-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE CO OF COLORADO                                                   | PUBLIC SERVICE CO OF COLORADO 3.8% 06/15/2047                                                       | CUSIP: 744448CN9<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    3678000 | PA      | $2861950.89    | 0.00%             | 2047-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2045#AS6069                                                                      | CUSIP: 3138WFW77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11184 | PA      | $10911.84      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2045#AS6212                                                                      | CUSIP: 3138WF3W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36297 | PA      | $35429.73      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2045#AS6406                                                                      | CUSIP: 3138WGDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25489 | PA      | $24841.58      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2047#AS8823                                                                      | CUSIP: 3138WJYV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393596 | PA      | $381997.32     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2047#AS9600                                                                      | CUSIP: 3138WKU29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     342571 | PA      | $332048.06     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2045#BA3891                                                                      | CUSIP: 3140E8KD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157792 | PA      | $153783.14     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2045#BA4934                                                                      | CUSIP: 3140E9PU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11623 | PA      | $11328.06      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2046#BD0752                                                                      | CUSIP: 3140F7ZS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     394960 | PA      | $384432.40     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2047#BE5134                                                                      | CUSIP: 3140FQV46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16778 | PA      | $16283.71      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2047#BE5925                                                                      | CUSIP: 3140FRSP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15982 | PA      | $15511.31      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2047#BE7965                                                                      | CUSIP: 3140FTZ79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36856 | PA      | $35769.67      | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2047#MA3027                                                                      | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     994394 | PA      | $963848.02     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                               | CHILE REPUBLIC OF 3.86% 06/21/2047                                                                  | CUSIP: 168863CE6<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    4931000 | PA      | $4013834.00    | 0.01%             | 2047-06-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/46#BC0288                                                                           | CUSIP: 3140EUKA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25306 | PA      | $24647.25      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/46#AL9891                                                                           | CUSIP: 3138ER7D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     548432 | PA      | $534498.56     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 06/01/2032#J37112                                                                    | CUSIP: 31307T3V1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160010 | PA      | $154360.52     | 0.00%             | 2032-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                          | FEDERAL HOM 15YR 2.5% 12/01/2031#J35833                                                             | CUSIP: 31307SPS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21182 | PA      | $20543.67      | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 03/01/2032#G18635                                                                    | CUSIP: 3128MMV59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8033419 | PA      | $7773280.32    | 0.01%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2032#MA2871                                                                      | CUSIP: 31418CFM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5793 | PA      | $5668.34       | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 06/01/2032#MA3029                                                                      | CUSIP: 31418CLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11945 | PA      | $11674.97      | 0.00%             | 2032-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 06/01/2032#BH0040                                                                      | CUSIP: 3140GNBJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19408 | PA      | $18943.09      | 0.00%             | 2032-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 07/01/2032#MA3060                                                                      | CUSIP: 31418CMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1158178 | PA      | $1131696.26    | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 05/01/2032#BE9089                                                                      | CUSIP: 3140FVC38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115351 | PA      | $112737.85     | 0.00%             | 2032-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 03/01/2030#G18544                                                                    | CUSIP: 3128MMTA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12699 | PA      | $12415.74      | 0.00%             | 2030-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 05/01/2032#J36872                                                                      | CUSIP: 31307TT50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2799635 | PA      | $2739743.55    | 0.00%             | 2032-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2032#AS9532                                                                      | CUSIP: 3138WKSW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9686 | PA      | $9466.30       | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 05/01/2031#AS7291                                                                      | CUSIP: 3138WHC59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75976 | PA      | $74432.61      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 06/01/2032#BH5291                                                                      | CUSIP: 3140GT2Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32973 | PA      | $32205.22      | 0.00%             | 2032-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 10/01/2026#AJ4091                                                                    | CUSIP: 3138AVRM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        170 | PA      | $169.61        | 0.00%             | 2026-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 03/01/2026#AH8103                                                                    | CUSIP: 3138AAAD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         64 | PA      | $63.30         | 0.00%             | 2026-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 12/01/2026#AJ9282                                                                    | CUSIP: 3138E2J48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        398 | PA      | $395.61        | 0.00%             | 2026-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 07/01/2027#AL8236                                                                    | CUSIP: 3138ETEJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        138 | PA      | $137.06        | 0.00%             | 2027-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 11/01/2031#890776                                                                    | CUSIP: 31410LT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1894 | PA      | $1880.30       | 0.00%             | 2031-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 02/01/2026#AH6556                                                                    | CUSIP: 3138A8JA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        141 | PA      | $140.94        | 0.00%             | 2026-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 05/01/2028#AL3763                                                                    | CUSIP: 3138ELFD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2728 | PA      | $2711.72       | 0.00%             | 2028-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 03/01/2026#AH7507                                                                    | CUSIP: 3138A9KV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3242 | PA      | $3231.04       | 0.00%             | 2026-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 02/01/2031#BM1021                                                                    | CUSIP: 3140J5D30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5220 | PA      | $5187.45       | 0.00%             | 2031-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                | FIRSTENERGY CORP STEP 07/15/2047                                                                    | CUSIP: 337932AJ6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    3732000 | PA      | $3311825.65    | 0.00%             | 2047-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                | FIRSTENERGY CORP STEP 07/15/2027                                                                    | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    6752000 | PA      | $6716680.02    | 0.01%             | 2027-07-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 09/20/2046#MA3939                                                                      | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     521028 | PA      | $522422.19     | 0.00%             | 2046-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 03/20/2047#MA4323                                                                      | CUSIP: 36179SYU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2038414 | PA      | $2042598.65    | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/47#G08771                                                                           | CUSIP: 3128MJ2D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4947152 | PA      | $4800733.35    | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                | PARAMOUNT GLOBAL 3.375% 02/15/2028                                                                  | CUSIP: 124857AT0<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    8381000 | PA      | $8189199.64    | 0.01%             | 2028-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | AMERICAN TOWER CORP 3.55% 07/15/2027                                                                | CUSIP: 03027XAP5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    6792000 | PA      | $6727474.57    | 0.01%             | 2027-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTER AMERICAN DEV BANK                                                         | INTER AMERICAN DEV BANK 2.375% 07/07/2027                                                           | CUSIP: 4581X0CY2<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | CORP              | US        |    5346000 | PA      | $5245830.23    | 0.01%             | 2027-07-07      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                            | TANGER PROPERTIES LP 3.875% 07/15/2027                                                              | CUSIP: 875484AK3<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |    4925000 | PA      | $4894767.74    | 0.01%             | 2027-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 5.012% 04/15/2049                                                        | CUSIP: 92343VDS0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     913000 | PA      | $835799.23     | 0.00%             | 2049-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 07/47#G08769                                                                           | CUSIP: 3128MJ2B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44589 | PA      | $40523.01      | 0.00%             | 2047-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2047#MA3058                                                                      | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3390138 | PA      | $3285997.66    | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/47#V83204                                                                         | CUSIP: 3132L8RZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29170 | PA      | $29148.28      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 05/47#MA4451                                                                           | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23021115 | PA      | $21614895.51   | 0.03%             | 2047-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2042#AQ5407                                                                      | CUSIP: 3138MMAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1055729 | PA      | $975914.40     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 02/01/2047#Q46291                                                                    | CUSIP: 3132WK7D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131233 | PA      | $131298.36     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 4.95% 07/13/2047                                                                          | CUSIP: 682680AT0<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    4647000 | PA      | $4123000.66    | 0.01%             | 2047-07-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2047#AS8971                                                                      | CUSIP: 3138WJ6H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85347 | PA      | $82725.33      | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 12/01/2046#G08739                                                                      | CUSIP: 3128MJZD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1711777 | PA      | $1665928.26    | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2045#AS6121                                                                      | CUSIP: 3138WFYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10880 | PA      | $10620.07      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2047#AS8663                                                                    | CUSIP: 3138WJTV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1290554 | PA      | $1289710.52    | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2047#AS9448                                                                      | CUSIP: 3138WKQA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158179 | PA      | $143588.00     | 0.00%             | 2047-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2047#AS9562                                                                      | CUSIP: 3138WKTU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71500 | PA      | $64904.52      | 0.00%             | 2047-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2047#AS9668                                                                      | CUSIP: 3138WKW68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20654 | PA      | $20019.12      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2046#BD0507                                                                      | CUSIP: 3140F7R50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1588 | PA      | $1545.19       | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2047#BD5041                                                                    | CUSIP: 3140FCS74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     479830 | PA      | $479516.70     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2046#BD5537                                                                      | CUSIP: 3140FDEK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     309612 | PA      | $281052.66     | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2047#BE5651                                                                      | CUSIP: 3140FRH57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2526136 | PA      | $2293121.10    | 0.00%             | 2047-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2047#BE7499                                                                      | CUSIP: 3140FTKM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1594276 | PA      | $1447217.17    | 0.00%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2047#BH3429                                                                      | CUSIP: 3140GRY32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14839 | PA      | $14429.57      | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2047#BH5642                                                                      | CUSIP: 3140GUHU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182204 | PA      | $165339.80     | 0.00%             | 2047-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2047#MA2907                                                                      | CUSIP: 31418CGR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84059 | PA      | $81581.84      | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2046#BA7638                                                                    | CUSIP: 3140ECPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     985753 | PA      | $929818.66     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 06/20/2047#MA4510                                                                      | CUSIP: 36179TAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1774538 | PA      | $1666142.47    | 0.00%             | 2047-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2047#BD7081                                                                      | CUSIP: 3140FE2P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77233 | PA      | $74860.50      | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 07/47#MA4587                                                                             | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6523238 | PA      | $6325811.07    | 0.01%             | 2047-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2046#BC2848                                                                      | CUSIP: 3140EXEW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14466 | PA      | $13131.72      | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 07/01/2032#BH5894                                                                      | CUSIP: 3140GURQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171354 | PA      | $167471.95     | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2043#AV0613                                                                      | CUSIP: 3138XBVF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     349795 | PA      | $358367.48     | 0.00%             | 2043-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/01/2044#AV5420                                                                      | CUSIP: 3138XHAW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119770 | PA      | $122700.75     | 0.00%             | 2044-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/01/2044#AV8163                                                                      | CUSIP: 3138XLB92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107636 | PA      | $110265.76     | 0.00%             | 2044-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2043#AT8757                                                                    | CUSIP: 3138WWWT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1358506 | PA      | $1289834.97    | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2042#Q08707                                                                    | CUSIP: 3132GUAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176997 | PA      | $168416.28     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2031#AS8227                                                                    | CUSIP: 3138WJD96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113286 | PA      | $109671.21     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2031#BD0475                                                                    | CUSIP: 3140F7Q51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40171 | PA      | $38948.75      | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2032#MA3042                                                                    | CUSIP: 31418CLY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10803 | PA      | $10437.82      | 0.00%             | 2032-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 3.882%/VAR 07/24/2038                                                         | CUSIP: 46647PAJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   13575000 | PA      | $12361273.78   | 0.02%             | 2038-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: —       |
| CITIGROUP INC                                                                   | CITIGROUP INC 3.668%/VAR 07/24/2028                                                                 | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   32410000 | PA      | $32182305.49   | 0.05%             | 2028-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2028#AT7252                                                                    | CUSIP: 3138WVBW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30066 | PA      | $29589.20      | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2027#AB5320                                                                    | CUSIP: 31417B4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23960 | PA      | $23673.74      | 0.00%             | 2027-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2027#AO0481                                                                    | CUSIP: 3138LQRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41387 | PA      | $40860.31      | 0.00%             | 2027-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 03/28#AL3378                                                                         | CUSIP: 3138EKXG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38403 | PA      | $37859.29      | 0.00%             | 2028-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2028#AB9719                                                                    | CUSIP: 31417GYR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16273 | PA      | $16014.54      | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2028#AV0766                                                                    | CUSIP: 3138XBZ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52583 | PA      | $51682.60      | 0.00%             | 2028-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/28#AT7732                                                                         | CUSIP: 3138WVSW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18333 | PA      | $18041.68      | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2028#AT7880                                                                    | CUSIP: 3138WVXJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9867 | PA      | $9715.14       | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/28#AT7191                                                                         | CUSIP: 3138WU7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30269 | PA      | $29788.78      | 0.00%             | 2028-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2028#AS0189                                                                    | CUSIP: 3138W9F70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11015 | PA      | $10835.91      | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2028#AT8512                                                                    | CUSIP: 3138WWN62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8225 | PA      | $8087.12       | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2028#AB7795                                                                    | CUSIP: 31417EUV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7296 | PA      | $7194.92       | 0.00%             | 2028-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 02/01/2026#AH3483                                                                    | CUSIP: 3138A42R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4817 | PA      | $4802.27       | 0.00%             | 2026-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 01/01/2026#AH3428                                                                    | CUSIP: 3138A4Y25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        662 | PA      | $659.92        | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 10/01/2026#AB3608                                                                    | CUSIP: 31417AAJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18951 | PA      | $18863.39      | 0.00%             | 2026-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 01/01/2026#AH1079                                                                    | CUSIP: 3138A2FV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         50 | PA      | $49.78         | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 07/01/2027#AP0462                                                                    | CUSIP: 3138M3QQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6135 | PA      | $6099.47       | 0.00%             | 2027-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 09/01/2026#AI8946                                                                    | CUSIP: 3138AN5G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2914 | PA      | $2900.85       | 0.00%             | 2026-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 07/01/2029#AX2397                                                                    | CUSIP: 3138Y3UX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188632 | PA      | $187259.76     | 0.00%             | 2029-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 09/01/2029#AX1319                                                                    | CUSIP: 3138Y2PD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39532 | PA      | $39233.83      | 0.00%             | 2029-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 07/20/2047#MA4585                                                                        | CUSIP: 36179TCW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43440 | PA      | $39713.18      | 0.00%             | 2047-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 3.593%/VAR 07/21/2028                                                   | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    8818000 | PA      | $8749569.94    | 0.01%             | 2028-07-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3% 02/20/2046#784115                                                                        | CUSIP: 3622A2SC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     169538 | PA      | $155311.18     | 0.00%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3.65% 07/21/2027                          | CUSIP: 00774MAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    3698000 | PA      | $3668436.01    | 0.01%             | 2027-07-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 3.971%/VAR 07/22/2038                                                                | CUSIP: 61744YAL2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   18965000 | PA      | $17248992.56   | 0.03%             | 2038-07-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 3.591%/VAR 07/22/2028                                                                | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   47701000 | PA      | $47260279.01   | 0.07%             | 2028-07-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2044#G60458                                                                    | CUSIP: 31335AQK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1294259 | PA      | $1235456.54    | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 10/01/2042#Q11532                                                                    | CUSIP: 3132HMVZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     244344 | PA      | $232991.10     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2042#Q10716                                                                    | CUSIP: 3132HLYM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     196049 | PA      | $186777.63     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/01/2042#G07264                                                                    | CUSIP: 3128M9MM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172372 | PA      | $164356.89     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2043#Q15974                                                                    | CUSIP: 3132J7CL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1302788 | PA      | $1236078.31    | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2042#Q06307                                                                    | CUSIP: 3132GRKU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2714354 | PA      | $2595134.31    | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2043#Q15995                                                                    | CUSIP: 3132J7C91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     141648 | PA      | $135319.45     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/01/2042#Q13671                                                                    | CUSIP: 3132HQCG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115838 | PA      | $110517.05     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2044#G60383                                                                    | CUSIP: 31335AM88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     938089 | PA      | $893303.47     | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2047#MA3087                                                                    | CUSIP: 31418CND2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3888782 | PA      | $3653537.74    | 0.01%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2031#AL8109                                                                      | CUSIP: 3138ETAK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152642 | PA      | $149927.99     | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 05/01/2031#AL8629                                                                      | CUSIP: 3138ETST4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     680697 | PA      | $667225.68     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/01/2029#AS3748                                                                      | CUSIP: 3138WDEW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2385 | PA      | $2346.46       | 0.00%             | 2029-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/31#BC5064                                                                           | CUSIP: 3140F0TW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152713 | PA      | $149515.70     | 0.00%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2030#AS5793                                                                      | CUSIP: 3138WFNK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35183 | PA      | $34571.93      | 0.00%             | 2030-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2031#BC5960                                                                      | CUSIP: 3140F1TS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28291 | PA      | $27831.17      | 0.00%             | 2031-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 07/01/2030#AZ2178                                                                      | CUSIP: 3138YTM43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122872 | PA      | $120766.35     | 0.00%             | 2030-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/29#AS3460                                                                           | CUSIP: 3138WCZ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22728 | PA      | $22379.62      | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2030#AZ2794                                                                      | CUSIP: 3138YUC82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33381 | PA      | $32794.91      | 0.00%             | 2030-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/01/2030#BA1116                                                                      | CUSIP: 3140E5G24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81594 | PA      | $80125.18      | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2031#BA7700                                                                      | CUSIP: 3140ECRW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253636 | PA      | $248555.71     | 0.00%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 06/01/2031#BC8736                                                                      | CUSIP: 3140F4V60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     541399 | PA      | $530678.96     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ERP OPERATING LP                                                                | ERP OPERATING LP 3.25% 08/01/2027                                                                   | CUSIP: 26884ABG7<br>LEI: DX5HQV5MLU50FEWZ5072 | Long             | DBT              | CORP              | US        |   10314000 | PA      | $10198820.57   | 0.01%             | 2027-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 04/01/2040#G05850                                                                    | CUSIP: 3128M7ZP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     271151 | PA      | $283184.32     | 0.00%             | 2040-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2040#AD6946                                                                    | CUSIP: 31418UWG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124663 | PA      | $130261.92     | 0.00%             | 2040-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 01/01/2041#AH3225                                                                    | CUSIP: 3138A4SP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     330291 | PA      | $344915.31     | 0.00%             | 2041-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5.5% 05/20/2045#784259                                                                      | CUSIP: 3622A2WU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     298141 | PA      | $309397.13     | 0.00%             | 2045-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY OP LLC                                                             | KIMCO REALTY OP LLC 4.45% 09/01/2047                                                                | CUSIP: 49446RAT6<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |    4114000 | PA      | $3558933.07    | 0.01%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.25% 08/15/2027                                                                          | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  337064100 | PA      | $329927819.32  | 0.48%             | 2027-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.75% 08/15/2047                                                        | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7039000 | PA      | $5159916.99    | 0.01%             | 2047-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                                                         | DIGITAL REALTY TRUST LP 3.7% 08/15/2027                                                             | CUSIP: 25389JAR7<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |    8356000 | PA      | $8298437.02    | 0.01%             | 2027-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                               | GENERAL MOTORS CO 5.15% 04/01/2038                                                                  | CUSIP: 37045VAP5<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1261577.08    | 0.00%             | 2038-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2042#AP2419                                                                      | CUSIP: 3138M5VM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1945848 | PA      | $1909714.44    | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 08/20/2047#MA4652                                                                      | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8255237 | PA      | $7743236.03    | 0.01%             | 2047-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 08/01/2032#G18656                                                                    | CUSIP: 3128MMWS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1225519 | PA      | $1213511.77    | 0.00%             | 2032-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 03/01/2032#J36515                                                                    | CUSIP: 31307TGY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76282 | PA      | $75582.09      | 0.00%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 01/01/2031#J33684                                                                    | CUSIP: 31307QCV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95508 | PA      | $94722.61      | 0.00%             | 2031-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 07/01/2032#G18653                                                                    | CUSIP: 3128MMWP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     603771 | PA      | $597855.36     | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 07/01/2032#CA0044                                                                    | CUSIP: 3140Q7BN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1295995 | PA      | $1282003.24    | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAP CORP                                                         | AMER WATER CAP CORP 2.95% 09/01/2027                                                                | CUSIP: 03040WAQ8<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    4833000 | PA      | $4754698.10    | 0.01%             | 2027-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/47#G08772                                                                         | CUSIP: 3128MJ2E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     336203 | PA      | $334374.45     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/47#MA2904                                                                         | CUSIP: 31418CGN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55424 | PA      | $55388.24      | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2047#BH0776                                                                      | CUSIP: 3140GN2J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2195 | PA      | $2127.51       | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2047#BE8036                                                                      | CUSIP: 3140FT4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1291875 | PA      | $1252190.31    | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2047#AS9487                                                                      | CUSIP: 3138WKRH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     402988 | PA      | $387334.69     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% #BM1526                                                                                | CUSIP: 3140J5VU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5456804 | PA      | $5367200.16    | 0.01%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/01/2044#G61068                                                                    | CUSIP: 31335BFH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1389045 | PA      | $1326645.53    | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROCTER and GAMBLE CO                                                           | PROCTER and GAMBLE CO 2.85% 08/11/2027                                                              | CUSIP: 742718EV7<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |    3575000 | PA      | $3531103.50    | 0.01%             | 2027-08-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2047#MA3120                                                                    | CUSIP: 31418CPE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337442 | PA      | $317029.32     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 08/01/2032#G18659                                                                      | CUSIP: 3128MMWV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68738 | PA      | $67204.74      | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 07/20/2047#MA4586                                                                      | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5034588 | PA      | $4727055.65    | 0.01%             | 2047-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                          | COMMONWEALTH EDISON CO 3.75% 08/15/2047                                                             | CUSIP: 202795JL5<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    4885000 | PA      | $3815712.97    | 0.01%             | 2047-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/47#MA3088                                                                           | CUSIP: 31418CNE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136986 | PA      | $132777.51     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 12/46#MA4130                                                                             | CUSIP: 36179SST5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30402 | PA      | $31065.06      | 0.00%             | 2046-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 08/47#MA4651                                                                             | CUSIP: 36179TEY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     753632 | PA      | $688508.37     | 0.00%             | 2047-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 4.439% 10/06/2048                                                    | CUSIP: 03523TBT4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    5873000 | PA      | $5150912.42    | 0.01%             | 2048-10-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2046#AS8144                                                                      | CUSIP: 3138WJBN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3519 | PA      | $3420.85       | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2047#G08768                                                                    | CUSIP: 3128MJ2A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     268073 | PA      | $267871.87     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 8/47#G08773                                                                            | CUSIP: 3128MJ2F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81677 | PA      | $74229.35      | 0.00%             | 2047-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4% 03/01/2029#G16221                                                                      | CUSIP: 3128MFD21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75462 | PA      | $75467.22      | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 06/01/2041#G61013                                                                    | CUSIP: 31335BDS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     556126 | PA      | $577481.82     | 0.00%             | 2041-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 08/01/2032#MA3090                                                                      | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4665596 | PA      | $4557907.99    | 0.01%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                      | ZOETIS INC 3.95% 09/12/2047                                                                         | CUSIP: 98978VAM5<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    1589000 | PA      | $1296436.47    | 0.00%             | 2047-09-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                    | NISOURCE INC 3.95% 03/30/2048                                                                       | CUSIP: 65473QBG7<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    7944000 | PA      | $6335283.12    | 0.01%             | 2048-03-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | APPLE INC 2.9% 09/12/2027                                                                           | CUSIP: 037833DB3<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   11161000 | PA      | $11016498.53   | 0.02%             | 2027-09-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| HOME DEPOT INC                                                                  | HOME DEPOT INC 2.8% 09/14/2027                                                                      | CUSIP: 437076BT8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    3972000 | PA      | $3905943.26    | 0.01%             | 2027-09-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | APPLE INC 3.75% 09/12/2047                                                                          | CUSIP: 037833DD9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    4833000 | PA      | $3909745.73    | 0.01%             | 2047-09-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEERE JOHN CAPITAL CORP                                                         | DEERE JOHN CAPITAL CORP 2.8% 09/08/2027                                                             | CUSIP: 24422ETW9<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    5561000 | PA      | $5469734.76    | 0.01%             | 2027-09-08      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE CO                                                       | ARIZONA PUBLIC SERVICE CO 2.95% 09/15/2027                                                          | CUSIP: 040555CW2<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    5861000 | PA      | $5765349.89    | 0.01%             | 2027-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                                        | VISA INC 2.75% 09/15/2027                                                                           | CUSIP: 92826CAH5<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    9468000 | PA      | $9318981.16    | 0.01%             | 2027-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                  | VIRGINIA ELECTRIC AND POWER CO 3.8% 09/15/2047                                                      | CUSIP: 927804FY5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    6522000 | PA      | $5106344.98    | 0.01%             | 2047-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2045#AS4853                                                                    | CUSIP: 3138WEMB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56000 | PA      | $52864.46      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2045#AS5183                                                                    | CUSIP: 3138WEXM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2409387 | PA      | $2272303.84    | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2047#AS9314                                                                      | CUSIP: 3138WKK46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     953994 | PA      | $924688.73     | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2045#AZ5942                                                                    | CUSIP: 3138YXS89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     520551 | PA      | $490702.68     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2047#AS9673                                                                    | CUSIP: 3138WKXB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13174 | PA      | $12385.55      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#BD2440                                                                    | CUSIP: 3140F9WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3546773 | PA      | $3335542.47    | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2046#BC2646                                                                    | CUSIP: 3140EW5G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10905 | PA      | $10285.77      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2047#CA0385                                                                    | CUSIP: 3140Q7NB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13537 | PA      | $12726.34      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2047#G08766                                                                    | CUSIP: 3128MJZ86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     981889 | PA      | $924181.22     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 09/01/2047#G08783                                                                      | CUSIP: 3128MJ2R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1147640 | PA      | $1042635.00    | 0.00%             | 2047-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2047#BD7165                                                                      | CUSIP: 3140FE6B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1667898 | PA      | $1616662.69    | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2047#V83403                                                                    | CUSIP: 3132L8X85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     400396 | PA      | $376988.82     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2047#Q48241                                                                    | CUSIP: 3132WNEP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     310234 | PA      | $292000.83     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/01/2045#V82084                                                                    | CUSIP: 3132L7J59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1972055 | PA      | $1859536.83    | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2047#G61148                                                                    | CUSIP: 31335BHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77209 | PA      | $72623.35      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2047#MA3149                                                                      | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81382 | PA      | $78831.12      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2047#AS8786                                                                      | CUSIP: 3138WJXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     267626 | PA      | $259739.10     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2045#AZ8817                                                                      | CUSIP: 3140E1YP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88591 | PA      | $86340.65      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2047#G08784                                                                    | CUSIP: 3128MJ2S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2059286 | PA      | $1936970.02    | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2045#Q45312                                                                    | CUSIP: 3132WJ3W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121967 | PA      | $115470.92     | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2047#G08770                                                                    | CUSIP: 3128MJ2C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3133414 | PA      | $2949256.17    | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2046#Q44460                                                                    | CUSIP: 3132WH5W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45730 | PA      | $43056.51      | 0.00%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2047#G08779                                                                    | CUSIP: 3128MJ2M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5316157 | PA      | $5000392.32    | 0.01%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2047#AS8811                                                                    | CUSIP: 3138WJYH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9195 | PA      | $8647.69       | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2028#AR1014                                                                    | CUSIP: 3138NXDU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1301271 | PA      | $1282859.01    | 0.00%             | 2028-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                              | UNION PACIFIC CORP 3.6% 09/15/2037                                                                  | CUSIP: 907818EQ7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    2622000 | PA      | $2354471.23    | 0.00%             | 2037-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 08/47#MA4653                                                                             | CUSIP: 36179TE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     181634 | PA      | $176136.70     | 0.00%             | 2047-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2047#Q45744                                                                    | CUSIP: 3132WKL22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104123 | PA      | $98036.22      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2046#Q38621                                                                    | CUSIP: 3132QVSK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31552 | PA      | $29796.47      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/47#MA3143                                                                           | CUSIP: 31418CP57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14788 | PA      | $13419.04      | 0.00%             | 2047-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2047#G08759                                                                    | CUSIP: 3128MJZZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     324294 | PA      | $323442.51     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 03/01/2031#BC2484                                                                    | CUSIP: 3140EWXN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64887 | PA      | $64290.02      | 0.00%             | 2031-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 09/01/2032#G18662                                                                    | CUSIP: 3128MMWY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1533293 | PA      | $1480219.47    | 0.00%             | 2032-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 11/01/2031#BM1231                                                                    | CUSIP: 3140J5LM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4467 | PA      | $4434.14       | 0.00%             | 2031-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2047#Q47592                                                                    | CUSIP: 3132WMNJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105455 | PA      | $99257.41      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 05/01/2033#G30705                                                                    | CUSIP: 3132J4AF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5657 | PA      | $5591.44       | 0.00%             | 2033-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 01/01/2034#G30974                                                                    | CUSIP: 3132J4JU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6049 | PA      | $5983.79       | 0.00%             | 2034-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2047#Q49490                                                                    | CUSIP: 3132WPRL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10266 | PA      | $9656.02       | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 02/01/2031#G18587                                                                      | CUSIP: 3128MMUM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4127 | PA      | $4053.21       | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 02/01/2032#G18632                                                                      | CUSIP: 3128MMV26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4399 | PA      | $4306.08       | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 08/01/2031#G18608                                                                      | CUSIP: 3128MMVA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57332 | PA      | $56211.49      | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2047#Q50542                                                                    | CUSIP: 3132XSS84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86812 | PA      | $81655.28      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 08/01/2032#G18655                                                                      | CUSIP: 3128MMWR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1975020 | PA      | $1931410.65    | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                                                          | BP CAPITAL MARKETS PLC 3.279% 09/19/2027                                                            | CUSIP: 05565QDN5<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |   10121000 | PA      | $10026610.14   | 0.01%             | 2027-09-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/32#MA3125                                                                           | CUSIP: 31418CPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     639709 | PA      | $624803.33     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/47#AS9937                                                                           | CUSIP: 3138WLBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     873152 | PA      | $792611.07     | 0.00%             | 2047-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 5.4% 10/01/2047                                                                  | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4369000 | PA      | $3978705.70    | 0.01%             | 2047-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2047#BH5658                                                                      | CUSIP: 3140GUJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     596511 | PA      | $579305.12     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2045#AS6198                                                                    | CUSIP: 3138WF3G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13075 | PA      | $12323.77      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY VA UNIV REVS                                                         | UNIV VA REV 4.179% 9/1/2117                                                                         | CUSIP: 915217WX7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3775000 | PA      | $2888616.41    | 0.00%             | 2117-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2047#BH6668                                                                      | CUSIP: 3140GVMS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31536 | PA      | $30547.67      | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 06/15/2045#784078                                                                      | CUSIP: 3622A2Q70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1152518 | PA      | $1117914.45    | 0.00%             | 2045-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#AK8998                                                                      | CUSIP: 36183S7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     171313 | PA      | $156114.41     | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 01/01/2043#G08521                                                                      | CUSIP: 3128MJSK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59930 | PA      | $55586.89      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 04/01/2032#BH0187                                                                    | CUSIP: 3140GNF57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     247294 | PA      | $239121.97     | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| 3M CO                                                                           | 3M CO 2.875% 10/15/2027                                                                             | CUSIP: 88579YAY7<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    3177000 | PA      | $3118057.75    | 0.00%             | 2027-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 06/01/2027#AO7976                                                                      | CUSIP: 3138LY2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        781 | PA      | $773.74        | 0.00%             | 2027-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2028#AB9491                                                                    | CUSIP: 31417GRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71006 | PA      | $69910.07      | 0.00%             | 2028-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2047#MA3147                                                                      | CUSIP: 31418CP99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     385260 | PA      | $349602.44     | 0.00%             | 2047-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2047#Q50503                                                                    | CUSIP: 3132XSRZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     141959 | PA      | $133793.25     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/01/2032#MA3155                                                                      | CUSIP: 31418CQH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1151687 | PA      | $1124593.58    | 0.00%             | 2032-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                    | MEXICO UNITED MEXICAN STATES 4.6% 02/10/2048                                                        | CUSIP: 91087BAD2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   13941000 | PA      | $10969894.08   | 0.02%             | 2048-02-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                     | PEPSICO INC 3% 10/15/2027                                                                           | CUSIP: 713448DY1<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |   14466000 | PA      | $14288200.42   | 0.02%             | 2027-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN                       | TARGA RES P LP/TARGA RES P FIN 5% 01/15/2028                                                        | CUSIP: 87612BBG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1300187.38    | 0.00%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2047#AL9846                                                                    | CUSIP: 3138ER5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4758503 | PA      | $4781074.31    | 0.01%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                           | NORTHROP GRUMMAN CORP 3.25% 01/15/2028                                                              | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    6673000 | PA      | $6576567.88    | 0.01%             | 2028-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                           | NORTHROP GRUMMAN CORP 4.03% 10/15/2047                                                              | CUSIP: 666807BP6<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |   14958000 | PA      | $12266594.20   | 0.02%             | 2047-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2046#BE1899                                                                      | CUSIP: 3140FMDD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3448470 | PA      | $3130376.72    | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 08/01/2046#BC1510                                                                      | CUSIP: 3140EVVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142832 | PA      | $130058.46     | 0.00%             | 2046-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2046#BD5787                                                                      | CUSIP: 3140FDND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13829 | PA      | $12553.67      | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2046#BC8394                                                                      | CUSIP: 3140F4KG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16912 | PA      | $15399.22      | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2046#BC2008                                                                      | CUSIP: 3140EWGS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139090 | PA      | $126651.24     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2046#AL9432                                                                      | CUSIP: 3138ERPS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15388 | PA      | $14084.34      | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2046#BA1001                                                                      | CUSIP: 3140E5DF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100425 | PA      | $91162.06      | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2046#BC9483                                                                      | CUSIP: 3140F5RD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208423 | PA      | $189783.47     | 0.00%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2046#BC1845                                                                      | CUSIP: 3140EWBP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4814 | PA      | $4383.89       | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2046#AS7238                                                                      | CUSIP: 3138WHBG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3120 | PA      | $2840.91       | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 06/01/2046#BC1141                                                                      | CUSIP: 3140EVHT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6440 | PA      | $5871.83       | 0.00%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2046#BD5869                                                                      | CUSIP: 3140FDQX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     916039 | PA      | $831542.02     | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2046#AS8359                                                                      | CUSIP: 3138WJJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10044 | PA      | $9133.09       | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2046#BD6985                                                                      | CUSIP: 3140FEXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1050140 | PA      | $953273.32     | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2046#BE4217                                                                      | CUSIP: 3140FPVK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157514 | PA      | $142984.44     | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2046#BC1288                                                                    | CUSIP: 3140EVNE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     561828 | PA      | $529948.58     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN UNIV                                                               | NORTHWESTERN UNIV 3.662% 12/01/2057                                                                 | CUSIP: 668444AQ5<br>LEI: OBWWNZE695DUK77DTI34 | Long             | DBT              | CORP              | US        |    4398000 | PA      | $3271484.41    | 0.00%             | 2057-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 08/20/2046#MA3874                                                                      | CUSIP: 36179SJT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2537794 | PA      | $2388326.77    | 0.00%             | 2046-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2027#AK5169                                                                      | CUSIP: 3138E9W71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5486 | PA      | $5439.70       | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2030#AS6295                                                                      | CUSIP: 3138WF7H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6037 | PA      | $5923.97       | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2032#AS8722                                                                      | CUSIP: 3138WJVQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8120 | PA      | $7942.05       | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2030#BA3545                                                                      | CUSIP: 3140E75F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2491 | PA      | $2444.80       | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 07/01/2032#CA0053                                                                      | CUSIP: 3140Q7BX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5072 | PA      | $4954.69       | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 05/01/2032#CA0250                                                                      | CUSIP: 3140Q7H42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56201 | PA      | $54967.02      | 0.00%             | 2032-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2031#AS8406                                                                    | CUSIP: 3138WJKU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299561 | PA      | $289781.38     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2032#BE3977                                                                    | CUSIP: 3140FPM30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     354916 | PA      | $343198.99     | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2032#BH5072                                                                    | CUSIP: 3140GTT67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1064 | PA      | $1023.15       | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2032#BE3963                                                                    | CUSIP: 3140FPMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393619 | PA      | $380620.24     | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2031#BE4264                                                                    | CUSIP: 3140FPW21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299377 | PA      | $289275.04     | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2032#BH1266                                                                    | CUSIP: 3140GPMQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179799 | PA      | $173663.96     | 0.00%             | 2032-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2032#BE8376                                                                    | CUSIP: 3140FUJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56444 | PA      | $54616.24      | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2031#BC9351                                                                    | CUSIP: 3140F5L92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98897 | PA      | $95632.63      | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2047#G08788                                                                    | CUSIP: 3128MJ2W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5207 | PA      | $4897.88       | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TARGET CORP                                                                     | TARGET CORP 3.9% 11/15/2047                                                                         | CUSIP: 87612EBG0<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |   11736000 | PA      | $9374283.15    | 0.01%             | 2047-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2032#BH5064                                                                      | CUSIP: 3140GTTW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61144 | PA      | $59653.47      | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2032#BH8754                                                                      | CUSIP: 3140GXWQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160402 | PA      | $156385.64     | 0.00%             | 2032-09-01      | 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 3.244% 08/25/2027                                                    | CUSIP: 3137FBBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18911288 | PA      | $18725407.06   | 0.03%             | 2027-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 3.75% 10/15/2047                                                             | CUSIP: 91324PDF6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    7594000 | PA      | $5903483.26    | 0.01%             | 2047-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 07/01/2032#BH5002                                                                      | CUSIP: 3140GTRY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19148 | PA      | $18697.29      | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 08/01/2032#BH5015                                                                      | CUSIP: 3140GTSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8606 | PA      | $8398.57       | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2031#BD3755                                                                      | CUSIP: 3140FBE55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19388 | PA      | $18989.31      | 0.00%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2032#BE9668                                                                      | CUSIP: 3140FVW69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87984 | PA      | $86032.08      | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2032#BH5070                                                                      | CUSIP: 3140GTT42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97394 | PA      | $95000.82      | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2031#BE1274                                                                      | CUSIP: 3140FLMY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61032 | PA      | $59705.09      | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2032#AS9332                                                                      | CUSIP: 3138WKLN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11262 | PA      | $11009.94      | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 05/20/2047#MA4454                                                                        | CUSIP: 36179S5P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142324 | PA      | $145560.44     | 0.00%             | 2047-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 10/20/2047#MA4779                                                                        | CUSIP: 36179TJY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     377214 | PA      | $365326.38     | 0.00%             | 2047-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 09/20/2047#MA4718                                                                        | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4958878 | PA      | $4530368.01    | 0.01%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 10/20/2047#MA4777                                                                        | CUSIP: 36179TJW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2426510 | PA      | $2216828.30    | 0.00%             | 2047-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 09/01/2039#AD0206                                                                    | CUSIP: 31418MGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     545222 | PA      | $569312.87     | 0.00%             | 2039-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ASIAN DEVELOPMENT BANK                                                          | ASIAN DEVELOPMENT BANK 2.5% 11/02/2027                                                              | CUSIP: 045167EE9<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | CORP              | PH        |    5321000 | PA      | $5215277.96    | 0.01%             | 2027-11-02      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 3.52%/VAR 10/27/2028                                                                  | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   18312000 | PA      | $18122574.81   | 0.03%             | 2028-10-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 4.017%/VAR 10/31/2038                                                 | CUSIP: 38148YAA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $908689.88     | 0.00%             | 2038-10-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 06/01/2026#AB3137                                                                      | CUSIP: 31416YPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8289 | PA      | $8264.38       | 0.00%             | 2026-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 02/01/2026#AH6606                                                                      | CUSIP: 3138A8KU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9462 | PA      | $9435.42       | 0.00%             | 2026-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                            | LOCKHEED MARTIN CORP 4.09% 09/15/2052                                                               | CUSIP: 539830BN8<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |   12077000 | PA      | $9820466.41    | 0.01%             | 2052-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2047#BE3619                                                                      | CUSIP: 3140FPAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1793648 | PA      | $1738550.26    | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 3.574%/VAR 11/07/2028                                                      | CUSIP: 539439AQ2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $1979548.78    | 0.00%             | 2028-11-07      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MARKEL GROUP INC                                                                | MARKEL GROUP INC 3.5% 11/01/2027                                                                    | CUSIP: 570535AR5<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3951982.64    | 0.01%             | 2027-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.75% 11/15/2047                                                        | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4358500 | PA      | $3185961.34    | 0.00%             | 2047-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.25% 11/15/2027                                                                          | CUSIP: 9128283F5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36348700 | PA      | $35488257.94   | 0.05%             | 2027-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                         | ALABAMA POWER CO 3.7% 12/01/2047                                                                    | CUSIP: 010392FR4<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    4679000 | PA      | $3625825.41    | 0.01%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2047#BE3767                                                                    | CUSIP: 3140FPFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3485214 | PA      | $3274382.86    | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2047#MA3183                                                                      | CUSIP: 31418CRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3510162 | PA      | $3400141.60    | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 3.964%/VAR 11/15/2048                                                         | CUSIP: 46647PAL0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    7466000 | PA      | $6152498.03    | 0.01%             | 2048-11-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | APPLE INC 3% 11/13/2027                                                                             | CUSIP: 037833DK3<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    7944000 | PA      | $7862489.32    | 0.01%             | 2027-11-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| LANDWIRTSCHAFTLICHE RENTENBANK                                                  | LANDWIRTSCHAFTLICHE RENTENBANK 2.5% 11/15/2027                                                      | CUSIP: 515110BT0<br>LEI: 529900Z3J0N6S0F7CT25 | Long             | DBT              | CORP              | DE        |    7022000 | PA      | $6880219.71    | 0.01%             | 2027-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FG 30YR 4% 11/01/2040#C03613                                                                        | CUSIP: 31292LAN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59568 | PA      | $58755.66      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 01/01/2041#A95946                                                                      | CUSIP: 312944TB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30590 | PA      | $30168.31      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 01/01/2043#Q14574                                                                      | CUSIP: 3132HRCK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63290 | PA      | $62175.30      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 12/01/2041#Q04858                                                                      | CUSIP: 3132GLB37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214480 | PA      | $211236.87     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FG 30YR 4% 08/01/2042#Q10048                                                                        | CUSIP: 3132HLBR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     389954 | PA      | $382765.39     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 03/01/2042#Q06999                                                                      | CUSIP: 3132GSDC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37663 | PA      | $37089.59      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2043#Q20548                                                                      | CUSIP: 3132JMTD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170850 | PA      | $167370.66     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2042#Q07958                                                                      | CUSIP: 3132GTE78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     450824 | PA      | $443231.21     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/01/2044#G60886                                                                      | CUSIP: 31335A6X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3495 | PA      | $3441.20       | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 12/01/2040#A95936                                                                      | CUSIP: 312944SZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25980 | PA      | $25619.61      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/01/2046#G60732                                                                      | CUSIP: 31335AY51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5909 | PA      | $5820.89       | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/01/2043#G60567                                                                      | CUSIP: 31335ATY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14108 | PA      | $13918.08      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 10/20/2047#MA4778                                                                      | CUSIP: 36179TJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1788321 | PA      | $1677407.17    | 0.00%             | 2047-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | APPLE INC 3.75% 11/13/2047                                                                          | CUSIP: 037833DG2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    5541000 | PA      | $4491754.97    | 0.01%             | 2047-11-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 3.25% 11/15/2027                                                                        | CUSIP: 68389XBN4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   13584000 | PA      | $13301285.31   | 0.02%             | 2027-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2045#Q37467                                                                    | CUSIP: 3132QUJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5907125 | PA      | $5586660.06    | 0.01%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2047#BJ0760                                                                      | CUSIP: 3140H1Z29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     806993 | PA      | $781699.42     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 11/20/2047#MA4838                                                                        | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     799970 | PA      | $774759.19     | 0.00%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 4% 11/15/2047                                                                           | CUSIP: 68389XBQ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   13899000 | PA      | $10103167.26   | 0.01%             | 2047-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHNSON and JOHNSON                                                             | JOHNSON and JOHNSON 3.4% 01/15/2038                                                                 | CUSIP: 478160CL6<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    7411000 | PA      | $6599234.78    | 0.01%             | 2038-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MOSAIC CO                                                                       | MOSAIC CO NEW 4.05% 11/15/2027                                                                      | CUSIP: 61945CAG8<br>LEI: 2YD5STGSJNMUB7H76907 | Long             | DBT              | CORP              | US        |    4575000 | PA      | $4573496.98    | 0.01%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHNSON and JOHNSON                                                             | JOHNSON and JOHNSON 3.5% 01/15/2048                                                                 | CUSIP: 478160CM4<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    4766000 | PA      | $3758038.28    | 0.01%             | 2048-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY INC                                                               | SUNCOR ENERGY INC 4% 11/15/2047                                                                     | CUSIP: 867224AB3<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |    3972000 | PA      | $3049194.73    | 0.00%             | 2047-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2047#AS9671                                                                      | CUSIP: 3138WKW92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     764795 | PA      | $740680.34     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2047#BH9969                                                                    | CUSIP: 3140H0CF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29184 | PA      | $27418.45      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2046#BE2869                                                                    | CUSIP: 3140FNFK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4272 | PA      | $4269.16       | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2047#BH0458                                                                    | CUSIP: 3140GNQL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168079 | PA      | $167759.20     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2047#MA3182                                                                    | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5906097 | PA      | $5548819.02    | 0.01%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2046#AS8571                                                                    | CUSIP: 3138WJQZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     806663 | PA      | $758621.29     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2045#AZ2268                                                                    | CUSIP: 3138YTQW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387580 | PA      | $366132.19     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2045#AS4479                                                                    | CUSIP: 3138WD6R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209017 | PA      | $197337.65     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2043#AU4721                                                                    | CUSIP: 3138X4G79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47365 | PA      | $45104.30      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2047#BH0832                                                                    | CUSIP: 3140GN4S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3043 | PA      | $2860.87       | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2046#BC1809                                                                    | CUSIP: 3140EWAK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     336440 | PA      | $317349.05     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2044#AX9491                                                                    | CUSIP: 3138YBRM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131394 | PA      | $124278.46     | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2047#BE1567                                                                    | CUSIP: 3140FLW53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     485573 | PA      | $456502.81     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2045#AY1360                                                                    | CUSIP: 3138YEQN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59271 | PA      | $55931.33      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2042#AO9375                                                                    | CUSIP: 3138M1MZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61877 | PA      | $59061.88      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2047#BM1683                                                                    | CUSIP: 3140J52R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34167 | PA      | $32100.06      | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2047#BD7154                                                                    | CUSIP: 3140FE5Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130920 | PA      | $123082.01     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2047#BE2548                                                                    | CUSIP: 3140FMZN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86692 | PA      | $81501.48      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2047#BJ2004                                                                    | CUSIP: 3140H3GN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     887182 | PA      | $832958.69     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2046#BC5574                                                                    | CUSIP: 3140F1FQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20031 | PA      | $18894.84      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2042#AO7523                                                                    | CUSIP: 3138LYLD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171701 | PA      | $164988.61     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2044#AW8506                                                                    | CUSIP: 3138XYNY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127967 | PA      | $122236.66     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2046#BC7933                                                                    | CUSIP: 3140F3Y77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35109 | PA      | $33073.16      | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2047#BE7047                                                                    | CUSIP: 3140FSZM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90253 | PA      | $84849.69      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2047#BE8863                                                                    | CUSIP: 3140FUZ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272210 | PA      | $255997.98     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2047#BE3708                                                                    | CUSIP: 3140FPDN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156700 | PA      | $156401.23     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/01/2046#Q42001                                                                      | CUSIP: 3132WFGK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6211 | PA      | $6052.65       | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/01/2046#Q41906                                                                      | CUSIP: 3132WFDL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59534 | PA      | $58013.96      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2047#Q48246                                                                      | CUSIP: 3132WNEU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16863 | PA      | $16364.07      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2046#Q42624                                                                      | CUSIP: 3132WF4J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21682 | PA      | $21128.46      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2046#Q40580                                                                      | CUSIP: 3132WDUE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160882 | PA      | $156774.19     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2047#Q47596                                                                      | CUSIP: 3132WMNN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5533 | PA      | $5368.77       | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2046#BC1050                                                                    | CUSIP: 3140EVEY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     266365 | PA      | $251250.88     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED PARCEL SERVICE INC                                                       | UNITED PARCEL SERVICE INC 3.75% 11/15/2047                                                          | CUSIP: 911312BN5<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |    6842000 | PA      | $5382951.78    | 0.01%             | 2047-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2047#CA0629                                                                    | CUSIP: 3140Q7VX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27244 | PA      | $25663.58      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2047#MA3210                                                                    | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8983536 | PA      | $8440093.67    | 0.01%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2046#BD7964                                                                    | CUSIP: 3140FFZ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104556 | PA      | $98328.87      | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2046#MA2671                                                                    | CUSIP: 31418B6H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22377 | PA      | $21079.20      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2046#BC2666                                                                    | CUSIP: 3140EW6C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32410 | PA      | $30571.28      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2047#BE9291                                                                    | CUSIP: 3140FVKD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13670 | PA      | $13644.20      | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2047#MA3073                                                                    | CUSIP: 31418CMX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221492 | PA      | $221070.34     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2046#AS7802                                                                    | CUSIP: 3138WHU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23566 | PA      | $22199.33      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2047#BH0907                                                                    | CUSIP: 3140GPAH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59812 | PA      | $59697.81      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2046#BC0875                                                                    | CUSIP: 3140EU6M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61009 | PA      | $61064.62      | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2047#AL9854                                                                    | CUSIP: 3138ER5Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108776 | PA      | $108874.71     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2047#BH2036                                                                    | CUSIP: 3140GQHN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14698 | PA      | $14669.71      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2047#BM1869                                                                    | CUSIP: 3140J6CF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2889 | PA      | $2713.80       | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2047#BH4904                                                                    | CUSIP: 3140GTNW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57889 | PA      | $54423.37      | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2047#BH7910                                                                    | CUSIP: 3140GWYG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9782 | PA      | $9189.81       | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2046#BE4163                                                                    | CUSIP: 3140FPTV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392825 | PA      | $369429.76     | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2047#BH6159                                                                    | CUSIP: 3140GUZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6049 | PA      | $5682.74       | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2046#BD7622                                                                    | CUSIP: 3140FFPG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12226 | PA      | $11497.70      | 0.00%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2047#BH0853                                                                    | CUSIP: 3140GN5P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5007 | PA      | $4707.46       | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2047#BH2329                                                                    | CUSIP: 3140GQST4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8994 | PA      | $8455.26       | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2044#AS2817                                                                    | CUSIP: 3138WCDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12316 | PA      | $11663.55      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2047#BH3457                                                                    | CUSIP: 3140GRZX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25431 | PA      | $23908.74      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2045#BA3307                                                                    | CUSIP: 3140E7U99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12132 | PA      | $11395.70      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2045#AS6302                                                                    | CUSIP: 3138WGAC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30329 | PA      | $28607.65      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2047#MA3148                                                                    | CUSIP: 31418CQA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     673931 | PA      | $633162.74     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2047#BE7698                                                                    | CUSIP: 3140FTRU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98975 | PA      | $92987.88      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 08/01/2047#G08776                                                                    | CUSIP: 3128MJ2J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2963816 | PA      | $2961592.99    | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                             | ELEVANCE HEALTH INC 4.375% 12/01/2047                                                               | CUSIP: 036752AD5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    8311000 | PA      | $6974673.56    | 0.01%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                             | ELEVANCE HEALTH INC 3.65% 12/01/2027                                                                | CUSIP: 036752AB9<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   27589000 | PA      | $27398208.82   | 0.04%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 15YR 3.5% 04/31#BM3020                                                                    | CUSIP: 3140J7LA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     546404 | PA      | $542314.14     | 0.00%             | 2031-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | AIR LEASE CORP 3.625% 12/01/2027                                                                    | CUSIP: 00912XAY0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    7593000 | PA      | $7488719.10    | 0.01%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2032#AS8764                                                                    | CUSIP: 3138WJW20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209767 | PA      | $202760.23     | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2031#BE0522                                                                    | CUSIP: 3140FKSL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51797 | PA      | $50122.20      | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2032#BE7519                                                                    | CUSIP: 3140FTK91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97393 | PA      | $94138.25      | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2031#BD8888                                                                    | CUSIP: 3140FG2W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11418 | PA      | $11045.42      | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2032#BH9957                                                                      | CUSIP: 3140H0B35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180868 | PA      | $176488.76     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2032#BH9959                                                                      | CUSIP: 3140H0B50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97029 | PA      | $94743.11      | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 08/01/2032#BH7461                                                                      | CUSIP: 3140GWJF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179293 | PA      | $174958.85     | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2032#BH9958                                                                      | CUSIP: 3140H0B43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201271 | PA      | $196229.11     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2032#AS9878                                                                    | CUSIP: 3138WK6Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143374 | PA      | $138478.51     | 0.00%             | 2032-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2032#MA3187                                                                    | CUSIP: 31418CRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120061 | PA      | $115746.84     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/01/2032#MA3188                                                                      | CUSIP: 31418CRJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1240700 | PA      | $1211243.29    | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 08/01/2043#Q21341                                                                      | CUSIP: 3132JNP27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40475 | PA      | $37640.59      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 08/01/2043#Q21343                                                                      | CUSIP: 3132JNP43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44312 | PA      | $40982.48      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/43#Q22192                                                                           | CUSIP: 3132JPNH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21357 | PA      | $19800.56      | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 05/01/2043#Q18220                                                                      | CUSIP: 3132J9SJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        848 | PA      | $781.07        | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 09/46#Q46506                                                                           | CUSIP: 3132WLGQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3216424 | PA      | $2970250.22    | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2032#890801                                                                      | CUSIP: 31410LU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49195 | PA      | $48049.35      | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 01/20/2047#MA4199                                                                        | CUSIP: 36179SUY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     314098 | PA      | $320861.06     | 0.00%             | 2047-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 11/20/2047#MA4836                                                                        | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1762557 | PA      | $1610249.68    | 0.00%             | 2047-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP                                                            | PARKER-HANNIFIN CORP 3.25% 03/01/2027                                                               | CUSIP: 701094AJ3<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    4488000 | PA      | $4452547.81    | 0.01%             | 2027-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| PARKER-HANNIFIN CORP                                                            | PARKER-HANNIFIN CORP 4.1% 03/01/2047                                                                | CUSIP: 701094AL8<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    4496000 | PA      | $3786267.19    | 0.01%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.375% 05/01/2047   | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4534000 | PA      | $3803165.99    | 0.01%             | 2047-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.2% 03/15/2028     | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8737000 | PA      | $8688042.92    | 0.01%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 12/47#G08791                                                                           | CUSIP: 3128MJ2Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     249260 | PA      | $226453.05     | 0.00%             | 2047-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/47#G08787                                                                           | CUSIP: 3128MJ2V1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79841 | PA      | $72535.40      | 0.00%             | 2047-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                         | SIMON PROPERTY GROUP LP 3.375% 12/01/2027                                                           | CUSIP: 828807DE4<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |   17551000 | PA      | $17372033.86   | 0.03%             | 2027-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 5% 03/15/2044#783932                                                                      | CUSIP: 3622A2LM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     365843 | PA      | $373705.52     | 0.00%             | 2044-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 04/01/2029#BM1400                                                                    | CUSIP: 3140J5RW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     399288 | PA      | $396508.56     | 0.00%             | 2029-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2047#AS8966                                                                      | CUSIP: 3138WJ6C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4999 | PA      | $4845.63       | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 12/47#MA4901                                                                             | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3403392 | PA      | $3296134.07    | 0.00%             | 2047-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 11/01/2032#G18666                                                                      | CUSIP: 3128MMW41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108192 | PA      | $105733.04     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIALS INC                                                   | MARTIN MARIETTA MATERIALS INC 3.5% 12/15/2027                                                       | CUSIP: 573284AT3<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1980489.10    | 0.00%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| BANK OF MONTREAL QUE                                                            | BANK OF MONTREAL QUE 3.803%/VAR 12/15/2032                                                          | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    9260000 | PA      | $9128243.90    | 0.01%             | 2032-12-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 09/47#MA4719                                                                           | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     637854 | PA      | $598293.59     | 0.00%             | 2047-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/46#AL8858                                                                           | CUSIP: 3138ETZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5404092 | PA      | $5260040.31    | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/01/2047#G08792                                                                    | CUSIP: 3128MJ3A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179592 | PA      | $168812.75     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2047#BM1066                                                                      | CUSIP: 3140J5FG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4909 | PA      | $4784.13       | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 06/01/2047#MA3049                                                                      | CUSIP: 31418CL77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217776 | PA      | $197687.60     | 0.00%             | 2047-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2047#MA3209                                                                      | CUSIP: 31418CR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234795 | PA      | $213064.07     | 0.00%             | 2047-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2047#MA3237                                                                      | CUSIP: 31418CS39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     302966 | PA      | $274924.77     | 0.00%             | 2048-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 3% 11/01/2047#BJ0978                                                                 | CUSIP: 3140H2CQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     312123 | PA      | $283234.75     | 0.00%             | 2047-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2047#MA3179                                                                      | CUSIP: 31418CQ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523639 | PA      | $475173.68     | 0.00%             | 2047-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                              | CENOVUS ENERGY INC 4.25% 04/15/2027                                                                 | CUSIP: 15135UAM1<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |    7547000 | PA      | $7579793.60    | 0.01%             | 2027-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                              | CENOVUS ENERGY INC 5.4% 06/15/2047                                                                  | CUSIP: 15135UAR0<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |    4439000 | PA      | $4110988.53    | 0.01%             | 2047-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 02/45#G60034                                                                         | CUSIP: 31335ABB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23471 | PA      | $23619.85      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2047#BJ1899                                                                      | CUSIP: 3140H3DD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157049 | PA      | $142513.10     | 0.00%             | 2047-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 04/01/2032#BE7426                                                                    | CUSIP: 3140FTHC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85484 | PA      | $82626.28      | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 3.5% 09/01/2027#MA3132                                                                    | CUSIP: 31418CPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1845 | PA      | $1835.19       | 0.00%             | 2027-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2032#BH8532                                                                    | CUSIP: 3140GXPS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25142 | PA      | $24228.13      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2032#BJ3932                                                                    | CUSIP: 3140H5LN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13265 | PA      | $12751.77      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2033#MA3246                                                                    | CUSIP: 31418CTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246567 | PA      | $237616.28     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2032#MA3217                                                                    | CUSIP: 31418CSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55743 | PA      | $53720.23      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | COMCAST CORP 3.969% 11/01/2047                                                                      | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    4131000 | PA      | $3172679.76    | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 12/47#MA4898                                                                           | CUSIP: 36179TNP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     234282 | PA      | $206163.29     | 0.00%             | 2047-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 12/20/2047#MA4899                                                                        | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6874614 | PA      | $6280560.23    | 0.01%             | 2047-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/01/2032#CA0785                                                                      | CUSIP: 3140Q72T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97174 | PA      | $94804.66      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC 3.85% 01/05/2028                                                           | CUSIP: 37045XCG9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    5561000 | PA      | $5519014.23    | 0.01%             | 2028-01-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2042#AP0549                                                                      | CUSIP: 3138M3TF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95095 | PA      | $93542.87      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2043#AU8278                                                                      | CUSIP: 3138X8FU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313677 | PA      | $307128.60     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2042#AQ8385                                                                      | CUSIP: 3138MQJ79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254500 | PA      | $249307.65     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2044#BC5090                                                                      | CUSIP: 3140F0UQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     422752 | PA      | $413664.64     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2047#G08785                                                                      | CUSIP: 3128MJ2T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1198245 | PA      | $1162032.14    | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 4.344% 01/09/2048                                                          | CUSIP: 53944YAE3<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   11915000 | PA      | $9985758.23    | 0.01%             | 2048-01-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 12/32#G18670                                                                           | CUSIP: 3128MMW82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     581200 | PA      | $567871.59     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 12/20/2047#MA4900                                                                      | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1200081 | PA      | $1124900.48    | 0.00%             | 2047-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FREDDIE MAC GOL 30YR 3.5% 09/01/2047#Q53086                                                         | CUSIP: 3132XVNC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5663639 | PA      | $5345078.66    | 0.01%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 07/01/2029#AW6899                                                                    | CUSIP: 3138XWUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5468 | PA      | $5428.76       | 0.00%             | 2029-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                          | SEMPRA 4% 02/01/2048                                                                                | CUSIP: 816851BJ7<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   17508000 | PA      | $13549343.33   | 0.02%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                          | SEMPRA 3.8% 02/01/2038                                                                              | CUSIP: 816851BH1<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    6737000 | PA      | $5830165.44    | 0.01%             | 2038-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2046#890723                                                                    | CUSIP: 31410LSL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43154 | PA      | $40705.73      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2046#Q44614                                                                    | CUSIP: 3132WJDU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2165 | PA      | $2165.70       | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 02/01/2046#Q40237                                                                    | CUSIP: 3132WDHP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86378 | PA      | $86691.18      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2047#G08764                                                                    | CUSIP: 3128MJZ60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24704 | PA      | $24685.67      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2047#Q48917                                                                    | CUSIP: 3132WN4B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29870 | PA      | $29847.96      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2047#Q48009                                                                    | CUSIP: 3132WM3T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52466 | PA      | $52426.51      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2047#G08754                                                                    | CUSIP: 3128MJZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41184 | PA      | $41153.44      | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2046#Q44555                                                                    | CUSIP: 3132WJBZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11594 | PA      | $11600.26      | 0.00%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2047#Q49361                                                                    | CUSIP: 3132WPMK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83350 | PA      | $83287.31      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2044#G07972                                                                    | CUSIP: 3128MAFM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3396 | PA      | $3417.73       | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/01/2047#G08781                                                                    | CUSIP: 3128MJ2P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270500 | PA      | $270043.78     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/01/2046#G08729                                                                    | CUSIP: 3128MJY38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113122 | PA      | $113355.41     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2045#AZ7950                                                                    | CUSIP: 3140E0ZQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41717 | PA      | $39322.66      | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2047#CA0859                                                                    | CUSIP: 3140Q75V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276227 | PA      | $259344.67     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2047#BJ1844                                                                    | CUSIP: 3140H3BN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120342 | PA      | $112986.94     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2046#BC7347                                                                    | CUSIP: 3140F3EV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102010 | PA      | $96221.22      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/01/2047#Q49427                                                                      | CUSIP: 3132WPPM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     180937 | PA      | $175581.71     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 08/01/2047#Q50234                                                                      | CUSIP: 3132XSHL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     145687 | PA      | $132357.39     | 0.00%             | 2047-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 01/01/2048#G08795                                                                      | CUSIP: 3128MJ3D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     894587 | PA      | $812735.48     | 0.00%             | 2048-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 09/01/2047#G08778                                                                      | CUSIP: 3128MJ2L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31407 | PA      | $28533.69      | 0.00%             | 2047-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2047#G08780                                                                      | CUSIP: 3128MJ2N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     609682 | PA      | $591256.20     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                              | ATHENE HOLDING LTD 4.125% 01/12/2028                                                                | CUSIP: 04686JAA9<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1994300.18    | 0.00%             | 2028-01-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASIAN DEVELOPMENT BANK                                                          | ASIAN DEVELOPMENT BANK 2.75% 01/19/2028                                                             | CUSIP: 045167EG4<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | CORP              | PH        |   29894000 | PA      | $29414012.67   | 0.04%             | 2028-01-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2048#G08800                                                                    | CUSIP: 3128MJ3J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     762844 | PA      | $717056.36     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                                                | ISRAEL STATE OF 3.25% 01/17/2028                                                                    | CUSIP: 46513YJH2<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   11430000 | PA      | $11190661.74   | 0.02%             | 2028-01-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2047#Q47255                                                                      | CUSIP: 3132WMBZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     741038 | PA      | $719105.84     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2048#BJ4341                                                                    | CUSIP: 3140H5ZF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     345789 | PA      | $324654.76     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2048#MA3276                                                                    | CUSIP: 31418CUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32437 | PA      | $30454.70      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                   | AEP TEXAS INC 3.8% 10/01/2047                                                                       | CUSIP: 00108WAF7<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    3383000 | PA      | $2534332.77    | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2032#BH5496                                                                    | CUSIP: 3140GUDA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2602 | PA      | $2505.32       | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 04/01/2031#BC8045                                                                    | CUSIP: 3140F35F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44577 | PA      | $43325.87      | 0.00%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2031#BE2860                                                                    | CUSIP: 3140FNFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31946 | PA      | $30938.26      | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2045#AS6309                                                                    | CUSIP: 3138WGAK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196828 | PA      | $185659.15     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2032#AS8610                                                                      | CUSIP: 3138WJR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     593141 | PA      | $580255.56     | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2033#MA3283                                                                      | CUSIP: 31418CUH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1180833 | PA      | $1152033.60    | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2048#MA3238                                                                    | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2779303 | PA      | $2609437.38    | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2032#BJ0958                                                                    | CUSIP: 3140H2B49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180427 | PA      | $173760.42     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3.875% 01/23/2028                         | CUSIP: 00774MAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   12472000 | PA      | $12404482.58   | 0.02%             | 2028-01-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 3.509%/VAR 01/23/2029                                                         | CUSIP: 46647PAM8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   25133000 | PA      | $24872912.15   | 0.04%             | 2029-01-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2046#AS7244                                                                    | CUSIP: 3138WHBN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6639 | PA      | $6253.91       | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 03/01/2046#AS6833                                                                    | CUSIP: 3138WGSX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16031 | PA      | $15121.34      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOLL BROTHERS FINANCE CORP                                                      | TOLL BROS FIN CORP 4.35% 02/15/2028                                                                 | CUSIP: 88947EAT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1907197.09    | 0.00%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                         | PHILIPPINES REPUBLIC OF 3% 02/01/2028                                                               | CUSIP: 718286CC9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |   15092000 | PA      | $14771295.00   | 0.02%             | 2028-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 3.772%/VAR 01/24/2029                                                                | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9753000 | PA      | $9688475.71    | 0.01%             | 2029-01-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 01/20/2048#MA4963                                                                        | CUSIP: 36179TQQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1161088 | PA      | $1124496.21    | 0.00%             | 2048-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FINANCIAL GROUP INC                                                   | JEFFERIES FINANCIAL GROUP INC 4.15% 01/23/2030                                                      | CUSIP: 47233JBH0<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |   11213000 | PA      | $11018392.44   | 0.02%             | 2030-01-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 12/01/2041#AL6717                                                                    | CUSIP: 3138EPPB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75137 | PA      | $78499.13      | 0.00%             | 2041-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2044#AL7668                                                                    | CUSIP: 3138EQQW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79109 | PA      | $82622.16      | 0.00%             | 2044-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2041#AL4469                                                                    | CUSIP: 3138EL6F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68057 | PA      | $70996.02      | 0.00%             | 2041-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2040#AD4884                                                                    | CUSIP: 31418SNA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13396 | PA      | $13997.79      | 0.00%             | 2040-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2041#AL5398                                                                    | CUSIP: 3138EM7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45162 | PA      | $47169.89      | 0.00%             | 2041-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 12/01/2041#AL6067                                                                    | CUSIP: 3138ENW54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67265 | PA      | $70351.97      | 0.00%             | 2041-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                                                    | KREDITANSTALT FUR WIEDER(UNGTD 2.875% 04/03/2028                                                    | CUSIP: 500769HS6<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |   12201000 | PA      | $12027085.60   | 0.02%             | 2028-04-03      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 3.8% 01/31/2028                                                                | CUSIP: 14040HBW4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   10327000 | PA      | $10271884.80   | 0.02%             | 2028-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| FEDEX CORP                                                                      | FEDEX CORP 4.05% 02/15/2048                                                                         | CUSIP: 31428XBQ8<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2238364.88    | 0.00%             | 2048-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                               | CHILE REPUBLIC OF 3.24% 02/06/2028                                                                  | CUSIP: 168863CF3<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    9215000 | PA      | $9049130.00    | 0.01%             | 2028-02-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL INC                                                     | HONEYWELL INTL INC 3.812% 11/21/2047                                                                | CUSIP: 438516BS4<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    1113000 | PA      | $892085.83     | 0.00%             | 2047-11-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 03/01/2032#BM1007                                                                    | CUSIP: 3140J5DM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3172955 | PA      | $3068114.13    | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES A GE CO LLC / BAKER HUGHES CO-OBLIGOR INC                          | BAKER HUGHES A GE CO LLC / CO-OBLIGOR INC 4.08% 12/15/2047                                          | CUSIP: 05723KAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   19106000 | PA      | $15446863.01   | 0.02%             | 2047-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| UST NOTES                                                                       | UST NOTES 2.75% 02/15/2028                                                                          | CUSIP: 9128283W8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      40000 | PA      | $39375.00      | 0.00%             | 2028-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                        | AMERICAN HOMES 4 RENT LP 4.25% 02/15/2028                                                           | CUSIP: 02666TAA5<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    7636000 | PA      | $7650834.53    | 0.01%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | COMCAST CORP 4% 03/01/2048                                                                          | CUSIP: 20030NCK5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    9532000 | PA      | $7338746.85    | 0.01%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | ENTERPRISE PRODS OPER LLC 4.25% 02/15/2048                                                          | CUSIP: 29379VBQ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   15839000 | PA      | $13257635.81   | 0.02%             | 2048-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 02/15/2045#AL2187                                                                      | CUSIP: 36183XNC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104387 | PA      | $95556.00      | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#AL4759                                                                      | CUSIP: 36184BJC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71640 | PA      | $65325.57      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 03/15/2045#AL5046                                                                      | CUSIP: 36184BTB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     215225 | PA      | $196888.46     | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#670029                                                                      | CUSIP: 36295GLJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63830 | PA      | $58468.96      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 03/15/2045#AL2575                                                                      | CUSIP: 36183X2G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     196066 | PA      | $180138.41     | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/45#AO0257                                                                           | CUSIP: 3617A0JA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78424 | PA      | $71557.66      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#AN5754                                                                      | CUSIP: 36186NMB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62102 | PA      | $56592.16      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 06/45#AN5715                                                                           | CUSIP: 36186NK40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20632 | PA      | $18849.33      | 0.00%             | 2045-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 02/15/2045#AK6887                                                                      | CUSIP: 36183QUL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55222 | PA      | $50517.49      | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 06/15/2045#AN5721                                                                      | CUSIP: 36186NLA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144955 | PA      | $133498.16     | 0.00%             | 2045-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/45#AK8997                                                                           | CUSIP: 36183S7J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24025 | PA      | $21900.75      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#AN7590                                                                      | CUSIP: 36186QNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93270 | PA      | $85578.13      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#AN8980                                                                      | CUSIP: 36186S6R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     277655 | PA      | $253021.10     | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/45#AL2996                                                                           | CUSIP: 36183YKH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88097 | PA      | $80383.18      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 06/45#AN5733                                                                           | CUSIP: 36186NLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33436 | PA      | $30527.71      | 0.00%             | 2045-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#AM8979                                                                      | CUSIP: 36185B6Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82074 | PA      | $75280.56      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#AN7592                                                                      | CUSIP: 36186QNH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     161056 | PA      | $147095.75     | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 4.7% 04/15/2048                                                                             | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   15489000 | PA      | $13007579.33   | 0.02%             | 2048-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 01/48#MA4962                                                                           | CUSIP: 36179TQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6428582 | PA      | $6021836.46    | 0.01%             | 2048-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM CORP / BROADCOM CAYMAN FIN LTD                                         | BROADCOM CORP / BROADCOM CAYMAN FIN LTD 3.5% 01/15/2028                                             | CUSIP: 11134LAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5561000 | PA      | $5513726.94    | 0.01%             | 2028-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2047#BM3065                                                                    | CUSIP: 3140J7MP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2023033 | PA      | $1902549.85    | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/01/2047#Q53034                                                                    | CUSIP: 3132XVLQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31509 | PA      | $29617.91      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 10/01/2047#V83497                                                                    | CUSIP: 3132L83E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     255611 | PA      | $240428.25     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2047#V83592                                                                    | CUSIP: 3132L87D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170266 | PA      | $160153.05     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2047#Q52131                                                                    | CUSIP: 3132XULM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25844 | PA      | $24308.89      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/01/2047#V83817                                                                    | CUSIP: 3132L9G25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4003509 | PA      | $3763209.30    | 0.01%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 09/01/2046#BD5397                                                                    | CUSIP: 3140FC7K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162062 | PA      | $142029.98     | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2048#MA3275                                                                      | CUSIP: 31418CT95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263728 | PA      | $239318.87     | 0.00%             | 2048-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2047#BJ1938                                                                      | CUSIP: 3140H3EL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52839 | PA      | $48047.71      | 0.00%             | 2047-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 07/01/2047#BH6084                                                                      | CUSIP: 3140GUXN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76935 | PA      | $78550.39      | 0.00%             | 2047-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/01/2047#BH4644                                                                      | CUSIP: 3140GTES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65646 | PA      | $67065.46      | 0.00%             | 2047-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 07/01/2047#MA3077                                                                      | CUSIP: 31418CM35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129843 | PA      | $132650.86     | 0.00%             | 2047-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2048#MA3304                                                                      | CUSIP: 31418CU69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     542818 | PA      | $492578.30     | 0.00%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2047#BE3702                                                                      | CUSIP: 3140FPDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1507426 | PA      | $1461120.22    | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2047#BJ0985                                                                    | CUSIP: 3140H2CX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55038 | PA      | $51674.55      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2047#CA1159                                                                    | CUSIP: 3140Q8JD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2837539 | PA      | $2667661.16    | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2048#BJ3995                                                                    | CUSIP: 3140H5NM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     353674 | PA      | $332058.46     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2047#BH9392                                                                    | CUSIP: 3140GYNJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     890520 | PA      | $836649.77     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 02/20/2048#MA5020                                                                        | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100386 | PA      | $97221.98      | 0.00%             | 2048-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                          | COMMONWEALTH EDISON CO 4% 03/01/2048                                                                | CUSIP: 202795JM3<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    5426000 | PA      | $4394002.53    | 0.01%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/48#G08796                                                                         | CUSIP: 3128MJ3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     417003 | PA      | $391973.62     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/47#V83762                                                                         | CUSIP: 3132L9FB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2562640 | PA      | $2408824.76    | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANE TECHNOLOGIES HOLDCO INC                                                   | TRANE TECHNOLOGIES HOLDCO INC 3.75% 08/21/2028                                                      | CUSIP: 45687AAP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3694000 | PA      | $3677839.60    | 0.01%             | 2028-08-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANE TECHNOLOGIES HOLDCO INC                                                   | TRANE TECHNOLOGIES HOLDCO INC 4.3% 02/21/2048                                                       | CUSIP: 45687AAN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3948000 | PA      | $3374812.27    | 0.00%             | 2048-02-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2047#BM2005                                                                      | CUSIP: 3140J6GP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55248 | PA      | $53551.32      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 4% 03/01/2028                                                           | CUSIP: 92277GAM9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   17202000 | PA      | $17159481.82   | 0.03%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/32#BJ2208                                                                           | CUSIP: 3140H3N28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11676 | PA      | $11398.08      | 0.00%             | 2032-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/33#MA3247                                                                           | CUSIP: 31418CTD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     838276 | PA      | $818188.34     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/32#BH9388                                                                           | CUSIP: 3140GYNE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118868 | PA      | $116096.37     | 0.00%             | 2032-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2033#MA3312                                                                      | CUSIP: 31418CVE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97988 | PA      | $95598.60      | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 03/01/2033#MA3313                                                                    | CUSIP: 31418CVF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184153 | PA      | $181819.98     | 0.00%             | 2033-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2032#BJ5985                                                                      | CUSIP: 3140H7UK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199370 | PA      | $194253.39     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2033#CA1096                                                                      | CUSIP: 3140Q8GE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72900 | PA      | $71169.39      | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2032#BE7145                                                                      | CUSIP: 3140FS5F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339349 | PA      | $332162.94     | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2033#BJ3641                                                                    | CUSIP: 3140H5BK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     425914 | PA      | $409539.64     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2031#BD6162                                                                      | CUSIP: 3140FDZ41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125243 | PA      | $122591.64     | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/01/2031#BD6142                                                                      | CUSIP: 3140FDZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119059 | PA      | $116511.93     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 08/01/2047#BH5226                                                                      | CUSIP: 3140GTYY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135642 | PA      | $138490.52     | 0.00%             | 2047-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/01/2040#AD1092                                                                      | CUSIP: 31418NGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35526 | PA      | $36362.23      | 0.00%             | 2040-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 01/20/2048#MA4961                                                                        | CUSIP: 36179TQN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3345483 | PA      | $3056390.60    | 0.00%             | 2048-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 08/20/2047#MA4655                                                                        | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44054 | PA      | $45132.53      | 0.00%             | 2047-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 07/20/2047#MA4589                                                                        | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24492 | PA      | $25092.06      | 0.00%             | 2047-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 11/20/2047#MA4837                                                                      | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5764424 | PA      | $5403303.62    | 0.01%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 02/20/2048#MA5019                                                                      | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1011614 | PA      | $947608.12     | 0.00%             | 2048-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 12/20/2047#MA4903                                                                        | CUSIP: 36179TNU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     402767 | PA      | $412630.65     | 0.00%             | 2047-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 10/20/2047#MA4781                                                                        | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     108308 | PA      | $110960.38     | 0.00%             | 2047-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 11/20/2047#MA4840                                                                        | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     372291 | PA      | $381408.52     | 0.00%             | 2047-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 02/20/2048#MA5018                                                                        | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     733803 | PA      | $669475.64     | 0.00%             | 2048-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 3.625% 03/01/2048                                                                         | CUSIP: 097023BZ7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    3177000 | PA      | $2302414.57    | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 04/20/2046#MA3600                                                                        | CUSIP: 36179R7M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67984 | PA      | $69482.90      | 0.00%             | 2046-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC DEL                                                           | KINDER MORGAN INC DEL 5.2% 03/01/2048                                                               | CUSIP: 49456BAQ4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    6974000 | PA      | $6457948.90    | 0.01%             | 2048-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC DEL                                                           | KINDER MORGAN INC DEL 4.3% 03/01/2028                                                               | CUSIP: 49456BAP6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    7919000 | PA      | $7964184.31    | 0.01%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | MITSUBISHI UFJ FIN GRP INC 3.961% 03/02/2028                                                        | CUSIP: 606822AV6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   17476000 | PA      | $17492787.97   | 0.03%             | 2028-03-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 4.85% 03/01/2048                                                                   | CUSIP: 96949LAE5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    6697000 | PA      | $5970472.54    | 0.01%             | 2048-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                  | BURLINGTON NORTHN SANTA FE LLC 4.05% 06/15/2048                                                     | CUSIP: 12189LBC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13373000 | PA      | $11019345.31   | 0.02%             | 2048-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                     | PHILLIPS 66 3.9% 03/15/2028                                                                         | CUSIP: 718546AR5<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1990374.30    | 0.00%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                      | MARSH and MCLENNAN COS INC 4.2% 03/01/2048                                                          | CUSIP: 571748BD3<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    3868000 | PA      | $3249400.82    | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                             | ELEVANCE HEALTH INC 4.55% 03/01/2048                                                                | CUSIP: 036752AH6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    3741000 | PA      | $3226993.37    | 0.00%             | 2048-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 3.97%/VAR 03/05/2029                                                    | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   17399000 | PA      | $17371473.56   | 0.03%             | 2029-03-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMISIONES SAU                                                        | TELEFONICA EMISIONES SAU 4.895% 03/06/2048                                                          | CUSIP: 87938WAW3<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |    3000000 | PA      | $2555570.49    | 0.00%             | 2048-03-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2044#BM3279                                                                    | CUSIP: 3140J7UD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1571834 | PA      | $1630465.37    | 0.00%             | 2044-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                   | SOUTHERN CALIFORNIA EDISON CO 4.125% 03/01/2048                                                     | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    5606000 | PA      | $4355667.14    | 0.01%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| SANTANDER HLDGS USA INC                                                         | SANTANDER HLDGS USA INC 4.4% 07/13/2027                                                             | CUSIP: 80282KAP1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4613468.11    | 0.01%             | 2027-07-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2048#Q53535                                                                    | CUSIP: 3132XV4V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1515138 | PA      | $1424196.26    | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 4.3% 03/25/2028                                                                     | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   18985000 | PA      | $19037639.52   | 0.03%             | 2028-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 5.05% 03/25/2048                                                                    | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   21765000 | PA      | $19527875.12   | 0.03%             | 2048-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALBERTA PROVINCE CDA                                                            | ALBERTA PROVINCE CDA 3.3% 03/15/2028                                                                | CUSIP: 013051EA1<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | NUSS              | CA        |    7930000 | PA      | $7867773.29    | 0.01%             | 2028-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                            | EDISON INTERNATIONAL 4.125% 03/15/2028                                                              | CUSIP: 281020AM9<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1976740.08    | 0.00%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2047#BH5315                                                                      | CUSIP: 3140GT3Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7520 | PA      | $7288.76       | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2047#BH9883                                                                      | CUSIP: 3140GY6V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363712 | PA      | $330048.65     | 0.00%             | 2047-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2047#BH8084                                                                      | CUSIP: 3140GW6W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15817 | PA      | $14447.09      | 0.00%             | 2047-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2047#BJ4481                                                                      | CUSIP: 3140H56T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140016 | PA      | $135670.70     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2047#BE3465                                                                      | CUSIP: 3140FNZ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106739 | PA      | $103460.49     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2047#BE9574                                                                      | CUSIP: 3140FVT89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115295 | PA      | $111753.14     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2047#BH0466                                                                      | CUSIP: 3140GNQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94508 | PA      | $91605.24      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2048#MA3331                                                                      | CUSIP: 31418CVZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1162181 | PA      | $1054616.44    | 0.00%             | 2048-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PROGRESSIVE CORP OHIO                                                           | PROGRESSIVE CORP OHIO 4.2% 03/15/2048                                                               | CUSIP: 743315AT0<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |    4398000 | PA      | $3737072.74    | 0.01%             | 2048-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THE CAMPBELL'S COMPANY                                                          | THE CAMPBELL'S COMPANY 4.8% 03/15/2048                                                              | CUSIP: 134429BH1<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |   11120000 | PA      | $9908514.03    | 0.01%             | 2048-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| HARTFORD INSURANCE GROUP INC/THE                                                | HARTFORD INSURANCE GROUP INC/THE 4.4% 03/15/2048                                                    | CUSIP: 416515BD5<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |    7713000 | PA      | $6665255.59    | 0.01%             | 2048-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 10/01/2032#G18663                                                                      | CUSIP: 3128MMWZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99894 | PA      | $97645.39      | 0.00%             | 2032-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 03/01/2032#J36552                                                                      | CUSIP: 31307TH53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44070 | PA      | $43182.86      | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 09/01/2032#J37522                                                                      | CUSIP: 31307ULB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     324324 | PA      | $316674.03     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 11/01/2032#J38040                                                                      | CUSIP: 31307U4Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     248626 | PA      | $243283.02     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 12/01/2032#J38039                                                                      | CUSIP: 31307U4Y1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146207 | PA      | $142703.41     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 07/01/2032#J37574                                                                      | CUSIP: 31307UMX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     400268 | PA      | $391420.30     | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 03/01/2033#G18683                                                                    | CUSIP: 3128MMXM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     416140 | PA      | $400850.80     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 02/01/2033#G18676                                                                    | CUSIP: 3128MMXE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1637225 | PA      | $1578832.79    | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 12/01/2032#G18669                                                                    | CUSIP: 3128MMW74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66013 | PA      | $63683.33      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 09/01/2032#J37643                                                                    | CUSIP: 31307UP44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146587 | PA      | $141465.11     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 08/01/2032#G16257                                                                    | CUSIP: 3128MFE61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27845 | PA      | $26911.33      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 03/01/2033#G18680                                                                    | CUSIP: 3128MMXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1410512 | PA      | $1359674.44    | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 03/01/2033#J38747                                                                      | CUSIP: 31307VWG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43275 | PA      | $42217.51      | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 02/01/2033#J38464                                                                      | CUSIP: 31307VMM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104032 | PA      | $101421.58     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 03/01/2033#J38736                                                                      | CUSIP: 31307VV52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     141271 | PA      | $138032.35     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 12/01/2032#J38109                                                                      | CUSIP: 31307VAJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     626004 | PA      | $611503.08     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 02/01/2033#J38588                                                                      | CUSIP: 31307VRH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1713094 | PA      | $1673800.21    | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 03/01/2033#J38672                                                                    | CUSIP: 31307VT55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     198517 | PA      | $191580.67     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 03/20/2048#MA5078                                                                        | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54391 | PA      | $52608.56      | 0.00%             | 2048-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2048#MA3277                                                                      | CUSIP: 31418CUB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72910 | PA      | $70579.55      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 03/20/2048#MA5076                                                                        | CUSIP: 36179TT96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     812749 | PA      | $741501.19     | 0.00%             | 2048-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 09/20/2047#MA4721                                                                      | CUSIP: 36179TG66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1479449 | PA      | $1480637.07    | 0.00%             | 2047-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 03/20/2048#MA5077                                                                      | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     563904 | PA      | $528224.92     | 0.00%             | 2048-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL GROUP INC                                                | AMERICAN INTERNATIONAL GRP INC 4.75% 04/01/2048                                                     | CUSIP: 026874DL8<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |    7808000 | PA      | $7014647.78    | 0.01%             | 2048-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 4.6% 04/15/2048                                                      | CUSIP: 035240AN0<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   14894000 | PA      | $13511101.63   | 0.02%             | 2048-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                  | VIRGINIA ELECTRIC AND POWER CO 3.8% 04/01/2028                                                      | CUSIP: 927804FZ2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   11844000 | PA      | $11799818.09   | 0.02%             | 2028-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINL INC                                                             | PRUDENTIAL FINL INC 3.878% 03/27/2028                                                               | CUSIP: 74432QCC7<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    3305000 | PA      | $3302482.95    | 0.00%             | 2028-03-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINL INC                                                             | PRUDENTIAL FINL INC 4.418% 03/27/2048                                                               | CUSIP: 74432QCD5<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    5044000 | PA      | $4341009.55    | 0.01%             | 2048-03-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASSURANT INC                                                                    | ASSURANT INC 4.9% 03/27/2028                                                                        | CUSIP: 04621XAJ7<br>LEI: H3F39CAXWQRVWURFXL38 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3949798.55    | 0.01%             | 2028-03-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES CORP                                                     | CENTERPOINT ENERGY RES CORP 4% 04/01/2028                                                           | CUSIP: 15189WAL4<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |    7400000 | PA      | $7390587.87    | 0.01%             | 2028-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| GEORGE WASHINGTON UNIVERSITY                                                    | GEORGE WASH UNIV 4.126% 09/15/2048                                                                  | CUSIP: 372546AW1<br>LEI: 5493002S4P5IVD462L47 | Long             | DBT              | CORP              | US        |    5575000 | PA      | $4632778.73    | 0.01%             | 2048-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 02/01/2033#CA1305                                                                      | CUSIP: 3140Q8NX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     859781 | PA      | $860334.26     | 0.00%             | 2033-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 01/01/2033#CA1110                                                                      | CUSIP: 3140Q8GU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292395 | PA      | $292564.51     | 0.00%             | 2033-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.75% 04/01/2048    | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4154000 | PA      | $3640186.92    | 0.01%             | 2048-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                                               | GENERAL MILLS INC 4.2% 04/17/2028                                                                   | CUSIP: 370334CG7<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |   13662000 | PA      | $13703737.14   | 0.02%             | 2028-04-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2048#G67710                                                                    | CUSIP: 3132XCR72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3989770 | PA      | $3762763.16    | 0.01%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2047#BH1071                                                                    | CUSIP: 3140GPFM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44668 | PA      | $44583.16      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/48#BJ3471                                                                           | CUSIP: 3140H42D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     641874 | PA      | $621354.37     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2047#Q52086                                                                    | CUSIP: 3132XUJ89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21990 | PA      | $20683.47      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOLLAR TREE INC                                                                 | DOLLAR TREE INC 4.2% 05/15/2028                                                                     | CUSIP: 256746AH1<br>LEI: 549300PMSTQITB1WHR43 | Long             | DBT              | CORP              | US        |    8178000 | PA      | $8169161.30    | 0.01%             | 2028-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                              | PANAMA REPUBLIC OF 4.5% 04/16/2050                                                                  | CUSIP: 698299BH6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   10235000 | PA      | $7781158.75    | 0.01%             | 2050-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                                     | NUTRIEN LTD 4% 12/15/2026                                                                           | CUSIP: 67077MAE8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    9055000 | PA      | $9047517.31    | 0.01%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                                     | NUTRIEN LTD 5.25% 01/15/2045                                                                        | CUSIP: 67077MAS7<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    2780000 | PA      | $2642407.01    | 0.00%             | 2045-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                                     | NUTRIEN LTD 5.625% 12/01/2040                                                                       | CUSIP: 67077MAG3<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    1430000 | PA      | $1452972.42    | 0.00%             | 2040-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2048#MA3333                                                                      | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2782862 | PA      | $2693898.00    | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2048#BM2006                                                                      | CUSIP: 3140J6GQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6008381 | PA      | $5820057.21    | 0.01%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2047#BE5539                                                                      | CUSIP: 3140FREM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109458 | PA      | $106232.47     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2048#BJ3947                                                                    | CUSIP: 3140H5L58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1156758 | PA      | $1086058.81    | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 07/01/2046#AS7611                                                                    | CUSIP: 3138WHN57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2332388 | PA      | $2043360.43    | 0.00%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2047#AS9990                                                                    | CUSIP: 3138WLC43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     381035 | PA      | $380309.96     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                  | EPR PPTYS 4.95% 04/15/2028                                                                          | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4032997.64    | 0.01%             | 2028-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/47#BE3776                                                                         | CUSIP: 3140FPFS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96621 | PA      | $96436.98      | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/47#BH9019                                                                           | CUSIP: 3140GYAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3662 | PA      | $3553.28       | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENTAL DEL URUGUAY                                                  | URUGUAY REPUBLICA ORIENTAL DL 4.975% 04/20/2055                                                     | CUSIP: 760942BD3<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   16418564 | PA      | $15146125.29   | 0.02%             | 2055-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                     | MOODYS CORP 3.25% 01/15/2028                                                                        | CUSIP: 615369AM7<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |   12663000 | PA      | $12469311.31   | 0.02%             | 2028-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.005%/VAR 04/23/2029                                                         | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   16311000 | PA      | $16295279.62   | 0.02%             | 2029-04-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: —       |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 04/20/2048#MA5135                                                                        | CUSIP: 36179TV44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     677877 | PA      | $619299.81     | 0.00%             | 2048-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                   | CA ST 3.50% 4/1/2028                                                                                | CUSIP: 13063DGC6<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |   10235000 | PA      | $10196331.15   | 0.01%             | 2028-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 10/20/2047#MA4780                                                                      | CUSIP: 36179TJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1179039 | PA      | $1179985.46    | 0.00%             | 2047-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 4.411%/VAR 04/23/2039                                                 | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5770000 | PA      | $5410633.03    | 0.01%             | 2039-04-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 4.457%/VAR 04/22/2039                                                                | CUSIP: 61744YAR9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    6005000 | PA      | $5697290.53    | 0.01%             | 2039-04-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 3.5% 02/45#BM3805                                                                    | CUSIP: 3140J8GP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10652861 | PA      | $10160807.77   | 0.01%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2033#MA3339                                                                      | CUSIP: 31418CV92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348096 | PA      | $339528.02     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 05/01/2048#MA5194                                                                        | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     230049 | PA      | $234820.37     | 0.00%             | 2048-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 04/20/2048#MA5139                                                                        | CUSIP: 36179TV85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1181875 | PA      | $1207126.34    | 0.00%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 05/20/2048#MA5192                                                                        | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3843065 | PA      | $3717146.82    | 0.01%             | 2048-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 03/44#AW2016                                                                           | CUSIP: 3138XRG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49342 | PA      | $50547.17      | 0.00%             | 2044-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 03/01/2032#BD7096                                                                      | CUSIP: 3140FE3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     497148 | PA      | $497240.17     | 0.00%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC.                                                          | TEXAS INSTRUMENTS INC 4.15% 05/15/2048                                                              | CUSIP: 882508BD5<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    5526000 | PA      | $4643558.92    | 0.01%             | 2048-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.875% 05/15/2028                                                                         | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  139624800 | PA      | $137601330.87  | 0.20%             | 2028-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                               | BERKSHIRE HATHAWAY ENERGY COMPANY 3.25% 04/15/2028                                                  | CUSIP: 084659AM3<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    7944000 | PA      | $7819497.58    | 0.01%             | 2028-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                               | BERKSHIRE HATHAWAY ENERGY COMPANY 3.8% 07/15/2048                                                   | CUSIP: 084659AP6<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    7944000 | PA      | $6091051.04    | 0.01%             | 2048-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                           | FLORIDA PWR and LT CO 4.125% 06/01/2048                                                             | CUSIP: 341081FR3<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    9771000 | PA      | $8122101.15    | 0.01%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                           | REPUBLIC SERVICES INC 3.95% 05/15/2028                                                              | CUSIP: 760759AT7<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    8340000 | PA      | $8358497.20    | 0.01%             | 2028-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINL INC                                                             | PRUDENTIAL FINL INC 3.935% 12/07/2049                                                               | CUSIP: 744320BA9<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    8515000 | PA      | $6729753.87    | 0.01%             | 2049-12-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINL INC                                                             | PRUDENTIAL FINL INC 3.905% 12/07/2047                                                               | CUSIP: 744320AY8<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |     437000 | PA      | $349382.92     | 0.00%             | 2047-12-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES LTD                                                       | TRANSCANADA PIPELINES LTD 4.75% 05/15/2038                                                          | CUSIP: 89352HAX7<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    8334000 | PA      | $7942241.41    | 0.01%             | 2038-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES LTD                                                       | TRANSCANADA PIPELINES LTD 4.875% 05/15/2048                                                         | CUSIP: 89352HAY5<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    3908000 | PA      | $3564218.75    | 0.01%             | 2048-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                          | CONSOLIDATED EDISON CO OF NY 4.5% 05/15/2058                                                        | CUSIP: 209111FQ1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    7530000 | PA      | $6291565.60    | 0.01%             | 2058-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KELLANOVA                                                                       | KELLANOVA 4.3% 05/15/2028                                                                           | CUSIP: 487836BW7<br>LEI: LONOZNOJYIBXOHXWDB86 | Long             | DBT              | CORP              | US        |    4766000 | PA      | $4798260.43    | 0.01%             | 2028-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                           | GENERAL DYNAMICS CORP 3.75% 05/15/2028                                                              | CUSIP: 369550BC1<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |    7466000 | PA      | $7479513.31    | 0.01%             | 2028-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/48#BM3904                                                                           | CUSIP: 3140J8KS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303924 | PA      | $310497.19     | 0.00%             | 2048-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2048#MA3377                                                                      | CUSIP: 31418CXF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132658 | PA      | $120379.63     | 0.00%             | 2048-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2048#BJ8566                                                                      | CUSIP: 3140HAQU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     782342 | PA      | $709932.91     | 0.00%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2047#CA0850                                                                      | CUSIP: 3140Q75L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1714347 | PA      | $1555677.05    | 0.00%             | 2047-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2048#Q54036                                                                    | CUSIP: 3132XWPW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5227 | PA      | $4913.39       | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2046#Q43786                                                                    | CUSIP: 3132WHF42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8119 | PA      | $7657.06       | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2048#G08808                                                                    | CUSIP: 3128MJ3S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102956 | PA      | $96775.99      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2048#Q55877                                                                    | CUSIP: 3132XYQ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18664 | PA      | $17543.93      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2047#Q52079                                                                    | CUSIP: 3132XUJZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22257 | PA      | $20934.73      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2048#Q53556                                                                    | CUSIP: 3132XV5S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29550 | PA      | $27776.20      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2047#Q51096                                                                    | CUSIP: 3132XTGE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35034 | PA      | $32953.39      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 10/01/2047#Q51774                                                                    | CUSIP: 3132XT6L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204007 | PA      | $191889.24     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2048#Q54325                                                                    | CUSIP: 3132XWYX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29521 | PA      | $27749.26      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2048#Q55220                                                                    | CUSIP: 3132XXYS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28840 | PA      | $27108.95      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2048#Q54743                                                                    | CUSIP: 3132XXHV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     298031 | PA      | $280142.08     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2048#Q54552                                                                    | CUSIP: 3132XXBW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25917 | PA      | $24361.54      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2048#G08813                                                                    | CUSIP: 3128MJ3X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     467047 | PA      | $439013.39     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2048#Q53751                                                                    | CUSIP: 3132XWEZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44027 | PA      | $41384.33      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2048#Q54867                                                                    | CUSIP: 3132XXMR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60136 | PA      | $56526.56      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2048#Q54780                                                                    | CUSIP: 3132XXJ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42292 | PA      | $39753.69      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2048#Q54362                                                                    | CUSIP: 3132XWZ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59382 | PA      | $55817.78      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2048#Q56028                                                                    | CUSIP: 3132XYVW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101962 | PA      | $96001.80      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2047#Q52319                                                                    | CUSIP: 3132XUSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     866739 | PA      | $815257.03     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/01/2047#V83832                                                                    | CUSIP: 3132L9HH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1005330 | PA      | $944988.27     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2048#Q54832                                                                    | CUSIP: 3132XXLN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1410646 | PA      | $1325976.14    | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2048#G08816                                                                    | CUSIP: 3128MJ4A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     649795 | PA      | $610792.89     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/01/2047#Q50591                                                                    | CUSIP: 3132XSUR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111693 | PA      | $111504.21     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2047#Q49494                                                                    | CUSIP: 3132WPRQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1088691 | PA      | $1087874.86    | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2048#G08818                                                                    | CUSIP: 3128MJ4C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     162443 | PA      | $161965.61     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/01/2047#Q50930                                                                    | CUSIP: 3132XTA81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     390454 | PA      | $389795.23     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2047#                                                                          | CUSIP: 3128MJ3C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17668 | PA      | $17638.60      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2047#Q48093                                                                    | CUSIP: 3132WM7F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3452 | PA      | $3449.85       | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2047#Q47955                                                                    | CUSIP: 3132WMZV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39495 | PA      | $39464.98      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2046#G08704                                                                    | CUSIP: 3128MJYA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28122 | PA      | $28224.39      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/01/2047#Q50658                                                                    | CUSIP: 3132XSWU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15513 | PA      | $15496.36      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2047#G08786                                                                    | CUSIP: 3128MJ2U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49920 | PA      | $49836.21      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2047#Q52210                                                                    | CUSIP: 3132XUN43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56860 | PA      | $56764.44      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2047#Q51743                                                                    | CUSIP: 3132XT5D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     142084 | PA      | $141844.17     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2047#Q52321                                                                    | CUSIP: 3132XUSK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55122 | PA      | $55029.03      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2048#Q53444                                                                    | CUSIP: 3132XVZJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2814 | PA      | $2808.08       | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2048#Q54021                                                                    | CUSIP: 3132XWPF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171940 | PA      | $171596.14     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/01/2047#Q50656                                                                    | CUSIP: 3132XSWS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87971 | PA      | $87822.15      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2047#G08790                                                                    | CUSIP: 3128MJ2Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     571791 | PA      | $570826.48     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2046#AS8570                                                                    | CUSIP: 3138WJQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156135 | PA      | $136688.97     | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/01/2046#BC1863                                                                    | CUSIP: 3140EWB95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51499 | PA      | $45116.94      | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2048#BH9277                                                                    | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1871727 | PA      | $1757330.64    | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2048#BJ8625                                                                    | CUSIP: 3140HASP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21429 | PA      | $20112.64      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2047#G61280                                                                    | CUSIP: 31335BM52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     463684 | PA      | $462901.40     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/01/2046#G60854                                                                    | CUSIP: 31335A5P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7682 | PA      | $7710.23       | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                             | GLOBAL PAYMENTS INC 4.45% 06/01/2028                                                                | CUSIP: 891906AF6<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2004039.60    | 0.00%             | 2028-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/48#G08814                                                                           | CUSIP: 3128MJ3Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3054550 | PA      | $2960327.51    | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2047#Q52666                                                                    | CUSIP: 3132XU6C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146613 | PA      | $146365.77     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMEREN ILL CO                                                                   | AMEREN ILL CO 3.8% 05/15/2028                                                                       | CUSIP: 02361DAS9<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1497061.49    | 0.00%             | 2028-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2032#BH5773                                                                    | CUSIP: 3140GUMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11723 | PA      | $11306.16      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2032#AS8678                                                                    | CUSIP: 3138WJUC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337037 | PA      | $325906.42     | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                               | NATWEST GROUP PLC 4.892%/VAR 05/18/2029                                                             | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    6766000 | PA      | $6882652.94    | 0.01%             | 2029-05-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2048#BJ2763                                                                    | CUSIP: 3140H4B94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165786 | PA      | $165159.96     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONCOR ELEC DELIVERY CO LLC                                                      | ONCOR ELEC DELIVERY CO LLC 3.8% 09/30/2047                                                          | CUSIP: 68233JBD5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    7733000 | PA      | $6066288.49    | 0.01%             | 2047-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 3.419%/VAR 12/20/2028                                                   | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   24064000 | PA      | $23766072.28   | 0.03%             | 2028-12-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| VODAFONE GRP PLC                                                                | VODAFONE GROUP PLC 4.375% 05/30/2028                                                                | CUSIP: 92857WBK5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   20333000 | PA      | $20663254.89   | 0.03%             | 2028-05-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VODAFONE GRP PLC                                                                | VODAFONE GROUP PLC 5.25% 05/30/2048                                                                 | CUSIP: 92857WBM1<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   18988000 | PA      | $17849086.28   | 0.03%             | 2048-05-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                                           | NORFOLK SOUTHERN CORP 4.05% 08/15/2052                                                              | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    6859000 | PA      | $5461129.01    | 0.01%             | 2052-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 06/20/2048#MA5266                                                                        | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1196573 | PA      | $1220268.36    | 0.00%             | 2048-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 2.5% 12/01/2026#MA2829                                                                    | CUSIP: 31418CEB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23298 | PA      | $23096.21      | 0.00%             | 2026-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 02/20/2048#MA5022                                                                        | CUSIP: 36179TSK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85932 | PA      | $87821.38      | 0.00%             | 2048-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 6% 06/15/2048                                                                    | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   15589000 | PA      | $15304714.16   | 0.02%             | 2048-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 4.95% 06/15/2028                                                                 | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    7490000 | PA      | $7620040.63    | 0.01%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 5.8% 06/15/2038                                                                  | CUSIP: 29278NAD5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    6960000 | PA      | $7155671.98    | 0.01%             | 2038-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                              | UNION PACIFIC CORP 3.95% 09/10/2028                                                                 | CUSIP: 907818EY0<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2002929.80    | 0.00%             | 2028-09-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | AMAZON.COM INC 3.15% 08/22/2027                                                                     | CUSIP: 023135BC9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    8309000 | PA      | $8235844.49    | 0.01%             | 2027-08-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | AMAZON.COM INC 4.25% 08/22/2057                                                                     | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    7208000 | PA      | $5967809.40    | 0.01%             | 2057-08-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | AMAZON.COM INC 4.05% 08/22/2047                                                                     | CUSIP: 023135BJ4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   15112000 | PA      | $12723764.50   | 0.02%             | 2047-08-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | AMAZON.COM INC 3.875% 08/22/2037                                                                    | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    8728000 | PA      | $8111683.02    | 0.01%             | 2037-08-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2032#BM1890                                                                    | CUSIP: 3140J6C47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1686850 | PA      | $1640773.07    | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                      | INTEL CORP 3.734% 12/08/2047                                                                        | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    2594000 | PA      | $1896842.60    | 0.00%             | 2047-12-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                                                     | LENNAR CORP 4.75% 11/29/2027                                                                        | CUSIP: 526057CD4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |    6283000 | PA      | $6332790.45    | 0.01%             | 2027-11-29      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 08/01/2046#AS7728                                                                      | CUSIP: 3138WHSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     290962 | PA      | $266396.56     | 0.00%             | 2046-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2048#MA3414                                                                    | CUSIP: 31418CYL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271614 | PA      | $254843.93     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 06/01/2048#MA3425                                                                      | CUSIP: 31418CYX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3692736 | PA      | $3350957.24    | 0.00%             | 2048-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2048#MA3383                                                                    | CUSIP: 31418CXM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     880802 | PA      | $826968.96     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2048#BK6049                                                                    | CUSIP: 3140HKWK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14592 | PA      | $13731.85      | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/47#BH5768                                                                         | CUSIP: 3140GUMS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     543939 | PA      | $542393.93     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/48#CA1564                                                                         | CUSIP: 3140Q8W27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     389447 | PA      | $387975.02     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2048#BJ5488                                                                      | CUSIP: 3140H7C21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142604 | PA      | $138045.24     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2048#BJ5746                                                                      | CUSIP: 3140H7L47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33861 | PA      | $32778.28      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2048#BJ4623                                                                      | CUSIP: 3140H6D55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69594 | PA      | $67368.85      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2048#BJ4547                                                                      | CUSIP: 3140H6BR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     247206 | PA      | $239303.38     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2048#MA3357                                                                      | CUSIP: 31418CWT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     441939 | PA      | $427810.76     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2048#BK7087                                                                      | CUSIP: 3140HL2V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14483 | PA      | $13864.09      | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2047#BJ1687                                                                      | CUSIP: 3140H22V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14405 | PA      | $13944.27      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2047#BE8050                                                                      | CUSIP: 3140FT5L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12217 | PA      | $11841.32      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2048#BJ6216                                                                      | CUSIP: 3140H74A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134983 | PA      | $130667.92     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2048#BJ9942                                                                      | CUSIP: 3140HCBL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22882 | PA      | $22214.81      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2048#BK5740                                                                      | CUSIP: 3140HKLW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216072 | PA      | $206997.24     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2048#BK5381                                                                      | CUSIP: 3140HJ6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140248 | PA      | $134357.69     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2048#BK0252                                                                      | CUSIP: 3140HDH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1047317 | PA      | $1012853.95    | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2045#BM3936                                                                    | CUSIP: 3140J8LS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1870138 | PA      | $1883256.59    | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2047#BJ0185                                                                      | CUSIP: 3140H1F39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145548 | PA      | $141258.70     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2048#BJ5511                                                                      | CUSIP: 3140H7DR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3401590 | PA      | $3301350.07    | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2047#BJ4378                                                                      | CUSIP: 3140H52L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     581364 | PA      | $564231.70     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2048#BJ8819                                                                      | CUSIP: 3140HAYR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     585775 | PA      | $568513.26     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2048#BK7132                                                                      | CUSIP: 3140HL4S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     328306 | PA      | $318323.80     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 3.85% 06/15/2028                                                             | CUSIP: 91324PDK5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    9222000 | PA      | $9210244.07    | 0.01%             | 2028-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE CO OF COLORADO                                                   | PUBLIC SERVICE CO OF COLORADO 4.1% 06/15/2048                                                       | CUSIP: 744448CQ2<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1619251.06    | 0.00%             | 2048-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2031#BD6244                                                                    | CUSIP: 3140FD5E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23281 | PA      | $22538.27      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2031#BD5664                                                                    | CUSIP: 3140FDJJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     431948 | PA      | $418314.71     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2031#BE1103                                                                    | CUSIP: 3140FLGM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363336 | PA      | $351473.18     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 06/01/2033#MA3391                                                                      | CUSIP: 31418CXV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56877 | PA      | $55440.05      | 0.00%             | 2033-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 06/01/2033#BK5161                                                                      | CUSIP: 3140HJWX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24199 | PA      | $23559.87      | 0.00%             | 2033-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2033#BK3200                                                                      | CUSIP: 3140HGRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42958 | PA      | $41927.34      | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2033#BJ4573                                                                      | CUSIP: 3140H6CK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80708 | PA      | $78843.71      | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/01/2030#AS5978                                                                      | CUSIP: 3138WFUC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78693 | PA      | $77258.52      | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                                                         | DIGITAL REALTY TRUST LP 4.45% 07/15/2028                                                            | CUSIP: 25389JAT3<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2015907.64    | 0.00%             | 2028-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ITC HLDGS CORP                                                                  | ITC HLDGS CORP 3.35% 11/15/2027                                                                     | CUSIP: 465685AP0<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1971280.94    | 0.00%             | 2027-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 04/20/2048#MA5137                                                                        | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2738601 | PA      | $2648870.15    | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 05/20/2048#MA5190                                                                        | CUSIP: 36179TXT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     101965 | PA      | $93154.37      | 0.00%             | 2048-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 04/20/2048#MA5134                                                                      | CUSIP: 36179TV36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130583 | PA      | $114910.54     | 0.00%             | 2048-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 06/20/2048#MA5263                                                                      | CUSIP: 36179TZ40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1380500 | PA      | $1293154.18    | 0.00%             | 2048-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 05/20/2048#MA5191                                                                      | CUSIP: 36179TXU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3751453 | PA      | $3514093.46    | 0.01%             | 2048-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2033#BJ8602                                                                      | CUSIP: 3140HARY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8878 | PA      | $8683.33       | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 07/01/2033#MA3409                                                                      | CUSIP: 31418CYF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43149 | PA      | $42047.81      | 0.00%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 5.2% 07/15/2048                                                                           | CUSIP: 682680AV5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    2399000 | PA      | $2185304.40    | 0.00%             | 2048-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                     | WALMART INC 3.7% 06/26/2028                                                                         | CUSIP: 931142EE9<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    9771000 | PA      | $9795965.10    | 0.01%             | 2028-06-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                     | WALMART INC 4.05% 06/29/2048                                                                        | CUSIP: 931142EC3<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |   14433000 | PA      | $12278308.40   | 0.02%             | 2048-06-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2032#890821                                                                    | CUSIP: 31410LVN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66021 | PA      | $63717.81      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                 | XCEL ENERGY INC 4% 06/15/2028                                                                       | CUSIP: 98389BAV2<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1898410.16    | 0.00%             | 2028-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                         | ALABAMA POWER CO 4.3% 07/15/2048                                                                    | CUSIP: 010392FS2<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    4671000 | PA      | $3955737.29    | 0.01%             | 2048-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2032#BJ4734                                                                      | CUSIP: 3140H6HL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79650 | PA      | $77754.84      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 07/20/2048#MA5332                                                                        | CUSIP: 36179T4R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2245663 | PA      | $2286625.43    | 0.00%             | 2048-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/31/2199#BM4189                                                                    | CUSIP: 3140J8UP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     931924 | PA      | $938521.00     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JAPAN BANK INTERNATIONAL COOPERATION                                            | JAPAN BANK INTL COOPERATION 3.25% 07/20/2028                                                        | CUSIP: 471048BT4<br>LEI: 549300TJ3QFYVCTSCJ29 | Long             | DBT              | CORP              | JP        |    7150000 | PA      | $7070198.99    | 0.01%             | 2028-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                      | PACIFICORP 4.125% 01/15/2049                                                                        | CUSIP: 695114CT3<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |   10692000 | PA      | $8161272.88    | 0.01%             | 2049-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2048#MA3415                                                                      | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1211515 | PA      | $1171649.30    | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2048#BK4160                                                                      | CUSIP: 3140HHTS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82262 | PA      | $79632.45      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2048#MA3384                                                                      | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2348249 | PA      | $2270977.80    | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2048#MA3442                                                                    | CUSIP: 31418CZG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     938969 | PA      | $880994.61     | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2048#MA3443                                                                      | CUSIP: 31418CZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     573678 | PA      | $554800.67     | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/01/2048#Q57057                                                                      | CUSIP: 3132Y0ZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1468756 | PA      | $1422072.75    | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/01/2048#G08831                                                                      | CUSIP: 3128MJ4R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5162436 | PA      | $4998352.29    | 0.01%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/01/2048#G08824                                                                      | CUSIP: 3128MJ4J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3456650 | PA      | $3346783.35    | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2048#Q57136                                                                    | CUSIP: 3132Y04W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6660956 | PA      | $6256987.86    | 0.01%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2048#G08830                                                                    | CUSIP: 3128MJ4Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10102738 | PA      | $9490034.77    | 0.01%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2048#Q57124                                                                    | CUSIP: 3132Y04J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115364 | PA      | $108367.57     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2048#BJ5738                                                                    | CUSIP: 3140H7LU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63479 | PA      | $59579.59      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2048#MA3240                                                                    | CUSIP: 31418CS62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     318692 | PA      | $317786.93     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2048#MA3385                                                                    | CUSIP: 31418CXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2028714 | PA      | $2020414.83    | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/01/2048#Q57414                                                                      | CUSIP: 3132Y1GY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17743 | PA      | $17178.95      | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2048#CA1050                                                                      | CUSIP: 3140Q8EY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45790 | PA      | $41551.70      | 0.00%             | 2048-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2046#AS8118                                                                      | CUSIP: 3138WJAU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197560 | PA      | $176497.22     | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2047#BJ1939                                                                      | CUSIP: 3140H3EM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     405630 | PA      | $368087.27     | 0.00%             | 2047-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2047#BH2792                                                                      | CUSIP: 3140GRC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21638 | PA      | $19635.00      | 0.00%             | 2047-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 05/01/2033#BJ9192                                                                    | CUSIP: 3140HBGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     843871 | PA      | $832915.02     | 0.00%             | 2033-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 02/01/2033#MA3284                                                                    | CUSIP: 31418CUJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10902 | PA      | $10763.83      | 0.00%             | 2033-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 05/01/2033#MA3364                                                                    | CUSIP: 31418CW26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1041889 | PA      | $1028687.63    | 0.00%             | 2033-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 08/01/2033#MA3438                                                                    | CUSIP: 31418CZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     471602 | PA      | $465479.00     | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 04/01/2033#MA3340                                                                    | CUSIP: 31418CWA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5643 | PA      | $5571.70       | 0.00%             | 2033-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 06/01/2033#MA3392                                                                    | CUSIP: 31418CXW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     625005 | PA      | $616890.24     | 0.00%             | 2033-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 05/01/2033#BK4953                                                                    | CUSIP: 3140HJQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28265 | PA      | $27907.14      | 0.00%             | 2033-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 04/01/2033#BJ5716                                                                    | CUSIP: 3140H7K63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27990 | PA      | $27634.93      | 0.00%             | 2033-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 2.5% 04/01/2027#MA2965                                                                    | CUSIP: 31418CJK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5225 | PA      | $5172.69       | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2031#BE4879                                                                    | CUSIP: 3140FQM53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104463 | PA      | $100975.24     | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2031#BM1424                                                                    | CUSIP: 3140J5SN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90449 | PA      | $87978.13      | 0.00%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2031#BD8756                                                                    | CUSIP: 3140FGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81830 | PA      | $79006.87      | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2032#BM1423                                                                    | CUSIP: 3140J5SM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99463 | PA      | $96325.45      | 0.00%             | 2032-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 04/01/2032#BE8296                                                                    | CUSIP: 3140FUGE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56846 | PA      | $54947.29      | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2032#CA0587                                                                    | CUSIP: 3140Q7UM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     822947 | PA      | $792778.64     | 0.00%             | 2032-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                         | BAYER US FIN II LLC 3.95% 04/15/2045 144A                                                           | CUSIP: 07274NBG7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    1104000 | PA      | $823924.61     | 0.00%             | 2045-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.203%/VAR 07/23/2029                                                         | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   34701000 | PA      | $34810052.75   | 0.05%             | 2029-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 08/33#MA3437                                                                           | CUSIP: 31418CZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274153 | PA      | $267083.95     | 0.00%             | 2033-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.65% 07/23/2048                                                                      | CUSIP: 172967MD0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   11261000 | PA      | $10119558.46   | 0.01%             | 2048-07-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2031#AS7697                                                                    | CUSIP: 3138WHRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62422 | PA      | $60476.63      | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 06/20/2048#MA5264                                                                        | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4839305 | PA      | $4680744.47    | 0.01%             | 2048-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 07/20/2048#MA5330                                                                        | CUSIP: 36179T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2701979 | PA      | $2610915.51    | 0.00%             | 2048-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2042#BM4320                                                                      | CUSIP: 3140J8YS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7218921 | PA      | $7105704.97    | 0.01%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.271%/VAR 07/23/2029                                                   | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   14306000 | PA      | $14395620.37   | 0.02%             | 2029-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                                           | NORFOLK SOUTHERN CORP 3.8% 08/01/2028                                                               | CUSIP: 655844BZ0<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    9444000 | PA      | $9410385.22    | 0.01%             | 2028-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.875% 08/15/2028                                                                         | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  150635300 | PA      | $148275739.62  | 0.22%             | 2028-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2048#CA2190                                                                      | CUSIP: 3140Q9NG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     675770 | PA      | $653533.05     | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2048#BK7877                                                                    | CUSIP: 3140HMXF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2833693 | PA      | $2812713.72    | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | INTERCONTINENTAL EXCHANGE INC 3.75% 09/21/2028                                                      | CUSIP: 45866FAJ3<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    7411000 | PA      | $7370315.83    | 0.01%             | 2028-09-21      | 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 3.926% 06/25/2028                                                    | CUSIP: 3137FGZT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6180678 | PA      | $6193475.71    | 0.01%             | 2028-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2048#G08836                                                                      | CUSIP: 3128MJ4W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     459425 | PA      | $444822.12     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | INTERCONTINENTAL EXCHANGE INC 4.25% 09/21/2048                                                      | CUSIP: 45866FAH7<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    8390000 | PA      | $7061838.67    | 0.01%             | 2048-09-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN CORP                                                     | BERKSHIRE HATHAWAY FIN CORP 4.2% 08/15/2048                                                         | CUSIP: 084664CQ2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    9429000 | PA      | $8047389.94    | 0.01%             | 2048-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                                                  | STARBUCKS CORP 4% 11/15/2028                                                                        | CUSIP: 855244AR0<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    5561000 | PA      | $5559236.88    | 0.01%             | 2028-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                                                  | STARBUCKS CORP 4.5% 11/15/2048                                                                      | CUSIP: 855244AS8<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    3734000 | PA      | $3177853.93    | 0.00%             | 2048-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2048#BK4770                                                                    | CUSIP: 3140HJJQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9536 | PA      | $9497.44       | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                                           | ENTERGY LOUISIANA LLC 4.2% 09/01/2048                                                               | CUSIP: 29364WBB3<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    2526000 | PA      | $2080322.31    | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                                                | WELLTOWER OP LLC 4.95% 09/01/2048                                                                   | CUSIP: 95040QAF1<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    7944000 | PA      | $7522500.10    | 0.01%             | 2048-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2046#BC6252                                                                    | CUSIP: 3140F15N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10377 | PA      | $9091.11       | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2046#AZ3748                                                                    | CUSIP: 3138YVEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17313 | PA      | $15173.15      | 0.00%             | 2046-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2046#BD0724                                                                    | CUSIP: 3140F7YW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130128 | PA      | $114002.99     | 0.00%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2048#G08827                                                                    | CUSIP: 3128MJ4M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63693 | PA      | $63506.01      | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2048#G08810                                                                    | CUSIP: 3128MJ3U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     392837 | PA      | $391805.58     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2048#MA3334                                                                    | CUSIP: 31418CV43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     472644 | PA      | $470858.34     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 03/01/2048#BJ6050                                                                    | CUSIP: 3140H7WL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234751 | PA      | $220403.49     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2048#BJ3997                                                                    | CUSIP: 3140H5NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65658 | PA      | $61645.30      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2048#BJ3959                                                                    | CUSIP: 3140H5MH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35610 | PA      | $33433.57      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                        | RTX CORP 4.625% 11/16/2048                                                                          | CUSIP: 913017CX5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   10491000 | PA      | $9331301.26    | 0.01%             | 2048-11-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                        | RTX CORP 4.125% 11/16/2028                                                                          | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   11685000 | PA      | $11723206.21   | 0.02%             | 2028-11-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 08/20/2048#MA5399                                                                      | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14858822 | PA      | $14842891.45   | 0.02%             | 2048-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                        | RTX CORP 4.45% 11/16/2038                                                                           | CUSIP: 913017CW7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   12715000 | PA      | $12085318.11   | 0.02%             | 2038-11-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA PLC                                                                 | ASTRAZENECA PLC 4.375% 08/17/2048                                                                   | CUSIP: 046353AU2<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    9825000 | PA      | $8762530.49    | 0.01%             | 2048-08-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2032#CA0422                                                                    | CUSIP: 3140Q7PG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95190 | PA      | $91868.86      | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 09/01/2033#MA3462                                                                    | CUSIP: 31418CZ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1201876 | PA      | $1186271.80    | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 08/01/2033#BK5213                                                                    | CUSIP: 3140HJYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23159 | PA      | $22857.84      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 08/01/2033#BK7421                                                                    | CUSIP: 3140HMG73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23321 | PA      | $23018.40      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 07/01/2033#CA2106                                                                    | CUSIP: 3140Q9KU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     609891 | PA      | $601972.08     | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 08/01/2033#CA2275                                                                    | CUSIP: 3140Q9Q55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     290888 | PA      | $287111.43     | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 01/01/2033#BJ4328                                                                    | CUSIP: 3140H5Y21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28475 | PA      | $28114.58      | 0.00%             | 2033-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 07/01/2032#BE9660                                                                    | CUSIP: 3140FVWW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14293 | PA      | $14124.94      | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 02/01/2032#BE7416                                                                    | CUSIP: 3140FTG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9149 | PA      | $9055.92       | 0.00%             | 2032-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 05/01/2030#AZ2375                                                                    | CUSIP: 3138YTT95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67606 | PA      | $67087.46      | 0.00%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 08/20/2048#MA5397                                                                      | CUSIP: 36179T7J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3938159 | PA      | $3688985.92    | 0.01%             | 2048-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 03/20/2048#MA5080                                                                        | CUSIP: 36179TUD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     844915 | PA      | $864287.44     | 0.00%             | 2048-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 09/20/2048#MA5468                                                                        | CUSIP: 36179UCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1264415 | PA      | $1286293.01    | 0.00%             | 2048-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2031#BM3971                                                                    | CUSIP: 3140J8MV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331700 | PA      | $322642.81     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2032#BM3364                                                                    | CUSIP: 3140J7W27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1617874 | PA      | $1577343.15    | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2048#CA1710                                                                    | CUSIP: 3140Q83U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96882 | PA      | $96515.50      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2048#MA3444                                                                    | CUSIP: 31418CZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     719003 | PA      | $716061.71     | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2048#CA2208                                                                    | CUSIP: 3140Q9N25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187088 | PA      | $186322.64     | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2048#MA3467                                                                      | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     564274 | PA      | $545706.21     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                      | PFIZER INC 4.2% 09/15/2048                                                                          | CUSIP: 717081EK5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    6196000 | PA      | $5235806.31    | 0.01%             | 2048-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                      | PFIZER INC 4.1% 09/15/2038                                                                          | CUSIP: 717081EJ8<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1847357.62    | 0.00%             | 2038-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| EQUINOR ASA                                                                     | EQUINOR ASA 3.625% 09/10/2028                                                                       | CUSIP: 29446MAB8<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    9596000 | PA      | $9560551.22    | 0.01%             | 2028-09-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 07/01/2032#G16495                                                                      | CUSIP: 3128MFNL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1197944 | PA      | $1175195.58    | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 11/30#G16390                                                                           | CUSIP: 3128MFKB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1073342 | PA      | $1059561.71    | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 02/01/2030#G15284                                                                      | CUSIP: 3128MECV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60256 | PA      | $59436.91      | 0.00%             | 2030-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 10/01/2030#J32989                                                                      | CUSIP: 31307PKA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     462348 | PA      | $454594.31     | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 01/01/2031#J38105                                                                      | CUSIP: 31307VAE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32313 | PA      | $31790.58      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 02/01/2030#J30700                                                                      | CUSIP: 31307LX52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98080 | PA      | $96582.88      | 0.00%             | 2030-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 06/01/2031#J34627                                                                      | CUSIP: 31307RD85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30556 | PA      | $29957.71      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 04/01/30#G18550                                                                        | CUSIP: 3128MMTG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110233 | PA      | $108483.51     | 0.00%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 02/30#J30802                                                                           | CUSIP: 31307L3K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85460 | PA      | $84155.09      | 0.00%             | 2030-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 10/30#J33049                                                                           | CUSIP: 31307PL64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     174956 | PA      | $171823.70     | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 10/01/30#J32924                                                                        | CUSIP: 31307PG94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137372 | PA      | $134940.81     | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 05/30#G15446                                                                           | CUSIP: 3128MEHX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38656 | PA      | $38093.59      | 0.00%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2041#AJ5697                                                                    | CUSIP: 3138AXKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2640472 | PA      | $2522607.79    | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                               | GENERAL MOTORS CO 5.95% 04/01/2049                                                                  | CUSIP: 37045VAT7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    5027000 | PA      | $4933030.04    | 0.01%             | 2049-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                               | GENERAL MOTORS CO 5% 10/01/2028                                                                     | CUSIP: 37045VAS9<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    5463000 | PA      | $5571112.99    | 0.01%             | 2028-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2048#CA2209                                                                    | CUSIP: 3140Q9N33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58759 | PA      | $58518.49      | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/48#G08842                                                                           | CUSIP: 3128MJ5C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1988042 | PA      | $1924853.55    | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2048#BJ9169                                                                      | CUSIP: 3140HBFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76675 | PA      | $74223.65      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 4% 09/40#A94136                                                                           | CUSIP: 312942SZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     358921 | PA      | $353814.32     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2048#BJ4590                                                                    | CUSIP: 3140H6C49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81639 | PA      | $76649.17      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 11/20/2048#MA5597                                                                        | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     646079 | PA      | $656853.94     | 0.00%             | 2048-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 11/20/2048#MA5596                                                                      | CUSIP: 36179UGD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1909969 | PA      | $1906130.73    | 0.00%             | 2048-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2048#G08841                                                                    | CUSIP: 3128MJ5B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15408 | PA      | $14473.48      | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2048#G61428                                                                    | CUSIP: 31335BSR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3329814 | PA      | $3321072.98    | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2048#BN0509                                                                      | CUSIP: 3140JGR72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141726 | PA      | $137062.25     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2048#BK0915                                                                      | CUSIP: 3140HEAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176302 | PA      | $170500.25     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 06/01/2048#BK7094                                                                      | CUSIP: 3140HL3C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     402782 | PA      | $410738.07     | 0.00%             | 2048-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 04/01/2048#BK2023                                                                      | CUSIP: 3140HFG94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     771069 | PA      | $783407.97     | 0.00%             | 2048-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/01/2048#CA1795                                                                      | CUSIP: 3140Q87H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268271 | PA      | $273737.15     | 0.00%             | 2048-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 02/01/2047#BE7870                                                                      | CUSIP: 3140FTW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7312 | PA      | $7471.99       | 0.00%             | 2047-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 04/01/2047#BH1624                                                                      | CUSIP: 3140GPYW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126861 | PA      | $129605.07     | 0.00%             | 2047-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 02/01/2048#BK0983                                                                      | CUSIP: 3140HECV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6884 | PA      | $7023.78       | 0.00%             | 2048-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 02/01/2047#BE8496                                                                      | CUSIP: 3140FUNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61526 | PA      | $62875.74      | 0.00%             | 2047-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 06/01/2047#AS9764                                                                      | CUSIP: 3138WKZ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3809 | PA      | $3891.42       | 0.00%             | 2047-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/01/2047#BH2710                                                                      | CUSIP: 3140GRAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7458 | PA      | $7619.25       | 0.00%             | 2047-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 5% 03/01/2030#932620                                                                      | CUSIP: 31412RDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        205 | PA      | $206.79        | 0.00%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2048#Q54900                                                                    | CUSIP: 3132XXNS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     560214 | PA      | $526588.41     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2048#Q54557                                                                    | CUSIP: 3132XXB32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     621277 | PA      | $583986.79     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2048#BJ9252                                                                      | CUSIP: 3140HBH68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2805936 | PA      | $2713604.35    | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2048#MA3307                                                                    | CUSIP: 31418CU93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     528519 | PA      | $526852.35     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2047#CA0324                                                                    | CUSIP: 3140Q7LE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104909 | PA      | $104610.99     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2048#CA1713                                                                    | CUSIP: 3140Q83X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     356438 | PA      | $355314.26     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2048#CA1911                                                                    | CUSIP: 3140Q9DR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     296297 | PA      | $295177.33     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2048#CA1218                                                                    | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281572 | PA      | $280683.82     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2048#BJ5838                                                                    | CUSIP: 3140H7PY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36759 | PA      | $36371.78      | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2047#BH2088                                                                    | CUSIP: 3140GQKA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62347 | PA      | $62228.20      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2048#BJ7281                                                                    | CUSIP: 3140H9CT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14928 | PA      | $14881.35      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2047#CA0623                                                                    | CUSIP: 3140Q7VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197599 | PA      | $197037.56     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2047#BJ1742                                                                    | CUSIP: 3140H25C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170072 | PA      | $169588.49     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2047#BJ0276                                                                    | CUSIP: 3140H1JW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48474 | PA      | $48335.94      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2047#BH4092                                                                    | CUSIP: 3140GSRN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     379302 | PA      | $378224.06     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2047#BH8383                                                                    | CUSIP: 3140GXJ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45300 | PA      | $45199.41      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2048#BJ3482                                                                    | CUSIP: 3140H42Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99241 | PA      | $98865.82      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2048#BK0200                                                                    | CUSIP: 3140HDGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38141 | PA      | $38020.38      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2048#Q56678                                                                      | CUSIP: 3132Y0M49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6303 | PA      | $6108.90       | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2048#Z40128                                                                      | CUSIP: 3132FCD93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21079 | PA      | $20302.41      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 12/01/2047#Q52781                                                                      | CUSIP: 3132XVCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     144756 | PA      | $140291.00     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2048#BM2007                                                                      | CUSIP: 3140J6GR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21235506 | PA      | $20556638.90   | 0.03%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 09/01/2048#BN0628                                                                      | CUSIP: 3140JGVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85150 | PA      | $86832.10      | 0.00%             | 2048-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/01/2044#Q28567                                                                    | CUSIP: 3132M9FG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14845 | PA      | $14940.77      | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2048#Q56359                                                                    | CUSIP: 3132Y0B58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     576256 | PA      | $574743.16     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 08/01/2048#G08832                                                                    | CUSIP: 3128MJ4S6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1915926 | PA      | $1910298.23    | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2048#Q55088                                                                    | CUSIP: 3132XXUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112344 | PA      | $112084.67     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 08/01/2047#BH2634                                                                      | CUSIP: 3140GQ4U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     408607 | PA      | $417188.53     | 0.00%             | 2047-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2048#Q57796                                                                      | CUSIP: 3132Y1UW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20620 | PA      | $19964.69      | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2048#MA3495                                                                      | CUSIP: 31418C3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5429573 | PA      | $5250907.39    | 0.01%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2048#BJ9240                                                                    | CUSIP: 3140HBHS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22082 | PA      | $23011.23      | 0.00%             | 2048-06-01      | 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 3.926% 07/25/2028                                                    | CUSIP: 3137FHPJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13178164 | PA      | $13227076.07   | 0.02%             | 2028-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2047#CA0679                                                                      | CUSIP: 3140Q7XH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221262 | PA      | $200783.19     | 0.00%             | 2047-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2048#BJ9325                                                                      | CUSIP: 3140HBLF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38344 | PA      | $34963.07      | 0.00%             | 2048-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2047#BJ2243                                                                      | CUSIP: 3140H3P59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73850 | PA      | $67153.56      | 0.00%             | 2047-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 02/01/2048#Q54473                                                                    | CUSIP: 3132XW6K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9000 | PA      | $8982.06       | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2046#BC4754                                                                      | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1029772 | PA      | $1005862.35    | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2046#BC1497                                                                      | CUSIP: 3140EVUX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     990085 | PA      | $967715.23     | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2046#BD3862                                                                      | CUSIP: 3140FBJG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66086 | PA      | $64592.56      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2046#BD0975                                                                      | CUSIP: 3140F8CM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124540 | PA      | $121765.25     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/46#BC1443                                                                        | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     930237 | PA      | $909219.61     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2046#BD3861                                                                      | CUSIP: 3140FBJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133079 | PA      | $130072.12     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2046#BC0909                                                                      | CUSIP: 3140EVAK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     969181 | PA      | $947586.35     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/46#BC2843                                                                           | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1117013 | PA      | $1091775.70    | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/46#BC2310                                                                           | CUSIP: 3140EWR80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141425 | PA      | $138318.51     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2048#Q58460                                                                      | CUSIP: 3132Y2MJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5135 | PA      | $4972.11       | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2048#BK8852                                                                      | CUSIP: 3140HNZS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69638 | PA      | $67346.91      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2048#BK8936                                                                      | CUSIP: 3140HN4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11596 | PA      | $11214.61      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2047#BJ3210                                                                      | CUSIP: 3140H4R89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104618 | PA      | $101534.89     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2047#BE9256                                                                      | CUSIP: 3140FVJA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127727 | PA      | $123883.17     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2046#BC9764                                                                      | CUSIP: 3140F5Z63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7096 | PA      | $6906.63       | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 02/01/2048#Q54056                                                                    | CUSIP: 3132XWQJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136096 | PA      | $135823.95     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                      | ABBVIE INC 4.875% 11/14/2048                                                                        | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    4630000 | PA      | $4310769.88    | 0.01%             | 2048-11-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                      | ABBVIE INC 4.25% 11/14/2028                                                                         | CUSIP: 00287YBF5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    6585000 | PA      | $6654410.71    | 0.01%             | 2028-11-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 01/01/2027#BM4205                                                                      | CUSIP: 3140J8U76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1180 | PA      | $1176.81       | 0.00%             | 2027-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 09/01/2033#G18710                                                                    | CUSIP: 3128MMYG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1513721 | PA      | $1495579.33    | 0.00%             | 2033-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 03/01/2033#J38833                                                                    | CUSIP: 31307VY67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     169048 | PA      | $167074.89     | 0.00%             | 2033-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 09/01/2031#J35277                                                                    | CUSIP: 31307R2J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3870 | PA      | $3832.90       | 0.00%             | 2031-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 04/01/2033#G18685                                                                    | CUSIP: 3128MMXP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148823 | PA      | $147086.30     | 0.00%             | 2033-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 04/01/2028#J38855                                                                    | CUSIP: 31307VZU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97786 | PA      | $97299.29      | 0.00%             | 2028-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 07/01/2033#G18696                                                                    | CUSIP: 3128MMX24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11665 | PA      | $11524.78      | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 05/01/2033#G18689                                                                    | CUSIP: 3128MMXT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40833 | PA      | $40356.16      | 0.00%             | 2033-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 08/01/2033#G18702                                                                    | CUSIP: 3128MMX81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23590 | PA      | $23307.29      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 02/01/2033#V61939                                                                    | CUSIP: 3132KGEL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27049 | PA      | $26733.32      | 0.00%             | 2033-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 06/01/2033#BK5741                                                                    | CUSIP: 3140HKLX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52921 | PA      | $52234.03      | 0.00%             | 2033-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 09/01/2033#J39512                                                                    | CUSIP: 31307WR97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     366079 | PA      | $361691.93     | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2048#G08843                                                                    | CUSIP: 3128MJ5D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     127458 | PA      | $127083.22     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 09/20/2048#MA5465                                                                      | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     591376 | PA      | $553958.71     | 0.00%             | 2048-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 09/20/2048#MA5464                                                                        | CUSIP: 36179UB92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27998 | PA      | $25578.99      | 0.00%             | 2048-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 09/20/2048#MA5466                                                                        | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1761667 | PA      | $1702294.39    | 0.00%             | 2048-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 10/20/2048#MA5530                                                                        | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37629 | PA      | $38256.92      | 0.00%             | 2048-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/01/2043#G61529                                                                      | CUSIP: 31335BVW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     975645 | PA      | $905271.19     | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2043#BM3704                                                                      | CUSIP: 3140J8DJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3718030 | PA      | $3438764.73    | 0.01%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 03/01/2043#Q16808                                                                      | CUSIP: 3132J8AJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35157 | PA      | $32699.36      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 01/01/2043#Q14869                                                                      | CUSIP: 3132HRMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8175 | PA      | $7611.28       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/01/2042#Q11930                                                                      | CUSIP: 3132HNEB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8679 | PA      | $8177.89       | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/01/2042#Q13630                                                                      | CUSIP: 3132HQA77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     139687 | PA      | $129891.93     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/01/2043#G08556                                                                      | CUSIP: 3128MJTN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20742 | PA      | $19187.29      | 0.00%             | 2043-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 09/01/2043#Q21595                                                                      | CUSIP: 3132JNXY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103821 | PA      | $95793.97      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 07/01/2043#Q20172                                                                      | CUSIP: 3132JMFM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172029 | PA      | $159481.40     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 07/01/2043#Q20486                                                                      | CUSIP: 3132JMRF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16435 | PA      | $15282.99      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | TRANSCONTINENTAL GAS LINE LLC 4.6% 03/15/2048                                                       | CUSIP: 893574AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3177000 | PA      | $2783810.86    | 0.00%             | 2048-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                                                 | TYSON FOODS INC 5.1% 09/28/2048                                                                     | CUSIP: 902494BH5<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    7408000 | PA      | $6867120.81    | 0.01%             | 2048-09-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2043#AQ2928                                                                    | CUSIP: 3138MJHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4326978 | PA      | $4126667.97    | 0.01%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC CO                                                               | TAMPA ELECTRIC CO 4.45% 06/15/2049                                                                  | CUSIP: 875127BF8<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |    9306000 | PA      | $7923922.48    | 0.01%             | 2049-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/01/2046#G61471                                                                      | CUSIP: 31335BT48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4948100 | PA      | $4857765.27    | 0.01%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2047#CA0181                                                                      | CUSIP: 3140Q7FX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2782071 | PA      | $2694870.80    | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAMDEN PROPERTY TRUST                                                           | CAMDEN PROPERTY TRUST 4.1% 10/15/2028                                                               | CUSIP: 133131AW2<br>LEI: 5493002MYX22OHYJBD89 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2009226.12    | 0.00%             | 2028-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | ENTERPRISE PRODS OPER LLC 4.8% 02/01/2049                                                           | CUSIP: 29379VBU6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    5834000 | PA      | $5255561.00    | 0.01%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 10/20/2048#MA5528                                                                        | CUSIP: 36179UD90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7236795 | PA      | $6992896.67    | 0.01%             | 2048-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2048#BN0750                                                                      | CUSIP: 3140JGZQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5698 | PA      | $5851.10       | 0.00%             | 2048-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK CR CARD ISSUANCE TR                                                    | CITIBANK CR CARD ISSUANCE TR 18-A7 A7 3.96% 10/15/2030                                              | CUSIP: 17305EGS8<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-CBDO         | CORP              | US        |   12808000 | PA      | $12865247.92   | 0.02%             | 2030-10-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 10/20/2048#MA5529                                                                      | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2162483 | PA      | $2158137.61    | 0.00%             | 2048-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2048#G08848                                                                    | CUSIP: 3128MJ5J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65147 | PA      | $64894.98      | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 02/01/2048#BK0984                                                                      | CUSIP: 3140HECW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1813 | PA      | $1850.12       | 0.00%             | 2048-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2048#BJ5721                                                                    | CUSIP: 3140H7LB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86663 | PA      | $81311.78      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2048#BK5254                                                                      | CUSIP: 3140HJZU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     321707 | PA      | $311121.24     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2048#BK2040                                                                      | CUSIP: 3140HFHS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277448 | PA      | $268317.88     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2048#BK5328                                                                      | CUSIP: 3140HJ4N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272625 | PA      | $263654.42     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 02/01/2034#766070                                                                    | CUSIP: 31404ECF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15346 | PA      | $15891.38      | 0.00%             | 2034-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 10/01/2048#G08846                                                                    | CUSIP: 3128MJ5G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     477898 | PA      | $448915.27     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2048#BK1158                                                                    | CUSIP: 3140HEJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73286 | PA      | $72514.64      | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2048#BK6328                                                                    | CUSIP: 3140HLA63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58796 | PA      | $58574.16      | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2048#BK7090                                                                    | CUSIP: 3140HL2Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30947 | PA      | $30820.25      | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2048#MA3358                                                                    | CUSIP: 31418CWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34197 | PA      | $34067.72      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2047#BE8340                                                                    | CUSIP: 3140FUHS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29514 | PA      | $29430.25      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2048#BK4909                                                                    | CUSIP: 3140HJN31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     460924 | PA      | $459038.75     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES LTD                                                       | TRANSCANADA PIPELINES LTD 5.1% 03/15/2049                                                           | CUSIP: 89352HAZ2<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    2778000 | PA      | $2611048.78    | 0.00%             | 2049-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 08/01/2032#BM3176                                                                      | CUSIP: 3140J7Q65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274637 | PA      | $268824.58     | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/01/2030#AS5969                                                                      | CUSIP: 3138WFT30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130422 | PA      | $128104.06     | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/01/2033#BK9031                                                                      | CUSIP: 3140HPA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33153 | PA      | $32298.26      | 0.00%             | 2033-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/01/2033#BK9379                                                                      | CUSIP: 3140HPM53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98105 | PA      | $95331.70      | 0.00%             | 2033-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2032#BH7081                                                                    | CUSIP: 3140GV2P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96210 | PA      | $92785.69      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 11/01/2033#MA3517                                                                    | CUSIP: 31418C4B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176750 | PA      | $174234.50     | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                              | CONAGRA BRANDS INC 4.85% 11/01/2028                                                                 | CUSIP: 205887CC4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |   10827000 | PA      | $10976293.50   | 0.02%             | 2028-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                              | CONAGRA BRANDS INC 5.3% 11/01/2038                                                                  | CUSIP: 205887CD2<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    3936000 | PA      | $3800661.19    | 0.01%             | 2038-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                              | CONAGRA BRANDS INC 5.4% 11/01/2048                                                                  | CUSIP: 205887CE0<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    7130000 | PA      | $6557521.68    | 0.01%             | 2048-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FEDEX CORP                                                                      | FEDEX CORP 4.95% 10/17/2048                                                                         | CUSIP: 31428XBS4<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |    6273000 | PA      | $5508620.65    | 0.01%             | 2048-10-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 4.329% 09/21/2028                                                        | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   12151000 | PA      | $12251027.03   | 0.02%             | 2028-09-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 10/20/2048#MA5527                                                                      | CUSIP: 36179UD82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2217487 | PA      | $2069560.69    | 0.00%             | 2048-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2032#CA0209                                                                    | CUSIP: 3140Q7GT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36943 | PA      | $35601.83      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                        | CONSTELLATION BRANDS INC 5.25% 11/15/2048                                                           | CUSIP: 21036PBD9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    5751000 | PA      | $5392159.11    | 0.01%             | 2048-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK CORP                                                             | KIMBERLY-CLARK CORP 3.95% 11/01/2028                                                                | CUSIP: 494368BY8<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |    6766000 | PA      | $6796776.91    | 0.01%             | 2028-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 03/01/2046#BM4621                                                                    | CUSIP: 3140J9D32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3188898 | PA      | $3039273.20    | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STANLEY BLACK and DECKER INC                                                    | STANLEY BLACK and DECKER INC 4.25% 11/15/2028                                                       | CUSIP: 854502AH4<br>LEI: 549300DJ09SMTO561131 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4003888.80    | 0.01%             | 2028-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3.375% 11/15/2048                                                       | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4631400 | PA      | $3759032.37    | 0.01%             | 2048-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.125% 11/15/2028                                                                         | CUSIP: 9128285M8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19870000 | PA      | $19664314.50   | 0.03%             | 2028-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2048#MA3521                                                                      | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     644357 | PA      | $623153.47     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2048#CA2641                                                                    | CUSIP: 3140Q95B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     412884 | PA      | $410807.55     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/48#CA2652                                                                           | CUSIP: 3140Q95N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12873 | PA      | $13111.36      | 0.00%             | 2048-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 08/01/2027#BM4533                                                                      | CUSIP: 3140J9BB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4624 | PA      | $4610.42       | 0.00%             | 2027-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMEREN ILL CO                                                                   | AMEREN ILL CO 4.5% 03/15/2049                                                                       | CUSIP: 02361DAT7<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |    5993000 | PA      | $5197870.04    | 0.01%             | 2049-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FINANCE BV                                                  | SHELL INTL FIN B V 3.875% 11/13/2028                                                                | CUSIP: 822582CB6<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    6766000 | PA      | $6775231.67    | 0.01%             | 2028-11-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 5.5% 02/15/2049                                                                             | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    6892000 | PA      | $6396254.51    | 0.01%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 4.8% 02/15/2029                                                                             | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7417118.21    | 0.01%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                        | CSX CORP 4.75% 11/15/2048                                                                           | CUSIP: 126408HN6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    4599000 | PA      | $4178402.36    | 0.01%             | 2048-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2048#CA1909                                                                    | CUSIP: 3140Q9DP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6102 | PA      | $6077.02       | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2048#MA3416                                                                    | CUSIP: 31418CYN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     385445 | PA      | $383868.15     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2048#BK6192                                                                      | CUSIP: 3140HK3A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6656 | PA      | $6432.54       | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2048#CA1551                                                                      | CUSIP: 3140Q8WM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198211 | PA      | $191874.18     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2046#BC7915                                                                    | CUSIP: 3140F3YM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19004 | PA      | $16654.67      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2048#BK1153                                                                    | CUSIP: 3140HEH70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6666 | PA      | $6640.87       | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2048#MA3468                                                                    | CUSIP: 31418C2A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1381909 | PA      | $1376255.84    | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2048#CA1866                                                                      | CUSIP: 3140Q9CC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59257 | PA      | $53772.89      | 0.00%             | 2048-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2048#MA3508                                                                      | CUSIP: 31418C3S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108934 | PA      | $98783.90      | 0.00%             | 2048-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2048#CA2447                                                                      | CUSIP: 3140Q9WH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     391503 | PA      | $355267.79     | 0.00%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2048#BK8947                                                                    | CUSIP: 3140HN5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52033 | PA      | $48820.34      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2048#G08851                                                                    | CUSIP: 3128MJ5M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71968 | PA      | $67580.72      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 11/01/2048#G08852                                                                      | CUSIP: 3128MJ5N6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     236994 | PA      | $229312.87     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2048#MA3536                                                                      | CUSIP: 31418C4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2140174 | PA      | $2068412.29    | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2048#CA1907                                                                    | CUSIP: 3140Q9DM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392058 | PA      | $390453.60     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 10/01/2033#CA2553                                                                    | CUSIP: 3140Q9ZT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78728 | PA      | $77705.81      | 0.00%             | 2033-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2048#BK0920                                                                      | CUSIP: 3140HEAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1769590 | PA      | $1711359.87    | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                | BAT CAPITAL CORP 3.557% 08/15/2027                                                                  | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   16817000 | PA      | $16654656.92   | 0.02%             | 2027-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                | BAT CAPITAL CORP 4.39% 08/15/2037                                                                   | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    8622000 | PA      | $7986718.19    | 0.01%             | 2037-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                | BAT CAPITAL CORP 4.54% 08/15/2047                                                                   | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   13298000 | PA      | $11218969.14   | 0.02%             | 2047-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                  | VIRGINIA ELECTRIC AND POWER CO 4.6% 12/01/2048                                                      | CUSIP: 927804GA6<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    5624000 | PA      | $4923689.00    | 0.01%             | 2048-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                  | HOME DEPOT INC 4.5% 12/06/2048                                                                      | CUSIP: 437076BX9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   10434000 | PA      | $9164398.18    | 0.01%             | 2048-12-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                  | HOME DEPOT INC 3.9% 12/06/2028                                                                      | CUSIP: 437076BW1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    4575000 | PA      | $4588029.87    | 0.01%             | 2028-12-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                          | CONSOLIDATED EDISON CO OF NY 4.65% 12/01/2048                                                       | CUSIP: 209111FT5<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    8317000 | PA      | $7374804.91    | 0.01%             | 2048-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.452%/VAR 12/05/2029                                                         | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    9705000 | PA      | $9812748.60    | 0.01%             | 2029-12-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER CO INC                                                  | AMERICAN ELECTRIC POWER INC 4.3% 12/01/2028                                                         | CUSIP: 025537AM3<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   13893000 | PA      | $13985700.07   | 0.02%             | 2028-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2047#BH4095                                                                      | CUSIP: 3140GSRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8478707 | PA      | $8212954.38    | 0.01%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                           | INDONESIA REPUBLIC OF 5.35% 02/11/2049                                                              | CUSIP: 455780CJ3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   13600000 | PA      | $13719000.00   | 0.02%             | 2049-02-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                     | MOODYS CORP 4.875% 12/17/2048                                                                       | CUSIP: 615369AQ8<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    8233000 | PA      | $7448202.04    | 0.01%             | 2048-12-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12                                  | WELLS FARGO TR 2018-C48 A5 4.302% 01/15/2052                                                        | CUSIP: 95001RAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15529025 | PA      | $15566052.41   | 0.02%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2048#BK4764                                                                      | CUSIP: 3140HJJJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3073250 | PA      | $2972121.23    | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2047#BE3774                                                                      | CUSIP: 3140FPFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1282585 | PA      | $1243185.70    | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/01/2048#G08837                                                                    | CUSIP: 3128MJ4X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1787234 | PA      | $1781983.80    | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/01/2048#Q58588                                                                    | CUSIP: 3132Y2RJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1019595 | PA      | $1016599.65    | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2048#BN1202                                                                      | CUSIP: 3140JHKQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21218 | PA      | $20506.50      | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2048#BK9909                                                                      | CUSIP: 3140HQAK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19292 | PA      | $18548.53      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2048#BN1981                                                                      | CUSIP: 3140JJFX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6004 | PA      | $5802.48       | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2047#BD7690                                                                    | CUSIP: 3140FFRL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     860665 | PA      | $753474.03     | 0.00%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2048#BE8364                                                                    | CUSIP: 3140FUJJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12470 | PA      | $12426.83      | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2048#MA3496                                                                    | CUSIP: 31418C3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3004197 | PA      | $2991906.99    | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2048#BN2846                                                                      | CUSIP: 3140JKEU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6014 | PA      | $5812.31       | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 12/01/2048#BM5091                                                                    | CUSIP: 3140J9UR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93426 | PA      | $97355.97      | 0.00%             | 2048-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2048#BK8830                                                                    | CUSIP: 3140HNY48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25789 | PA      | $25683.60      | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2048#BK7119                                                                    | CUSIP: 3140HL4D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41056 | PA      | $40887.73      | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2048#BK4850                                                                    | CUSIP: 3140HJL82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65413 | PA      | $65165.37      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2048#BK3258                                                                    | CUSIP: 3140HGTQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22430 | PA      | $22197.95      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2048#BK4932                                                                    | CUSIP: 3140HJPS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35995 | PA      | $35859.22      | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2048#BK3288                                                                    | CUSIP: 3140HGUN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10316 | PA      | $10277.25      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#MA3564                                                                    | CUSIP: 31418C6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     235020 | PA      | $233837.92     | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 01/20/2049#MA5712                                                                        | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     416988 | PA      | $423681.80     | 0.00%             | 2049-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA INC                                                      | BP CAP MARKETS AMERICA INC 3.017% 01/16/2027                                                        | CUSIP: 10373QAV2<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    7547000 | PA      | $7473436.22    | 0.01%             | 2027-01-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 3.875% 12/15/2028                                                            | CUSIP: 91324PDP4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   11908000 | PA      | $11888713.09   | 0.02%             | 2028-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2048#BN2191                                                                    | CUSIP: 3140JJNH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57717 | PA      | $57372.21      | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 01/01/2034#MA3559                                                                    | CUSIP: 31418C5V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     487551 | PA      | $480611.82     | 0.00%             | 2034-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 12/01/2033#BK9454                                                                    | CUSIP: 3140HPQG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53069 | PA      | $52313.80      | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 10/01/2033#BN1056                                                                    | CUSIP: 3140JHE66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67479 | PA      | $66602.90      | 0.00%             | 2033-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2031#BD6324                                                                    | CUSIP: 3140FEA20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2186 | PA      | $2112.65       | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2031#BD8149                                                                    | CUSIP: 3140FGBT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154121 | PA      | $148973.18     | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2033#CA2266                                                                    | CUSIP: 3140Q9QU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183267 | PA      | $176231.92     | 0.00%             | 2033-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2033#BK9015                                                                      | CUSIP: 3140HPAR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18024 | PA      | $17563.46      | 0.00%             | 2033-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 12/20/2048#MA5650                                                                      | CUSIP: 36179UH39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93174 | PA      | $87162.28      | 0.00%             | 2048-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 11/20/2048#MA5593                                                                        | CUSIP: 36179UGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89315 | PA      | $81764.67      | 0.00%             | 2048-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLAN MAST OWN TR                                                   | FORD CR FLOORPLAN MAST OWN TR 4.06% 11/15/2030                                                      | CUSIP: 34528PAK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5000000 | PA      | $5011722.50    | 0.01%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 02/20/2049#MA5765                                                                        | CUSIP: 36179UMN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     444153 | PA      | $451560.69     | 0.00%             | 2049-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2033#BN0360                                                                      | CUSIP: 3140JGMJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25798 | PA      | $25117.79      | 0.00%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2048#BK7608                                                                      | CUSIP: 3140HMN26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     605801 | PA      | $585866.10     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                                            | DUKE ENERGY OHIO INC 4.3% 02/01/2049                                                                | CUSIP: 26442EAG5<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |   21562000 | PA      | $17977044.96   | 0.03%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEX INC                                                                 | ENTERGY TEX INC 4% 03/30/2029                                                                       | CUSIP: 29365TAG9<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |   14040000 | PA      | $14013248.46   | 0.02%             | 2029-03-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2048#MA3522                                                                    | CUSIP: 31418C4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1253314 | PA      | $1247011.36    | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 6.25% 04/15/2049                                                                 | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2315000 | PA      | $2326779.83    | 0.00%             | 2049-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| MARSH and MCLENNAN COS INC                                                      | MARSH and MCLENNAN COS INC 4.375% 03/15/2029                                                        | CUSIP: 571748BG6<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    6116000 | PA      | $6184243.12    | 0.01%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                      | MARSH and MCLENNAN COS INC 4.9% 03/15/2049                                                          | CUSIP: 571748BJ0<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    7388000 | PA      | $6776705.28    | 0.01%             | 2049-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                       | KROGER CO 5.4% 01/15/2049                                                                           | CUSIP: 501044DM0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    5171000 | PA      | $5011745.20    | 0.01%             | 2049-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| EQUITABLE HOLDINGS INC                                                          | EQUITABLE HOLDINGS INC 4.35% 04/20/2028                                                             | CUSIP: 054561AJ4<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    2162000 | PA      | $2170082.68    | 0.00%             | 2028-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2048#ZT1321                                                                    | CUSIP: 3132ADPE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7505 | PA      | $7467.46       | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2048#ZT1319                                                                    | CUSIP: 3132ADPC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     267933 | PA      | $251389.71     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 05/01/2033#ZS8069                                                                      | CUSIP: 3132A86E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7531 | PA      | $7346.00       | 0.00%             | 2033-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/01/2048#ZS4791                                                                    | CUSIP: 3132A5KC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     294034 | PA      | $292830.75     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2048#ZT1546                                                                    | CUSIP: 3132ADWF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     425718 | PA      | $423577.68     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 09/01/2033#ZS8716                                                                    | CUSIP: 3132A9VH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     523814 | PA      | $517013.01     | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MYLAN INC                                                                       | MYLAN INC 5.2% 04/15/2048                                                                           | CUSIP: 628530BJ5<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |    2383000 | PA      | $1947066.87    | 0.00%             | 2048-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 10/01/2029#ZS8540                                                                      | CUSIP: 3132A9PZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3767 | PA      | $3709.03       | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 5.8% 01/23/2059                                                      | CUSIP: 03523TBW7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   11081000 | PA      | $11553264.24   | 0.02%             | 2059-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 5.55% 01/23/2049                                                     | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   33724000 | PA      | $34314170.34   | 0.05%             | 2049-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2048#BK8896                                                                    | CUSIP: 3140HN3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1276 | PA      | $1270.54       | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2048#BM5024                                                                      | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4919070 | PA      | $4463788.94    | 0.01%             | 2048-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2048#CA2375                                                                      | CUSIP: 3140Q9T94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241058 | PA      | $233125.53     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2048#Q56176                                                                      | CUSIP: 3132XY2J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     388285 | PA      | $375943.48     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2048#Q55491                                                                      | CUSIP: 3132XYC54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1150553 | PA      | $1115062.38    | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC 5.65% 01/17/2029                                                           | CUSIP: 37045XCS3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   16996000 | PA      | $17629849.67   | 0.03%             | 2029-01-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 05/01/2029#ZK6913                                                                      | CUSIP: 3131XAVE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16275 | PA      | $16095.43      | 0.00%             | 2029-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 12/01/2032#ZS8679                                                                      | CUSIP: 3132A9UC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17657 | PA      | $17233.70      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 12/01/2032#ZS8678                                                                    | CUSIP: 3132A9UB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1213774 | PA      | $1169694.89    | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 03/01/2033#ZS8690                                                                      | CUSIP: 3132A9UP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     473216 | PA      | $461665.18     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2048#ZS4771                                                                    | CUSIP: 3132A5JQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     228695 | PA      | $214717.99     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2048#ZS4773                                                                    | CUSIP: 3132A5JS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     509889 | PA      | $507802.67     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.05% 03/30/2029    | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4833000 | PA      | $4880300.76    | 0.01%             | 2029-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2048#ZS4785                                                                      | CUSIP: 3132A5J63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     363925 | PA      | $351949.94     | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2048#ZM7184                                                                    | CUSIP: 3131Y16V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152237 | PA      | $142837.18     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 07/01/2048#ZS4783                                                                      | CUSIP: 3132A5J48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     463054 | PA      | $420196.77     | 0.00%             | 2048-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2048#ZS4790                                                                      | CUSIP: 3132A5KB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48418 | PA      | $46824.36      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2048#ZM7828                                                                    | CUSIP: 3131Y2VV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     325269 | PA      | $305185.47     | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2048#ZM7612                                                                    | CUSIP: 3131Y2N53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     816063 | PA      | $765676.93     | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2048#ZS4789                                                                    | CUSIP: 3132A5KA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     190404 | PA      | $178647.70     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2048#ZS4781                                                                    | CUSIP: 3132A5J22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108399 | PA      | $107955.77     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 10/01/2048#ZT0711                                                                    | CUSIP: 3132ACYG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99910 | PA      | $93741.15      | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2048#ZS4777                                                                    | CUSIP: 3132A5JW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     385358 | PA      | $361564.40     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 08/01/2048#ZS4786                                                                    | CUSIP: 3132A5J71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6941054 | PA      | $6912657.78    | 0.01%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 10/01/2033#ZT0717                                                                    | CUSIP: 3132ACYN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     243456 | PA      | $240295.10     | 0.00%             | 2033-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 04/01/2033#ZS8694                                                                    | CUSIP: 3132A9UT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3489 | PA      | $3444.48       | 0.00%             | 2033-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 07/01/2033#ZS8705                                                                    | CUSIP: 3132A9U62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1343981 | PA      | $1326531.37    | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 01/01/2047#G61826                                                                      | CUSIP: 31335CA38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42945028 | PA      | $39029115.57   | 0.06%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2033#BK3779                                                                      | CUSIP: 3140HHFV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     371526 | PA      | $362199.22     | 0.00%             | 2033-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2034#MA3587                                                                      | CUSIP: 31418C6Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66692 | PA      | $64937.18      | 0.00%             | 2034-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2033#MA3461                                                                      | CUSIP: 31418CZ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     317352 | PA      | $309174.25     | 0.00%             | 2033-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 08/01/2033#BK4789                                                                      | CUSIP: 3140HJKB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64073 | PA      | $62374.24      | 0.00%             | 2033-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/01/2033#BK7894                                                                      | CUSIP: 3140HMXY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     252129 | PA      | $245803.83     | 0.00%             | 2033-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2033#BK7629                                                                      | CUSIP: 3140HMPP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     391511 | PA      | $381131.89     | 0.00%             | 2033-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2032#BM5110                                                                      | CUSIP: 3140J9VC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     658944 | PA      | $646930.83     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 07/01/2033#BK0931                                                                      | CUSIP: 3140HEA93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265178 | PA      | $258291.53     | 0.00%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENTAL DEL URUGUAY                                                  | URUGUAY REPUBLICA ORIENTAL DL 4.375% 01/23/2031                                                     | CUSIP: 917288BK7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   12586574 | PA      | $12773400.29   | 0.02%             | 2031-01-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 02/01/2034#MA3588                                                                    | CUSIP: 31418C7A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     240729 | PA      | $237302.35     | 0.00%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                          | EQUITABLE HOLDINGS INC 5% 04/20/2048                                                                | CUSIP: 054561AM7<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1811183.44    | 0.00%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2031#AS8210                                                                    | CUSIP: 3138WJDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7195 | PA      | $6965.36       | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2031#BC9254                                                                    | CUSIP: 3140F5H89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17623 | PA      | $17093.92      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2032#CA0207                                                                    | CUSIP: 3140Q7GR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261935 | PA      | $252705.72     | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                   | AEP TEXAS INC 3.95% 06/01/2028                                                                      | CUSIP: 00108WAH3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |   10450000 | PA      | $10391777.41   | 0.02%             | 2028-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/01/2041#G07479                                                                      | CUSIP: 3128M9UC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     129157 | PA      | $127285.23     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2048#BN1628                                                                    | CUSIP: 3140JHY23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161132 | PA      | $160321.49     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2031#AS7827                                                                    | CUSIP: 3138WHVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15103 | PA      | $14631.83      | 0.00%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 01/20/2049#MA5713                                                                      | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20613 | PA      | $21316.93      | 0.00%             | 2049-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2032#CA0772                                                                    | CUSIP: 3140Q72E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113662 | PA      | $109615.64     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 3.96%/VAR 01/29/2027                                                          | CUSIP: 46647PBA3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    9666000 | PA      | $9659840.73    | 0.01%             | 2027-01-29      | Variable      | 0.04%                 | No            |                  2 | On Loan: —       |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 07/20/2048#MA5333                                                                      | CUSIP: 36179T4S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     249241 | PA      | $258768.40     | 0.00%             | 2048-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 04/45#Q32820                                                                           | CUSIP: 3132QPD27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15849 | PA      | $14558.63      | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 04/01/2045#Q32808                                                                      | CUSIP: 3132QPDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19898 | PA      | $18339.16      | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 03/01/2032#BM1422                                                                    | CUSIP: 3140J5SL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67728 | PA      | $65565.80      | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2032#BJ0975                                                                    | CUSIP: 3140H2CM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36231 | PA      | $34968.16      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 04/20/2049#MA5878                                                                        | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     155657 | PA      | $158253.51     | 0.00%             | 2049-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2032#BJ2987                                                                    | CUSIP: 3140H4J96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     352857 | PA      | $339699.17     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 4.5% 01/30/2026                                                                | CUSIP: 254709AP3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   14948000 | PA      | $14948000.00   | 0.02%             | 2026-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                  | FAIRFAX FINANCIAL HLDGS LTD 4.85% 04/17/2028                                                        | CUSIP: 303901BB7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    1700000 | PA      | $1719676.24    | 0.00%             | 2028-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B9 MTG TR                                                        | BENCHMARK 2019-B9 MTG TR 4.0156% 03/15/2052                                                         | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18628064 | PA      | $18330022.43   | 0.03%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.625% 02/15/2029                                                                         | CUSIP: 9128286B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   56726000 | PA      | $55192625.31   | 0.08%             | 2029-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 3.974%/VAR 02/07/2030                                                   | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   11231000 | PA      | $11181902.11   | 0.02%             | 2030-02-07      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                              | ESSEX PORTFOLIO LP 4% 03/01/2029                                                                    | CUSIP: 29717PAT4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    4833000 | PA      | $4804582.59    | 0.01%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2049#G08858                                                                    | CUSIP: 3128MJ5U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     809255 | PA      | $806118.94     | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2048#CA2642                                                                    | CUSIP: 3140Q95C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128652 | PA      | $128125.68     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2048#G61821                                                                    | CUSIP: 31335CAW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     690120 | PA      | $688308.71     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                          | COMMONWEALTH EDISON CO 4% 03/01/2049                                                                | CUSIP: 202795JP6<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    4762000 | PA      | $3795819.30    | 0.01%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2046#AX5531                                                                    | CUSIP: 3138Y7ED0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343011 | PA      | $297718.04     | 0.00%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2043#AT8668                                                                    | CUSIP: 3138WWT25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8842 | PA      | $7944.89       | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2048#CA2643                                                                    | CUSIP: 3140Q95D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     437746 | PA      | $436092.31     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2049#BN4426                                                                    | CUSIP: 3140JL4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185491 | PA      | $184557.97     | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2048#CA2493                                                                    | CUSIP: 3140Q9XX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1327491 | PA      | $1322059.91    | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2049#                                                                          | CUSIP: 3128MJ6B1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87121 | PA      | $81809.90      | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2048#CA2692                                                                      | CUSIP: 3140Q97E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48445 | PA      | $43961.49      | 0.00%             | 2048-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2048#CA2690                                                                      | CUSIP: 3140Q97C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1063549 | PA      | $965112.78     | 0.00%             | 2048-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2049#Q60864                                                                    | CUSIP: 3132VL6A0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70653 | PA      | $70378.82      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/01/2048#Q57302                                                                      | CUSIP: 3132Y1DG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36910 | PA      | $35737.19      | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2048#Q58695                                                                      | CUSIP: 3132Y2UV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74147 | PA      | $71766.95      | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 11/01/2048#Q59647                                                                      | CUSIP: 3132Y3WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6254 | PA      | $6059.51       | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2048#CA2921                                                                      | CUSIP: 3140QAG79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39748 | PA      | $36056.59      | 0.00%             | 2048-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2047#CA0075                                                                    | CUSIP: 3140Q7CM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45449 | PA      | $42699.70      | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2047#BH6387                                                                    | CUSIP: 3140GVCZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57659 | PA      | $54170.94      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2048#                                                                          | CUSIP: 3140HLZW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161705 | PA      | $151720.40     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2048#Q58157                                                                      | CUSIP: 3132Y2B39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43075 | PA      | $41706.16      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2048#Q58680                                                                      | CUSIP: 3132Y2UE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     332011 | PA      | $321458.35     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2048#Q58646                                                                      | CUSIP: 3132Y2TC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54063 | PA      | $52411.97      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2048#Q57743                                                                      | CUSIP: 3132Y1S90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     366739 | PA      | $355082.77     | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2048#Q58458                                                                      | CUSIP: 3132Y2MG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     350829 | PA      | $339677.92     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2048#Q59271                                                                      | CUSIP: 3132Y3JR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     490197 | PA      | $474310.22     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2048#Q57990                                                                      | CUSIP: 3132Y12Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58678 | PA      | $56885.92      | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/01/2048#Q57635                                                                      | CUSIP: 3132Y1PV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     330426 | PA      | $319923.34     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2048#Q58494                                                                      | CUSIP: 3132Y2NL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     550212 | PA      | $532551.92     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2048#Q58889                                                                      | CUSIP: 3132Y22X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     588696 | PA      | $571456.81     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2048#Q58717                                                                      | CUSIP: 3132Y2VK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     624426 | PA      | $604579.20     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 11/01/2048#Q60149                                                                      | CUSIP: 3132VLEX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     387961 | PA      | $375387.52     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2048#Q59057                                                                      | CUSIP: 3132Y3B37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65545 | PA      | $63421.01      | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/01/2048#V84380                                                                      | CUSIP: 3132L92M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     333850 | PA      | $323551.47     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DTE ELEC CO                                                                     | DTE ELEC CO 3.95% 03/01/2049                                                                        | CUSIP: 23338VAJ5<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2343271.54    | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#MA3537                                                                    | CUSIP: 31418C4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1006990 | PA      | $1001926.83    | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOTAL CAPITAL INTL SA                                                           | TOTAL CAP INTL 3.455% 02/19/2029                                                                    | CUSIP: 89153VAQ2<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   16952000 | PA      | $16687396.23   | 0.02%             | 2029-02-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 5.8% 02/14/2039                                                                    | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    7428000 | PA      | $7731658.94    | 0.01%             | 2039-02-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 5.95% 02/14/2049                                                                   | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    8261000 | PA      | $8427720.78    | 0.01%             | 2049-02-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 4.8% 02/14/2029                                                                    | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   10541000 | PA      | $10720024.87   | 0.02%             | 2029-02-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2048#ZT0331                                                                    | CUSIP: 3132ACLL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71316 | PA      | $66957.20      | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 12/01/2048#ZT1545                                                                      | CUSIP: 3132ADWE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15915 | PA      | $15381.15      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2048#ZA5450                                                                    | CUSIP: 31329PBT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     236202 | PA      | $221765.34     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2049#ZN2572                                                                    | CUSIP: 3131Y82D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71411 | PA      | $66979.95      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                                                 | TYSON FOODS INC 4% 03/01/2026                                                                       | CUSIP: 902494BJ1<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    5854000 | PA      | $5849541.42    | 0.01%             | 2026-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                                                 | TYSON FOODS INC 4.35% 03/01/2029                                                                    | CUSIP: 902494BK8<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    7149000 | PA      | $7168882.51    | 0.01%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2033#BK3788                                                                      | CUSIP: 3140HHF67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     562275 | PA      | $548061.84     | 0.00%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 08/01/2033#BK7417                                                                      | CUSIP: 3140HMG32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98696 | PA      | $96050.68      | 0.00%             | 2033-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 10/01/2033#BN0550                                                                    | CUSIP: 3140JGTG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24707 | PA      | $24355.16      | 0.00%             | 2033-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 08/01/2032#BH6137                                                                    | CUSIP: 3140GUZB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13960 | PA      | $13796.64      | 0.00%             | 2032-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 09/01/2033#BK4723                                                                    | CUSIP: 3140HJG96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4462 | PA      | $4403.64       | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 02/01/2033#CA1270                                                                    | CUSIP: 3140Q8MU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6402 | PA      | $6320.53       | 0.00%             | 2033-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 3.5% 06/01/2028#MA3395                                                                    | CUSIP: 31418CXZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2441 | PA      | $2427.44       | 0.00%             | 2028-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 3.5% 04/01/2028#MA3345                                                                    | CUSIP: 31418CWF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3121 | PA      | $3103.36       | 0.00%             | 2028-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 06/01/2032#BM4111                                                                    | CUSIP: 3140J8R96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8671 | PA      | $8582.73       | 0.00%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 04/01/2026#AL4190                                                                    | CUSIP: 3138ELUQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4342 | PA      | $4329.30       | 0.00%             | 2026-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 12/01/2033#MA3540                                                                    | CUSIP: 31418C5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4360 | PA      | $4297.70       | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 03/01/2034#MA3610                                                                    | CUSIP: 31418DAL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151990 | PA      | $149826.60     | 0.00%             | 2034-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 10/01/2033#MA3489                                                                    | CUSIP: 31418C2X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37015 | PA      | $36534.53      | 0.00%             | 2033-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2033#CA2869                                                                    | CUSIP: 3140QAFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285660 | PA      | $274583.11     | 0.00%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 01/34#BN5479                                                                         | CUSIP: 3140JNCR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102416 | PA      | $100957.84     | 0.00%             | 2034-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2031#BD9317                                                                    | CUSIP: 3140FHK71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125781 | PA      | $121765.27     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 04/01/2032#AS9495                                                                    | CUSIP: 3138WKRR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17364 | PA      | $16778.10      | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 06/01/2033#BK3763                                                                      | CUSIP: 3140HHFD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57416 | PA      | $56040.09      | 0.00%             | 2033-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2048#                                                                            | CUSIP: 3140JADM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     561407 | PA      | $509621.40     | 0.00%             | 2048-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2032#BM3860                                                                    | CUSIP: 3140J8JE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96393 | PA      | $93315.10      | 0.00%             | 2032-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2033#BJ3685                                                                    | CUSIP: 3140H5CX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16191 | PA      | $15562.00      | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2031#BC9043                                                                    | CUSIP: 3140F5BM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4723 | PA      | $4572.13       | 0.00%             | 2031-11-01      | 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 3.718% 01/25/2031                                                    | CUSIP: 3137FL2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11796839 | PA      | $11649061.18   | 0.02%             | 2031-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 02/01/2049#G08863                                                                    | CUSIP: 3128MJ5Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48005 | PA      | $47818.63      | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 4.875% 04/15/2049                                                       | CUSIP: 92277GAQ0<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    2262000 | PA      | $2004024.15    | 0.00%             | 2049-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 02/20/2049#MA5761                                                                        | CUSIP: 36179UMJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106748 | PA      | $97723.43      | 0.00%             | 2049-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINL INC                                                             | PRUDENTIAL FINL INC 4.35% 02/25/2050                                                                | CUSIP: 74432QCE3<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    9924000 | PA      | $8392296.59    | 0.01%             | 2050-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                        | CSX CORP 4.5% 03/15/2049                                                                            | CUSIP: 126408HP1<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |   10963000 | PA      | $9543908.50    | 0.01%             | 2049-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOSTON SCIENTIFIC CORP                                                          | BOSTON SCIENTIFIC CORP 4% 03/01/2029                                                                | CUSIP: 101137AX5<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |    8579000 | PA      | $8564704.90    | 0.01%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOSTON SCIENTIFIC CORP                                                          | BOSTON SCIENTIFIC CORP 4.7% 03/01/2049                                                              | CUSIP: 101137AU1<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |   13845000 | PA      | $12701014.51   | 0.02%             | 2049-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2033#CA1088                                                                    | CUSIP: 3140Q8F67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     266646 | PA      | $256780.77     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                | PARAMOUNT GLOBAL 4.2% 06/01/2029                                                                    | CUSIP: 124857AZ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    7143000 | PA      | $7023415.39    | 0.01%             | 2029-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2048#G61896                                                                    | CUSIP: 31335CC93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     467594 | PA      | $439527.95     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WRKCO INC                                                                       | WRKCO INC 3.375% 09/15/2027                                                                         | CUSIP: 96145DAD7<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1999779.48    | 0.00%             | 2027-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                      | PACIFICORP 4.15% 02/15/2050                                                                         | CUSIP: 695114CV8<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2210131.41    | 0.00%             | 2050-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MID AMERICA APTS LP                                                             | MID AMERICA APTS LP 3.95% 03/15/2029                                                                | CUSIP: 59523UAQ0<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    5510000 | PA      | $5488578.66    | 0.01%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 02/01/2049#G08864                                                                      | CUSIP: 3128MJ6A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1781823 | PA      | $1816867.57    | 0.00%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMISIONES SAU                                                        | TELEFONICA EMISIONES SAU 5.52% 03/01/2049                                                           | CUSIP: 87938WAX1<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |    2700000 | PA      | $2494009.68    | 0.00%             | 2049-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRAVELERS COS INC                                                               | TRAVELERS COS INC 4.1% 03/04/2049                                                                   | CUSIP: 89417EAP4<br>LEI: 549300Y650407RU8B149 | Long             | DBT              | CORP              | US        |    4833000 | PA      | $3992538.84    | 0.01%             | 2049-03-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 03/20/2049#MA5819                                                                        | CUSIP: 36179UPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     303746 | PA      | $308811.60     | 0.00%             | 2049-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                                            | APPALACHIAN POWER CO 4.5% 03/01/2049                                                                | CUSIP: 037735CX3<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |    7259000 | PA      | $6094096.80    | 0.01%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                      | PFIZER INC 3.9% 03/15/2039                                                                          | CUSIP: 717081EU3<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    5004000 | PA      | $4491893.79    | 0.01%             | 2039-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                      | PFIZER INC 3.45% 03/15/2029                                                                         | CUSIP: 717081ET6<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    6618000 | PA      | $6545122.39    | 0.01%             | 2029-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DEERE JOHN CAPITAL CORP                                                         | DEERE JOHN CAPITAL CORP 3.45% 03/07/2029                                                            | CUSIP: 24422EUU1<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   15887000 | PA      | $15688835.25   | 0.02%             | 2029-03-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2049#CA3225                                                                    | CUSIP: 3140QASP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160963 | PA      | $160002.67     | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MERCK and CO INC                                                                | MERCK and CO INC 3.9% 03/07/2039                                                                    | CUSIP: 58933YAV7<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   11666000 | PA      | $10546186.03   | 0.02%             | 2039-03-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2049#ZT1709                                                                    | CUSIP: 3132AD3S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20011 | PA      | $18769.11      | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KEYBANK NATL ASSN                                                               | KEYBANK NATL ASSN 3.9% 04/13/2029                                                                   | CUSIP: 49327V2B9<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1376637.77    | 0.00%             | 2029-04-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 3.5% 05/01/2028#MA3366                                                                    | CUSIP: 31418CW42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43071 | PA      | $42823.01      | 0.00%             | 2028-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2049#MA3644                                                                      | CUSIP: 31418DBN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94496 | PA      | $85366.04      | 0.00%             | 2049-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/01/2046#BC6533                                                                    | CUSIP: 3140F2HK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88160 | PA      | $77262.63      | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2045#AX9656                                                                    | CUSIP: 3138YBWS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10135 | PA      | $8870.38       | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2046#BC6437                                                                    | CUSIP: 3140F2EK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43043 | PA      | $37709.32      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 07/01/2046#BC9479                                                                    | CUSIP: 3140F5Q97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     308453 | PA      | $270229.85     | 0.00%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2049#MA3592                                                                      | CUSIP: 31418C7E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10894 | PA      | $10528.30      | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2049#MA3563                                                                      | CUSIP: 31418C5Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     533491 | PA      | $515602.03     | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2048#BK8941                                                                    | CUSIP: 3140HN5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9292 | PA      | $9254.10       | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2049#BN3455                                                                    | CUSIP: 3140JKZV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10096 | PA      | $10073.46      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 11/01/2048#BN1631                                                                    | CUSIP: 3140JHY56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7466 | PA      | $7770.30       | 0.00%             | 2048-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2047#BD5047                                                                      | CUSIP: 3140FCTD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1773520 | PA      | $1609927.41    | 0.00%             | 2047-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2047#BE4377                                                                      | CUSIP: 3140FP2K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132666 | PA      | $120428.88     | 0.00%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 06/01/2047#AS9738                                                                      | CUSIP: 3138WKZC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139280 | PA      | $126737.61     | 0.00%             | 2047-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2048#BJ5878                                                                    | CUSIP: 3140H7Q83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148082 | PA      | $139031.63     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2048#CA2622                                                                    | CUSIP: 3140Q94G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1905326 | PA      | $1787685.64    | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2049#BN2006                                                                      | CUSIP: 3140JJGQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     706269 | PA      | $682587.06     | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2048#BN3899                                                                      | CUSIP: 3140JLKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     231660 | PA      | $223892.04     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2048#BN0638                                                                    | CUSIP: 3140JGV85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     823979 | PA      | $820607.92     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2048#BN0877                                                                    | CUSIP: 3140JG6P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     977902 | PA      | $972984.27     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 4.35% 03/15/2029                                                                          | CUSIP: 682680AW3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2004313.44    | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                             | ALEXANDRIA REAL EST EQUITS INC 4.85% 04/15/2049                                                     | CUSIP: 015271AQ2<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    9154000 | PA      | $7852420.57    | 0.01%             | 2049-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.33%/VAR 03/15/2050                                                    | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   10398000 | PA      | $8933293.74    | 0.01%             | 2050-03-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 4.5% 08/01/2029#AL5010                                                                    | CUSIP: 3138EMR86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        900 | PA      | $902.87        | 0.00%             | 2029-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2048#BK7611                                                                    | CUSIP: 3140HMN59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49685 | PA      | $49481.56      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                   | SOUTHERN CALIFORNIA EDISON CO 4.875% 03/01/2049                                                     | CUSIP: 842400GR8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $6875250.88    | 0.01%             | 2049-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| CITIGROUP INC                                                                   | CITIGROUP INC 3.98%/VAR 03/20/2030                                                                  | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   28276000 | PA      | $28064320.49   | 0.04%             | 2030-03-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2049#MA3638                                                                      | CUSIP: 31418DBG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11058136 | PA      | $10680434.22   | 0.02%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2048#MA3527                                                                      | CUSIP: 31418C4M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263757 | PA      | $268637.34     | 0.00%             | 2048-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 03/01/2049#MA3617                                                                      | CUSIP: 31418DAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     962942 | PA      | $980758.69     | 0.00%             | 2049-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                             | SYNCHRONY FINANCIAL 5.15% 03/19/2029                                                                | CUSIP: 87165BAP8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   21635000 | PA      | $21982105.45   | 0.03%             | 2029-03-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 02/01/2049#BN5247                                                                      | CUSIP: 3140JMZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17313 | PA      | $17633.20      | 0.00%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2034#MA3631                                                                      | CUSIP: 31418DA93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2112 | PA      | $2060.22       | 0.00%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2034#BN5298                                                                      | CUSIP: 3140JM3G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79712 | PA      | $77579.14      | 0.00%             | 2034-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 08/01/2033#BK7405                                                                      | CUSIP: 3140HMGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1595 | PA      | $1556.98       | 0.00%             | 2033-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2033#BK9073                                                                      | CUSIP: 3140HPCK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116686 | PA      | $113496.23     | 0.00%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2031#BE1906                                                                      | CUSIP: 3140FMDL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12949 | PA      | $12670.96      | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 07/01/2032#AS9882                                                                    | CUSIP: 3138WK6U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14566 | PA      | $14408.64      | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2030#AZ6345                                                                    | CUSIP: 3138YYBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5383 | PA      | $5252.15       | 0.00%             | 2030-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2031#BC9810                                                                    | CUSIP: 3140F53U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     724660 | PA      | $702611.73     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2031#BC0913                                                                    | CUSIP: 3140EVAP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72536 | PA      | $70471.98      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2030#AZ5427                                                                    | CUSIP: 3138YXA54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8836 | PA      | $8623.66       | 0.00%             | 2030-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 03/01/2033#CA3273                                                                    | CUSIP: 3140QAT75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135159 | PA      | $130245.31     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 04/01/2033#BJ2705                                                                    | CUSIP: 3140H4AF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4756 | PA      | $4695.38       | 0.00%             | 2033-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 03/01/2034#BJ7711                                                                    | CUSIP: 3140H9R96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35923 | PA      | $35388.87      | 0.00%             | 2034-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 03/01/2034#MA3611                                                                      | CUSIP: 31418DAM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48539 | PA      | $48738.95      | 0.00%             | 2034-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2033#BM5108                                                                      | CUSIP: 3140J9VA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     635523 | PA      | $620571.76     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/01/2033#BM5111                                                                      | CUSIP: 3140J9VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     856782 | PA      | $836980.56     | 0.00%             | 2033-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 03/01/2033#MA3311                                                                    | CUSIP: 31418CVD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29695 | PA      | $28585.64      | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 3.5% 03/01/2027#MA2940                                                                    | CUSIP: 31418CHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        912 | PA      | $907.20        | 0.00%             | 2027-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 07/01/2027#AL6615                                                                    | CUSIP: 3138EPK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14755 | PA      | $14681.73      | 0.00%             | 2027-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 04/01/2027#AL1561                                                                    | CUSIP: 3138EHWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3559 | PA      | $3542.68       | 0.00%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED PARCEL SERVICE INC                                                       | UNITED PARCEL SERVICE INC 4.25% 03/15/2049                                                          | CUSIP: 911312BQ8<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |    3190000 | PA      | $2684417.51    | 0.00%             | 2049-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 04/01/2026#AL6888                                                                      | CUSIP: 3138EPUN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.80          | 0.00%             | 2026-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 04/01/2049#MA3630                                                                      | CUSIP: 31418DA85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77575 | PA      | $78961.42      | 0.00%             | 2049-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                                     | NUTRIEN LTD 5% 04/01/2049                                                                           | CUSIP: 67077MAU2<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    7152000 | PA      | $6544532.15    | 0.01%             | 2049-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                                     | NUTRIEN LTD 4.2% 04/01/2029                                                                         | CUSIP: 67077MAT5<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    4109000 | PA      | $4106093.54    | 0.01%             | 2029-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANE TECHNOLOGIES FINANCING LTD                                                | TRANE TECHNOLOGIES FINANCING LTD 3.8% 03/21/2029                                                    | CUSIP: 456873AD0<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |   11400000 | PA      | $11317734.75   | 0.02%             | 2029-03-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 02/49#MA5762                                                                           | CUSIP: 36179UMK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     755431 | PA      | $706689.44     | 0.00%             | 2049-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 08/48#MA5401                                                                           | CUSIP: 36179UAA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15151 | PA      | $15729.89      | 0.00%             | 2048-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2049#MA3615                                                                      | CUSIP: 31418DAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122330 | PA      | $118227.87     | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 12/01/2048#MA3538                                                                      | CUSIP: 31418C4Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1170097 | PA      | $1191746.19    | 0.00%             | 2048-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VALERO ENERGY CORP                                                              | VALERO ENERGY CORP 4% 04/01/2029                                                                    | CUSIP: 91913YAW0<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |    7408000 | PA      | $7364277.02    | 0.01%             | 2029-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 05/20/2049#MA5931                                                                        | CUSIP: 36179USU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1627319 | PA      | $1567388.37    | 0.00%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2046#BE2267                                                                      | CUSIP: 3140FMQV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1003486 | PA      | $910922.34     | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 3.65% 04/05/2029                                                                      | CUSIP: 548661DR5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   10507000 | PA      | $10353918.47   | 0.02%             | 2029-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 08/48#BK4769                                                                           | CUSIP: 3140HJJP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4295675 | PA      | $4380522.96    | 0.01%             | 2048-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2040#AD6378                                                                    | CUSIP: 31418UCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265030 | PA      | $277085.01     | 0.00%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 03/01/2035#815519                                                                    | CUSIP: 31406PAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22599 | PA      | $23461.97      | 0.00%             | 2035-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 07/01/2033#555684                                                                    | CUSIP: 31385XJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31519 | PA      | $32584.85      | 0.00%             | 2033-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 09/01/2040#AS8161                                                                    | CUSIP: 3138WJB72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183503 | PA      | $191235.90     | 0.00%             | 2040-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2044#BM4681                                                                    | CUSIP: 3140J9FX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113106 | PA      | $117575.69     | 0.00%             | 2044-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 02/01/2033#357342                                                                    | CUSIP: 31376J5B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13334 | PA      | $13764.91      | 0.00%             | 2033-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2041#AI2199                                                                    | CUSIP: 3138AFNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64676 | PA      | $67609.31      | 0.00%             | 2041-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2034#757037                                                                    | CUSIP: 31403TBE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23841 | PA      | $24611.00      | 0.00%             | 2034-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 04/01/2033#701138                                                                    | CUSIP: 31400X4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3793 | PA      | $3925.83       | 0.00%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 02/01/2035#815859                                                                    | CUSIP: 31406PMG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52891 | PA      | $54909.57      | 0.00%             | 2035-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 09/01/2048#MA3472                                                                      | CUSIP: 31418C2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     456656 | PA      | $465675.85     | 0.00%             | 2048-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2033#705579                                                                    | CUSIP: 31401D2L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54392 | PA      | $56189.40      | 0.00%             | 2033-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 11/01/2046#BD5419                                                                    | CUSIP: 3140FDAV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61538 | PA      | $53874.02      | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#BN2000                                                                    | CUSIP: 3140JJGJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253799 | PA      | $252522.69     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2048#BJ7359                                                                    | CUSIP: 3140H9E90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11439 | PA      | $10732.66      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2048#BK7749                                                                    | CUSIP: 3140HMTF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151539 | PA      | $142230.17     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2048#BK9625                                                                    | CUSIP: 3140HPVT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     283205 | PA      | $266427.26     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2048#BN1074                                                                    | CUSIP: 3140JHFQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124644 | PA      | $116909.10     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2048#BK8362                                                                    | CUSIP: 3140HNJG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     328581 | PA      | $308293.60     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2049#BM5793                                                                      | CUSIP: 3140JANK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33050 | PA      | $29857.00      | 0.00%             | 2049-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2049#MA3616                                                                    | CUSIP: 31418DAS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     791867 | PA      | $787143.06     | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2049#BN5444                                                                    | CUSIP: 3140JNBN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28059 | PA      | $27926.29      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2049#CA2963                                                                    | CUSIP: 3140QAJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154055 | PA      | $153279.94     | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2048#BN1067                                                                    | CUSIP: 3140JHFH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18534 | PA      | $18440.88      | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 01/01/2049#BM5152                                                                    | CUSIP: 3140J9WN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     342212 | PA      | $356179.51     | 0.00%             | 2049-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2031#BD8052                                                                    | CUSIP: 3140FF5N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133182 | PA      | $128982.50     | 0.00%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 02/01/2031#AL9257                                                                    | CUSIP: 3138ERJB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32410 | PA      | $32181.49      | 0.00%             | 2031-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 04/01/2034#BN9744                                                                    | CUSIP: 3140JSZJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     289286 | PA      | $284987.68     | 0.00%             | 2034-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 09/20/2048#MA5469                                                                      | CUSIP: 36179UCE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     245163 | PA      | $254534.62     | 0.00%             | 2048-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 04/20/2048#MA5140                                                                      | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69496 | PA      | $72457.85      | 0.00%             | 2048-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 04/20/2049#MA5874                                                                        | CUSIP: 36179UQ39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     905044 | PA      | $826836.87     | 0.00%             | 2049-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICA MOVIL SAB DE CV                                                         | AMERICA MOVIL SAB DE CV 3.625% 04/22/2029                                                           | CUSIP: 02364WBH7<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |    6667000 | PA      | $6540660.35    | 0.01%             | 2029-04-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 04/01/2033#ZS8693                                                                      | CUSIP: 3132A9US4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51055 | PA      | $49797.48      | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 02/01/2033#ZS8686                                                                      | CUSIP: 3132A9UK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     239291 | PA      | $233449.17     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2048#ZT0713                                                                    | CUSIP: 3132ACYJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     231743 | PA      | $230795.25     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 11/01/2048#ZT1320                                                                      | CUSIP: 3132ADPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170148 | PA      | $164549.06     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2049#ZT1595                                                                    | CUSIP: 3132ADXY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2669399 | PA      | $2655975.84    | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2048#ZM7852                                                                      | CUSIP: 3131Y2WM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18308 | PA      | $17728.47      | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2048#ZA5675                                                                      | CUSIP: 31329PJU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95890 | PA      | $92734.58      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 02/01/2049#ZT1711                                                                    | CUSIP: 3132AD3U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2707483 | PA      | $2693868.82    | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 02/01/2049#ZT1712                                                                      | CUSIP: 3132AD3V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     250910 | PA      | $255552.01     | 0.00%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 10/01/2033#ZT0716                                                                      | CUSIP: 3132ACYM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     213137 | PA      | $207537.10     | 0.00%             | 2033-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 09/01/2033#ZS8715                                                                      | CUSIP: 3132A9VG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     511988 | PA      | $499016.05     | 0.00%             | 2033-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 11/01/2033#ZT1344                                                                      | CUSIP: 3132ADP51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     312671 | PA      | $304454.14     | 0.00%             | 2033-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 04/01/2034#ZT1871                                                                      | CUSIP: 3132AECG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     269117 | PA      | $262520.85     | 0.00%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 05/01/2034#MA3657                                                                      | CUSIP: 31418DB35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     324127 | PA      | $316182.12     | 0.00%             | 2034-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 05/20/2049#MA5932                                                                      | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2001253 | PA      | $1994729.65    | 0.00%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/46#BM5900                                                                           | CUSIP: 3140JARW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10533499 | PA      | $9746543.56    | 0.01%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AON CORP2                                                                       | AON CORP 3.75% 05/02/2029                                                                           | CUSIP: 037389BC6<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1777815.11    | 0.00%             | 2029-05-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 11/01/2033#CA2559                                                                      | CUSIP: 3140Q9ZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314822 | PA      | $316314.35     | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.375% 05/15/2029                                                                         | CUSIP: 9128286T2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20543700 | PA      | $19777323.64   | 0.03%             | 2029-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 06/20/2049#MA5986                                                                        | CUSIP: 36179UUK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     295265 | PA      | $284390.87     | 0.00%             | 2049-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 04/01/2034#G16829                                                                      | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30621 | PA      | $29900.65      | 0.00%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2049#BN5241                                                                    | CUSIP: 3140JMZF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94226 | PA      | $93663.46      | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                               | NATWEST GROUP PLC 4.445%/VAR 05/08/2030                                                             | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    5748000 | PA      | $5781988.56    | 0.01%             | 2030-05-08      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 05/15/2029                                                  | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    5363000 | PA      | $5336695.07    | 0.01%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2048#BN1172                                                                    | CUSIP: 3140JHJS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34426 | PA      | $34252.48      | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2048#BN1171                                                                    | CUSIP: 3140JHJR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6649 | PA      | $6615.27       | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#BN0340                                                                    | CUSIP: 3140JGLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     398851 | PA      | $396844.90     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IBM CORPORATION                                                                 | IBM CORPORATION 3.5% 05/15/2029                                                                     | CUSIP: 459200KA8<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |   13474000 | PA      | $13242942.59   | 0.02%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| IBM CORPORATION                                                                 | IBM CORPORATION 4.25% 05/15/2049                                                                    | CUSIP: 459200KC4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    8612000 | PA      | $7121941.94    | 0.01%             | 2049-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IBM CORPORATION                                                                 | IBM CORPORATION 3.3% 05/15/2026                                                                     | CUSIP: 459200JZ5<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    9666000 | PA      | $9635676.50    | 0.01%             | 2026-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 3.5% 05/01/2029#MA3656                                                                    | CUSIP: 31418DB27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20608 | PA      | $20472.78      | 0.00%             | 2029-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2049#BN4309                                                                    | CUSIP: 3140JLYF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     576736 | PA      | $573835.81     | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#BN0937                                                                    | CUSIP: 3140JHBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38400 | PA      | $38218.62      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2049#MA3593                                                                    | CUSIP: 31418C7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5024536 | PA      | $4994559.17    | 0.01%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2049#BN4334                                                                    | CUSIP: 3140JLY81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251664 | PA      | $250162.87     | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#BN0919                                                                    | CUSIP: 3140JHAV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16485 | PA      | $16402.13      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2048#CA3099                                                                    | CUSIP: 3140QANR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154048 | PA      | $153273.66     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#BN3309                                                                    | CUSIP: 3140JKVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59982 | PA      | $59680.86      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAP CORP                                                         | AMER WATER CAP CORP 3.45% 06/01/2029                                                                | CUSIP: 03040WAU9<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    4833000 | PA      | $4746209.57    | 0.01%             | 2029-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 07/01/2048#BK0916                                                                      | CUSIP: 3140HEAS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     750161 | PA      | $764977.70     | 0.00%             | 2048-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE PWR CORP                                                             | OGLETHORPE PWR CORP 5.05% 10/01/2048                                                                | CUSIP: 677050AN6<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1821530.88    | 0.00%             | 2048-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/01/2048#Q62603                                                                    | CUSIP: 3132VN3M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67261 | PA      | $63223.67      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2030#BM4299                                                                      | CUSIP: 3140J8X57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110341 | PA      | $109385.31     | 0.00%             | 2030-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 06/01/2034#MA3681                                                                      | CUSIP: 31418DCT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125365 | PA      | $122291.65     | 0.00%             | 2034-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 05/01/2034#BN9992                                                                      | CUSIP: 3140JTC62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11374 | PA      | $11095.63      | 0.00%             | 2034-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC DEL                                                        | WASTE MANAGEMENT INC DEL 4.15% 07/15/2049                                                           | CUSIP: 94106LBK4<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |   10186000 | PA      | $8550955.71    | 0.01%             | 2049-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC                     | ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC 4.7% 02/01/2036                         | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9992752.90    | 0.01%             | 2036-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2049#MA3686                                                                    | CUSIP: 31418DCY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24089 | PA      | $22579.47      | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2049#MA3639                                                                    | CUSIP: 31418DBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39303 | PA      | $39031.19      | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WRKCO INC                                                                       | WRKCO INC 4.2% 06/01/2032                                                                           | CUSIP: 92940PAF1<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |    4833000 | PA      | $4715139.85    | 0.01%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 01/20/2048#MA4960                                                                      | CUSIP: 36179TQM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46324 | PA      | $40764.31      | 0.00%             | 2048-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 03/01/2049#BM5680                                                                      | CUSIP: 3140JAJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29914 | PA      | $30467.04      | 0.00%             | 2049-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                                         | PIEDMONT NATURAL GAS CO 3.5% 06/01/2029                                                             | CUSIP: 720186AL9<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9814008.90    | 0.01%             | 2029-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2049#MA3706                                                                    | CUSIP: 31418DDL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     291470 | PA      | $302820.24     | 0.00%             | 2049-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MARATHON PETROLEUM CORP                                                         | MARATHON PETROLEUM CORP 4.5% 04/01/2048                                                             | CUSIP: 56585ABE1<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |    4630000 | PA      | $3757509.93    | 0.01%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLINA HEALTH SYSTEM                                                            | ALLINA HEALTH SYSTEM 3.887% 04/15/2049                                                              | CUSIP: 01959LAC6<br>LEI: 5493001V00JCD7SQ0G44 | Long             | DBT              | CORP              | US        |    5269000 | PA      | $4182614.40    | 0.01%             | 2049-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2049#ZA7047                                                                    | CUSIP: 31329QZL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136355 | PA      | $127808.48     | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2049#ZT1864                                                                      | CUSIP: 3132AEB96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     302799 | PA      | $292456.60     | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/01/2049#ZT1710                                                                      | CUSIP: 3132AD3T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     627668 | PA      | $606621.67     | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 12/01/2048#BM5155                                                                    | CUSIP: 3140J9WR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319844 | PA      | $333498.27     | 0.00%             | 2048-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                  | HOME DEPOT INC 2.95% 06/15/2029                                                                     | CUSIP: 437076BY7<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   16616000 | PA      | $16094076.15   | 0.02%             | 2029-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 2.95% 07/15/2026                                                                       | CUSIP: 00206RHV7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    6356000 | PA      | $6310664.56    | 0.01%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| AT and T INC                                                                    | AT and T INC 3.8% 02/15/2027                                                                        | CUSIP: 00206RHW5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    7149000 | PA      | $7126909.45    | 0.01%             | 2027-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 4.65% 06/01/2044                                                                       | CUSIP: 00206RJK9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    6251000 | PA      | $5506032.07    | 0.01%             | 2044-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 06/20/2049#MA5985                                                                      | CUSIP: 36179UUJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103598 | PA      | $96557.24      | 0.00%             | 2049-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 09/01/2032#G16566                                                                    | CUSIP: 3128MFQT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147629 | PA      | $142680.85     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 07/33#G18694                                                                         | CUSIP: 3128MMXY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15635 | PA      | $15060.45      | 0.00%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 09/01/2032#J37534                                                                    | CUSIP: 31307ULP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102771 | PA      | $99106.85      | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 02/01/2032#G16088                                                                    | CUSIP: 3128ME6Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     239781 | PA      | $232188.74     | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 04/01/2033#J38928                                                                    | CUSIP: 31307V4M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     149004 | PA      | $143848.29     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 09/01/2032#G18658                                                                    | CUSIP: 3128MMWU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     141259 | PA      | $136419.34     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 02/01/2032#G16066                                                                    | CUSIP: 3128ME6B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46205 | PA      | $44743.28      | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 02/32#J36361                                                                         | CUSIP: 31307TB67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48921 | PA      | $47581.12      | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 05/01/2032#G18643                                                                    | CUSIP: 3128MMWD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12532 | PA      | $12130.29      | 0.00%             | 2032-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 07/01/2033#G18700                                                                    | CUSIP: 3128MMX65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28988 | PA      | $27953.03      | 0.00%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                          | FEDERAL HOM 15YR 2.5% 01/01/2032#J36195                                                             | CUSIP: 31307S3C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12758 | PA      | $12330.94      | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                          | FEDERAL HOM 15YR 2.5% 12/01/2031#J35922                                                             | CUSIP: 31307SSK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1808 | PA      | $1751.44       | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 04/32#J36873                                                                         | CUSIP: 31307TT68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     264917 | PA      | $256150.39     | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                            | DUKE ENERGY CORP NEW 4.2% 06/15/2049                                                                | CUSIP: 26441CBF1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    7520000 | PA      | $6041603.34    | 0.01%             | 2049-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 4.125% 06/15/2029                                                                           | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   11900000 | PA      | $11873591.28   | 0.02%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| HCA INC                                                                         | HCA INC 5.25% 06/15/2049                                                                            | CUSIP: 404119BZ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   18865000 | PA      | $17386184.91   | 0.03%             | 2049-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP                                                            | PARKER-HANNIFIN CORP 4% 06/14/2049                                                                  | CUSIP: 701094AP9<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    4727000 | PA      | $3855005.49    | 0.01%             | 2049-06-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 11/01/2032#MA3180                                                                    | CUSIP: 31418CRA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3427 | PA      | $3386.99       | 0.00%             | 2032-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                      | FISERV INC 4.4% 07/01/2049                                                                          | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   14614000 | PA      | $11643853.42   | 0.02%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                      | FISERV INC 3.5% 07/01/2029                                                                          | CUSIP: 337738AU2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    8797000 | PA      | $8511452.37    | 0.01%             | 2029-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTER AMERICAN DEV BANK                                                         | INTER AMERICAN DEV BANK 2.25% 06/18/2029                                                            | CUSIP: 4581X0DG0<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | CORP              | US        |   15187000 | PA      | $14513284.94   | 0.02%             | 2029-06-18      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                           | INDONESIA REPUBLIC OF 3.4% 09/18/2029                                                               | CUSIP: 455780CK0<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   12400000 | PA      | $12078375.00   | 0.02%             | 2029-09-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN UNIVERSITY DC                                                          | AMERICAN UNIVERSITY DC 3.672% 04/01/2049                                                            | CUSIP: 030360AD3<br>LEI: 549300ZMGVN6I2E7LS27 | Long             | DBT              | CORP              | US        |    1903000 | PA      | $1473234.66    | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 01/01/2033#ZS8682                                                                      | CUSIP: 3132A9UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     381318 | PA      | $372093.75     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 10/01/2048#ZT0714                                                                      | CUSIP: 3132ACYK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99397 | PA      | $101360.63     | 0.00%             | 2048-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 11/01/2048#ZT1322                                                                      | CUSIP: 3132ADPF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     371562 | PA      | $378436.73     | 0.00%             | 2048-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 11/01/2033#ZT1345                                                                    | CUSIP: 3132ADP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     584621 | PA      | $576300.09     | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3% 02/01/2038#ZA2497                                                                      | CUSIP: 31329KX25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     588375 | PA      | $558556.26     | 0.00%             | 2038-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 01/01/2049#ZT1596                                                                      | CUSIP: 3132ADXZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     380669 | PA      | $387712.43     | 0.00%             | 2049-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 04/01/2049#ZT1867                                                                      | CUSIP: 3132AECC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     245565 | PA      | $221839.49     | 0.00%             | 2049-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3% 04/01/2038#ZA2501                                                                      | CUSIP: 31329KX66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92436 | PA      | $87751.68      | 0.00%             | 2038-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 11/01/2048#ZN1436                                                                      | CUSIP: 3131Y7SZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20097 | PA      | $20468.99      | 0.00%             | 2048-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4% 08/01/2033#ZS8712                                                                      | CUSIP: 3132A9VD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90779 | PA      | $91237.47      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2046#ZS9775                                                                    | CUSIP: 3132AA2G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25234070 | PA      | $23920494.88   | 0.04%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2048#ZT0787                                                                      | CUSIP: 3132AC2U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     343444 | PA      | $332142.42     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2049#ZN3949                                                                    | CUSIP: 3131YAL65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74449 | PA      | $69828.99      | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/01/2048#ZN4642                                                                    | CUSIP: 3131YBEP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     676091 | PA      | $634769.67     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 10/01/2048#ZN5634                                                                    | CUSIP: 3131YCHK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     275877 | PA      | $258843.80     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/01/2048#ZN4476                                                                    | CUSIP: 3131YA6M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73856 | PA      | $69341.94      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2049#ZN3197                                                                    | CUSIP: 3131Y9RS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157234 | PA      | $147477.06     | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2048#ZN1199                                                                    | CUSIP: 3131Y7KL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89582 | PA      | $84022.80      | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2048#ZM7809                                                                    | CUSIP: 3131Y2VA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     126207 | PA      | $119203.32     | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 03/01/2049#ZN4119                                                                      | CUSIP: 3131YASG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     230042 | PA      | $207815.67     | 0.00%             | 2049-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 06/01/2049#ZA7141                                                                      | CUSIP: 31329Q5A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     413292 | PA      | $373361.25     | 0.00%             | 2049-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 04/01/2049#ZT1866                                                                      | CUSIP: 3132AECB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     265676 | PA      | $270591.27     | 0.00%             | 2049-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2049#ZT2086                                                                    | CUSIP: 3132AEJ72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10118714 | PA      | $9484466.76    | 0.01%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2048#BM4991                                                                      | CUSIP: 3140J9RM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245550 | PA      | $237469.81     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                            | BOSTON PROPERTIES LP 3.4% 06/21/2029                                                                | CUSIP: 10112RBB9<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2221525.10    | 0.00%             | 2029-06-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VODAFONE GRP PLC                                                                | VODAFONE GROUP PLC 5.125% 06/19/2059                                                                | CUSIP: 92857WBT6<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    5220000 | PA      | $4706999.28    | 0.01%             | 2059-06-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 07/01/2033#G16661                                                                    | CUSIP: 3128MFTS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     549136 | PA      | $529748.33     | 0.00%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2049#BN6042                                                                    | CUSIP: 3140JNWC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23811 | PA      | $23646.75      | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 05/01/2032#ZT2011                                                                    | CUSIP: 3132AEGU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     481211 | PA      | $476790.37     | 0.00%             | 2032-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 10YR 3.5% 01/01/2029#ZT2006                                                                    | CUSIP: 3132AEGP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51863 | PA      | $51546.68      | 0.00%             | 2029-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 09/01/2026#AL1006                                                                    | CUSIP: 3138EHDL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2972 | PA      | $2960.56       | 0.00%             | 2026-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 04/01/2029#ZK6914                                                                    | CUSIP: 3131XAVF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7809 | PA      | $7764.98       | 0.00%             | 2029-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                            | EDISON INTERNATIONAL 5.75% 06/15/2027                                                               | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     897000 | PA      | $912249.69     | 0.00%             | 2027-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2031#AS7695                                                                    | CUSIP: 3138WHRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212963 | PA      | $206404.97     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 06/01/2031#G18604                                                                    | CUSIP: 3128MMU68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72859 | PA      | $70716.81      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 07/01/2031#V61246                                                                    | CUSIP: 3132KFL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     120047 | PA      | $116518.17     | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 08/01/2031#V61273                                                                    | CUSIP: 3132KFMW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     202322 | PA      | $196296.48     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/49#MA3692                                                                         | CUSIP: 31418DC67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6276065 | PA      | $5878755.18    | 0.01%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | ENTERPRISE PRODS OPER LLC 4.2% 01/31/2050                                                           | CUSIP: 29379VBW2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    4727000 | PA      | $3880558.52    | 0.01%             | 2050-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.125% 07/01/2049   | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9816000 | PA      | $7880131.38    | 0.01%             | 2049-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2049#ZT1865                                                                    | CUSIP: 3132AECA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     724163 | PA      | $719842.23     | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 07/01/2049#SD8000                                                                      | CUSIP: 3132DV3H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37595 | PA      | $33962.88      | 0.00%             | 2049-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 06/34#FM1084                                                                           | CUSIP: 3140X4F27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     469833 | PA      | $472061.29     | 0.00%             | 2034-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 08/01/2049#                                                                            | CUSIP: 3132DV3M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79280 | PA      | $71619.86      | 0.00%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                             | SUMITOMO MITSUI FINL GRP INC 3.04% 07/16/2029                                                       | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   11000000 | PA      | $10587296.50   | 0.02%             | 2029-07-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOTAL CAPITAL INTL SA                                                           | TOTAL CAP INTL 3.461% 07/12/2049                                                                    | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    5181000 | PA      | $3768138.92    | 0.01%             | 2049-07-12      | 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 2.903% 06/25/2029                                                    | CUSIP: 3137FMTY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40855884 | PA      | $39608084.02   | 0.06%             | 2029-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | MITSUBISHI UFJ FIN GRP INC 3.195% 07/18/2029                                                        | CUSIP: 606822BM5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   11297000 | PA      | $10936899.20   | 0.02%             | 2029-07-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | MITSUBISHI UFJ FIN GRP INC 3.751% 07/18/2039                                                        | CUSIP: 606822BK9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    6297000 | PA      | $5565435.76    | 0.01%             | 2039-07-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 07/01/2049#QA1021                                                                    | CUSIP: 31334XD22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113529 | PA      | $98005.78      | 0.00%             | 2049-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2049#MA3670                                                                      | CUSIP: 31418DCG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67658 | PA      | $61121.28      | 0.00%             | 2049-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#BN3333                                                                    | CUSIP: 3140JKV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52965 | PA      | $52698.67      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2049#CA3347                                                                    | CUSIP: 3140QAWH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5466 | PA      | $5438.82       | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2049#CA3051                                                                    | CUSIP: 3140QAL99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10112 | PA      | $10051.94      | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2049#CA3520                                                                    | CUSIP: 3140QA4E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133135 | PA      | $132340.48     | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2049#ZT1953                                                                    | CUSIP: 3132AEE28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1362819 | PA      | $1353410.53    | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2049#BN2248                                                                    | CUSIP: 3140JJQA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96547 | PA      | $95971.42      | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#BK9696                                                                    | CUSIP: 3140HPX28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22370 | PA      | $22264.04      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2048#BK1835                                                                    | CUSIP: 3140HFBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106512 | PA      | $106109.97     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2049#MA3663                                                                    | CUSIP: 31418DB92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64253 | PA      | $60225.92      | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 01/01/2049#ZT1594                                                                      | CUSIP: 3132ADXX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     743087 | PA      | $718170.10     | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                           | MICRON TECHNOLOGY INC 4.663% 02/15/2030                                                             | CUSIP: 595112BQ5<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    6573000 | PA      | $6657035.94    | 0.01%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2049#                                                                          | CUSIP: 3132DV3N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7110571 | PA      | $6660432.26    | 0.01%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2049#MA3745                                                                    | CUSIP: 31418DET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49150071 | PA      | $46038595.83   | 0.07%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP 4.11%/VAR 07/24/2034                                                           | CUSIP: 961214EF6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   11666000 | PA      | $11495878.11   | 0.02%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP 4.421% 07/24/2039                                                              | CUSIP: 961214EG4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    6630000 | PA      | $6228034.44    | 0.01%             | 2039-07-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                  | BURLINGTON NORTHN SANTA FE LLC 3.55% 02/15/2050                                                     | CUSIP: 12189LBE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4833000 | PA      | $3615341.41    | 0.01%             | 2050-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MTG TR                                                       | BENCHMARK 2019-B12 MTG TR 3.1156% 08/15/2052                                                        | CUSIP: 08162FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7924856 | PA      | $7607466.31    | 0.01%             | 2052-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                              | PANAMA REPUBLIC OF 3.16% 01/23/2030                                                                 | CUSIP: 698299BK9<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   14972000 | PA      | $13931446.00   | 0.02%             | 2030-01-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 3.194%/VAR 07/23/2030                                                   | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   38178000 | PA      | $36966138.27   | 0.05%             | 2030-07-23      | Variable      | 0.03%                 | No            |                  2 | On Loan: —       |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 06/20/2049#MA5983                                                                      | CUSIP: 36179UUG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122473 | PA      | $108487.29     | 0.00%             | 2049-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 06/01/2049#MA3685                                                                      | CUSIP: 31418DCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     775186 | PA      | $700289.56     | 0.00%             | 2049-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 08/01/2049#MA3744                                                                      | CUSIP: 31418DES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1003599 | PA      | $906634.24     | 0.00%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDEX CORP                                                                      | FEDEX CORP 3.1% 08/05/2029                                                                          | CUSIP: 31428XBV7<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |    5027000 | PA      | $4840474.32    | 0.01%             | 2029-08-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 3.875% 08/15/2059                                                            | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    9958000 | PA      | $7361314.08    | 0.01%             | 2059-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 3.7% 08/15/2049                                                              | CUSIP: 91324PDU3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    8334000 | PA      | $6313609.80    | 0.01%             | 2049-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2049#MA3693                                                                      | CUSIP: 31418DC75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1651542 | PA      | $1595131.64    | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                    | MEXICO UNITED MEXICAN STATES 4.5% 01/31/2050                                                        | CUSIP: 91087BAG5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    7346000 | PA      | $5649074.00    | 0.01%             | 2050-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 08/01/2049#FM1294                                                                      | CUSIP: 3140X4NL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     994153 | PA      | $1012546.87    | 0.00%             | 2049-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                  | US BANCORP DEL 3% 07/30/2029                                                                        | CUSIP: 91159HHW3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    8603000 | PA      | $8294210.11    | 0.01%             | 2029-07-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| BOEING CO                                                                       | BOEING CO 2.7% 02/01/2027                                                                           | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    6297000 | PA      | $6192619.35    | 0.01%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 3.75% 02/01/2050                                                                          | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   12276000 | PA      | $9107518.61    | 0.01%             | 2050-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 2.95% 02/01/2030                                                                          | CUSIP: 097023CN3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    8056000 | PA      | $7627460.11    | 0.01%             | 2030-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                              | ESSEX PORTFOLIO LP 3% 01/15/2030                                                                    | CUSIP: 29717PAU1<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    1477000 | PA      | $1404515.53    | 0.00%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2044#FM1130                                                                      | CUSIP: 3140X4HG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13670234 | PA      | $12643628.47   | 0.02%             | 2044-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3% 10/20/2042#783692                                                                        | CUSIP: 3622A2C59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9936292 | PA      | $9249242.58    | 0.01%             | 2042-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OWENS CORNING NEW                                                               | OWENS CORNING NEW 3.95% 08/15/2029                                                                  | CUSIP: 690742AJ0<br>LEI: JO5M6676RDJIZ2U8X907 | Long             | DBT              | CORP              | US        |    8413000 | PA      | $8350068.74    | 0.01%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2049#MA3746                                                                      | CUSIP: 31418DEU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     821011 | PA      | $792455.30     | 0.00%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.25% 08/15/2049                                                        | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15289700 | PA      | $9867231.75    | 0.01%             | 2049-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.625% 08/15/2029                                                                         | CUSIP: 912828YB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16548200 | PA      | $15473859.75   | 0.02%             | 2029-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2049#                                                                          | CUSIP: 31418DFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     409618 | PA      | $383302.66     | 0.00%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/01/2049#SD8003                                                                      | CUSIP: 3132DV3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     318705 | PA      | $307819.11     | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 02/01/2049#CA3536                                                                    | CUSIP: 3140QA4W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     503087 | PA      | $522677.86     | 0.00%             | 2049-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C52                                                | WELLS FARGO COML MTG TR 2019-C52 2.892% 08/15/2052                                                  | CUSIP: 95002MAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25720280 | PA      | $24408682.04   | 0.04%             | 2052-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2049#MA3688                                                                    | CUSIP: 31418DC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191274 | PA      | $189953.57     | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEWMONT CORP                                                                    | NEWMONT CORP 5.45% 06/09/2044                                                                       | CUSIP: 651639AV8<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |    5093000 | PA      | $5136225.26    | 0.01%             | 2044-06-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                  | MCDONALDS CORP 3.625% 09/01/2049                                                                    | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    9831000 | PA      | $7371884.77    | 0.01%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DALLAS FORT WORTH TX INTL ARPT                                                  | DFW ARPT 3.144% 11/1/2045                                                                           | CUSIP: 2350364X5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1850000 | PA      | $1447359.71    | 0.00%             | 2045-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/01/2049#BN3950                                                                      | CUSIP: 3140JLL85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212526 | PA      | $216458.56     | 0.00%             | 2049-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 3% 08/15/2026                                                                       | CUSIP: 126650DF4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   13153000 | PA      | $13046931.31   | 0.02%             | 2026-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 3.25% 08/15/2029                                                                    | CUSIP: 126650DG2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   13963000 | PA      | $13485553.93   | 0.02%             | 2029-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| HARTFORD INSURANCE GROUP INC/THE                                                | HARTFORD INSURANCE GROUP INC/THE 2.8% 08/19/2029                                                    | CUSIP: 416515BE3<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |    5649000 | PA      | $5391139.53    | 0.01%             | 2029-08-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| HARTFORD INSURANCE GROUP INC/THE                                                | HARTFORD INSURANCE GROUP INC/THE 3.6% 08/19/2049                                                    | CUSIP: 416515BF0<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |    6760000 | PA      | $5114724.36    | 0.01%             | 2049-08-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                      | HUMANA INC 3.125% 08/15/2029                                                                        | CUSIP: 444859BK7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    6457000 | PA      | $6204220.65    | 0.01%             | 2029-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 03/01/2049#ZT1780                                                                      | CUSIP: 3132AD6R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     221382 | PA      | $200546.14     | 0.00%             | 2049-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2049#                                                                            | CUSIP: 31418DFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2595758 | PA      | $2337663.40    | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2049#ZT1952                                                                      | CUSIP: 3132AEEZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147739 | PA      | $142692.85     | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 08/01/2049#BO4111                                                                      | CUSIP: 3140JYR99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     395841 | PA      | $357596.39     | 0.00%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 08/01/2049#RA1313                                                                      | CUSIP: 3133KGN61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32185 | PA      | $28984.80      | 0.00%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 09/01/2049#                                                                            | CUSIP: 3132DV3T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5603064 | PA      | $5045955.10    | 0.01%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 3.4% 09/01/2029                                                                           | CUSIP: 682680AY9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1254646.68    | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 08/46#ZS4675                                                                         | CUSIP: 3132A5FQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148096 | PA      | $129744.21     | 0.00%             | 2046-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 4.45% 09/01/2049                                                                          | CUSIP: 682680AZ6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    4640000 | PA      | $3791999.82    | 0.01%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                       | DUKE ENERGY CAROLINAS LLC 3.2% 08/15/2049                                                           | CUSIP: 26442CAZ7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    6345000 | PA      | $4406221.04    | 0.01%             | 2049-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SHERWIN WILLIAMS CO                                                             | SHERWIN WILLIAMS CO 2.95% 08/15/2029                                                                | CUSIP: 824348BJ4<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1917941.18    | 0.00%             | 2029-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SHERWIN WILLIAMS CO                                                             | SHERWIN WILLIAMS CO 3.8% 08/15/2049                                                                 | CUSIP: 824348BK1<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    2919000 | PA      | $2235325.31    | 0.00%             | 2049-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                                             | SUZANO AUSTRIA GMBH 6% 01/15/2029                                                                   | CUSIP: 86964WAF9<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |    9570000 | PA      | $9847530.00    | 0.01%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 2.5% 01/01/2028#MA3249                                                                    | CUSIP: 31418CTF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9445 | PA      | $9316.46       | 0.00%             | 2028-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2027#AB5710                                                                    | CUSIP: 31417CKY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43465 | PA      | $42946.54      | 0.00%             | 2027-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 2.5% 07/01/2026#MA2676                                                                    | CUSIP: 31418B6N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11916 | PA      | $11839.59      | 0.00%             | 2026-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 07/01/2034#SB8000                                                                      | CUSIP: 3132D53H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117395 | PA      | $114443.74     | 0.00%             | 2034-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 3% 07/01/2026#MA2686                                                                      | CUSIP: 31418B6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1044 | PA      | $1038.30       | 0.00%             | 2026-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 08/01/2026#ZA2652                                                                    | CUSIP: 31329K5M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17094 | PA      | $17018.91      | 0.00%             | 2026-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 06/01/2034#MA3682                                                                    | CUSIP: 31418DCU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81528 | PA      | $80316.56      | 0.00%             | 2034-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 12/01/2025#ZK2812                                                                    | CUSIP: 3131X6DR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $10.68         | 0.00%             | 2025-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 01/01/2034#ZT1610                                                                    | CUSIP: 3132ADYF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95557 | PA      | $94197.17      | 0.00%             | 2034-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FREDDIE MAC POOL 15YR 3% 07/01/2034#QN0182                                                          | CUSIP: 3133G6FX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12603 | PA      | $12286.17      | 0.00%             | 2034-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2049#BN6067                                                                      | CUSIP: 3140JNW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160783 | PA      | $154776.05     | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| 3M CO                                                                           | 3M CO 2.375% 08/26/2029                                                                             | CUSIP: 88579YBJ9<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    8822000 | PA      | $8313073.55    | 0.01%             | 2029-08-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| 3M CO                                                                           | 3M CO 3.25% 08/26/2049                                                                              | CUSIP: 88579YBK6<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    6797000 | PA      | $4782878.43    | 0.01%             | 2049-08-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 12/20/2048#MA5654                                                                      | CUSIP: 36179UH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118018 | PA      | $122197.86     | 0.00%             | 2048-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                            | BOSTON PROPERTIES LP 2.9% 03/15/2030                                                                | CUSIP: 10112RBC7<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1313144.85    | 0.00%             | 2030-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 08/20/2049#MA6089                                                                        | CUSIP: 36179UXS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     164083 | PA      | $148981.60     | 0.00%             | 2049-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 09/01/2034#SB8006                                                                      | CUSIP: 3132D53P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1078537 | PA      | $1051425.79    | 0.00%             | 2034-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2049#CA3641                                                                      | CUSIP: 3140QBBK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190749 | PA      | $184233.35     | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                               | CIGNA GROUP (THE) 4.8% 08/15/2038                                                                   | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   18723000 | PA      | $18125937.20   | 0.03%             | 2038-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| CIGNA GROUP (THE)                                                               | CIGNA GROUP (THE) 4.9% 12/15/2048                                                                   | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    6764000 | PA      | $6135074.49    | 0.01%             | 2048-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| CIGNA GROUP (THE)                                                               | CIGNA GROUP (THE) 4.375% 10/15/2028                                                                 | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   21090000 | PA      | $21299814.71   | 0.03%             | 2028-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2049#CA2945                                                                      | CUSIP: 3140QAHX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11120 | PA      | $10747.51      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPTIAL ONE MULTI-ASSET EXECUT                                                  | CAPITAL ONE MULTI-ASST EXEC TR 2.06% 08/15/2028                                                     | CUSIP: 14041NFV8<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-CBDO         | CORP              | US        |    8197000 | PA      | $8090773.44    | 0.01%             | 2028-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2049#MA3747                                                                    | CUSIP: 31418DEV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3806005 | PA      | $3779729.82    | 0.01%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO/THE                                                              | WALT DISNEY CO/THE 2% 09/01/2029                                                                    | CUSIP: 254687FL5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    8297000 | PA      | $7752335.47    | 0.01%             | 2029-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO/THE                                                              | WALT DISNEY CO/THE 2.75% 09/01/2049                                                                 | CUSIP: 254687FM3<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    8288000 | PA      | $5376281.55    | 0.01%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DEERE and CO                                                                    | DEERE and CO 2.875% 09/07/2049                                                                      | CUSIP: 244199BG9<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |    9579000 | PA      | $6543185.20    | 0.01%             | 2049-09-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PPL ELEC UTILS CORP                                                             | PPL ELEC UTILS CORP 3% 10/01/2049                                                                   | CUSIP: 69351UAW3<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |   10557000 | PA      | $7160938.41    | 0.01%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES POWER CO (MN)                                                   | NORTHERN STATES POWER CO (MN) 2.9% 03/01/2050                                                       | CUSIP: 665772CR8<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    9483000 | PA      | $6390763.54    | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                | BAT CAPITAL CORP 4.758% 09/06/2049                                                                  | CUSIP: 05526DBK0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    9666000 | PA      | $8304769.12    | 0.01%             | 2049-09-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                         | SIMON PROPERTY GROUP LP 3.25% 09/13/2049                                                            | CUSIP: 828807DH7<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    9260000 | PA      | $6490082.50    | 0.01%             | 2049-09-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2034#                                                                          | CUSIP: 31418DGF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     741496 | PA      | $707907.53     | 0.00%             | 2034-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | APPLE INC 2.95% 09/11/2049                                                                          | CUSIP: 037833DQ0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   21247000 | PA      | $14649707.91   | 0.02%             | 2049-09-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 4.016% 12/03/2029                                                        | CUSIP: 92343VEU4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4963027.65    | 0.01%             | 2029-12-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                  | PLAINS ALL AM PIPELN/PAA FIN C 3.55% 12/15/2029                                                     | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1000000 | PA      | $971033.91     | 0.00%             | 2029-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3% 10/01/2039#RB5011                                                                      | CUSIP: 3133KYR84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     253019 | PA      | $238377.26     | 0.00%             | 2039-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                           | FLORIDA PWR and LT CO 3.15% 10/01/2049                                                              | CUSIP: 341081FX0<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    5556000 | PA      | $3890328.03    | 0.01%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 04/01/2049#BN3138                                                                      | CUSIP: 3140JKPY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137049 | PA      | $139498.97     | 0.00%             | 2049-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 04/01/2049#ZN4866                                                                      | CUSIP: 3131YBMP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4709 | PA      | $4793.52       | 0.00%             | 2049-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/01/2049#BN3363                                                                      | CUSIP: 3140JKWZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17201 | PA      | $17519.36      | 0.00%             | 2049-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 10/01/2049#                                                                          | CUSIP: 3132DV3Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     948101 | PA      | $818465.53     | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 12/01/2048#ZN1700                                                                      | CUSIP: 3131Y73H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     558420 | PA      | $568752.16     | 0.00%             | 2048-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/01/2049#SD8016                                                                      | CUSIP: 3132DV3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12606599 | PA      | $11353133.67   | 0.02%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2049#MA3691                                                                      | CUSIP: 31418DC59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     519169 | PA      | $469008.48     | 0.00%             | 2049-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2049#BN8859                                                                      | CUSIP: 3140JRZZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44129 | PA      | $39865.37      | 0.00%             | 2049-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2049#FM1389                                                                    | CUSIP: 3140X4RK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4260599 | PA      | $4235180.33    | 0.01%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2048#ZN1319                                                                    | CUSIP: 3131Y7PC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41391 | PA      | $41182.95      | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2049#RA1316                                                                    | CUSIP: 3133KGN95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62336 | PA      | $62041.76      | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSAIL 2019-C17 COML MTG TR                                                      | CSAIL 2019-C17 COML MTG TR 2.7628% 09/17/2052                                                       | CUSIP: 12597BAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14978042 | PA      | $14194690.40   | 0.02%             | 2052-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSAIL 2019-C17 COML MTG TR                                                      | CSAIL 2019-C17 COML MTG TR 3.0161% 09/17/2052                                                       | CUSIP: 12597BAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14978042 | PA      | $14158678.70   | 0.02%             | 2052-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 10/01/2034#SB8010                                                                    | CUSIP: 3132D53T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     497575 | PA      | $475036.03     | 0.00%             | 2034-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2034#MA3737                                                                    | CUSIP: 31418DEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42577 | PA      | $40648.31      | 0.00%             | 2034-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 3% 08/01/2026#MA2726                                                                      | CUSIP: 31418CA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17304 | PA      | $17202.58      | 0.00%             | 2026-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                                                     | TRUIST BANK 2.636%/VAR 09/17/2029                                                                   | CUSIP: 07330MAC1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9057558.87    | 0.01%             | 2029-09-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MARKEL GROUP INC                                                                | MARKEL GROUP INC 3.35% 09/17/2029                                                                   | CUSIP: 570535AU8<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |    4833000 | PA      | $4667029.90    | 0.01%             | 2029-09-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046                                                           | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   19100000 | PA      | $19882393.30   | 0.03%             | 2046-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR INC                                                                 | CATERPILLAR INC 3.25% 09/19/2049                                                                    | CUSIP: 149123CF6<br>LEI: WRJR7GS4GTRECRRTVX92 | Long             | DBT              | CORP              | US        |   13214000 | PA      | $9598068.71    | 0.01%             | 2049-09-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2034#MA3764                                                                    | CUSIP: 31418DFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461823 | PA      | $440903.36     | 0.00%             | 2034-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2049#FM1458                                                                    | CUSIP: 3140X4TQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306961 | PA      | $305129.71     | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2049#FM1459                                                                      | CUSIP: 3140X4TR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     354325 | PA      | $319094.42     | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 03/20/2049#MA5816                                                                      | CUSIP: 36179UN99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20629046 | PA      | $19240011.49   | 0.03%             | 2049-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEX INC                                                                 | ENTERGY TEX INC 3.55% 09/30/2049                                                                    | CUSIP: 29365TAJ3<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    3211000 | PA      | $2339593.43    | 0.00%             | 2049-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 04/49#MA5876                                                                             | CUSIP: 36179UQ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     288085 | PA      | $278015.30     | 0.00%             | 2049-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                     | WALMART INC 2.95% 09/24/2049                                                                        | CUSIP: 931142EP4<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    5027000 | PA      | $3503881.03    | 0.01%             | 2049-09-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/01/2034#MA3798                                                                      | CUSIP: 31418DGG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16274 | PA      | $15864.60      | 0.00%             | 2034-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC INC                                                    | THERMO FISHER SCIENTIFIC INC 2.6% 10/01/2029                                                        | CUSIP: 883556BZ4<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   12965000 | PA      | $12329156.73   | 0.02%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 06/01/2049#QA0241                                                                      | CUSIP: 31334WHS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45175 | PA      | $40810.36      | 0.00%             | 2049-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2049#SD8012                                                                      | CUSIP: 3132DV3V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1098071 | PA      | $1059878.63    | 0.00%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2049#MA3664                                                                      | CUSIP: 31418DCA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153247 | PA      | $148012.39     | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 09/20/2049#MA6153                                                                        | CUSIP: 36179UZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4317831 | PA      | $3915030.25    | 0.01%             | 2049-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2049#MA3818                                                                      | CUSIP: 31418DG48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1312821 | PA      | $1336290.58    | 0.00%             | 2049-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 10/01/2034#FM1570                                                                      | CUSIP: 3140X4W85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     716592 | PA      | $718646.68     | 0.00%             | 2034-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 01/01/2049#BN3942                                                                    | CUSIP: 3140JLLY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     874123 | PA      | $905894.90     | 0.00%             | 2049-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2049#                                                                            | CUSIP: 31418DHL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1359633 | PA      | $1224445.84    | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | AMERICAN TOWER CORP 3.7% 10/15/2049                                                                 | CUSIP: 03027XAY6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    4833000 | PA      | $3627554.20    | 0.01%             | 2049-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                                           | MIDAMERICAN ENERGY CO 3.15% 04/15/2050                                                              | CUSIP: 595620AV7<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    7100000 | PA      | $4913791.50    | 0.01%             | 2050-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2049#CA4142                                                                      | CUSIP: 3140QBS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10703651 | PA      | $9702947.69    | 0.01%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/49#CA4421                                                                           | CUSIP: 3140QB4F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10157073 | PA      | $9197947.44    | 0.01%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2049#CA4406                                                                      | CUSIP: 3140QB3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13148714 | PA      | $11919416.73   | 0.02%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                                               | ITALY REPUBLIC OF 2.875% 10/17/2029                                                                 | CUSIP: 465410BY3<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   21266000 | PA      | $20452575.50   | 0.03%             | 2029-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                                               | ITALY REPUBLIC OF 4% 10/17/2049                                                                     | CUSIP: 465410BZ0<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    9200000 | PA      | $7139264.77    | 0.01%             | 2049-10-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 08/01/2049#SD8020                                                                    | CUSIP: 3132DV4D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59777 | PA      | $51603.22      | 0.00%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 11/01/2049#                                                                          | CUSIP: 3132DV4G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     486198 | PA      | $419719.62     | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2049#MA3802                                                                      | CUSIP: 31418DGL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7160382 | PA      | $6448429.90    | 0.01%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2049#CA3788                                                                      | CUSIP: 3140QBF60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     789340 | PA      | $713076.12     | 0.00%             | 2049-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/01/2049#                                                                            | CUSIP: 3132DV4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185102 | PA      | $166697.77     | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2049#ZA6269                                                                    | CUSIP: 31329P6E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     150449 | PA      | $149692.65     | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2048#ZN1973                                                                    | CUSIP: 3131Y8FN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17648 | PA      | $17559.21      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2048#BK6577                                                                    | CUSIP: 3140HLJX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5983 | PA      | $5960.64       | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2048#BN1042                                                                    | CUSIP: 3140JHEQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38462 | PA      | $38304.17      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#BN4962                                                                    | CUSIP: 3140JMQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52316 | PA      | $52265.65      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 09/33#FM1628                                                                         | CUSIP: 3140X4Y26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     870429 | PA      | $859127.85     | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/48#FM1626                                                                           | CUSIP: 3140X4YY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24496 | PA      | $23712.93      | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/01/2034#MA3828                                                                      | CUSIP: 31418DHE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     333727 | PA      | $324816.34     | 0.00%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 12/01/2048#BN0341                                                                      | CUSIP: 3140JGLX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     898123 | PA      | $914740.27     | 0.00%             | 2048-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2048#CA1563                                                                    | CUSIP: 3140Q8WZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20627 | PA      | $20444.50      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2049#BO1002                                                                    | CUSIP: 3140JVDG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13092 | PA      | $13001.51      | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 09/20/2049#MA6155                                                                        | CUSIP: 36179UZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5377421 | PA      | $5179383.17    | 0.01%             | 2049-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KAISER FNDTN HOSPS                                                              | KAISER FNDTN HOSPS 3.266% 11/01/2049                                                                | CUSIP: 48305QAE3<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    7259000 | PA      | $5188765.87    | 0.01%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/49#MA3815                                                                         | CUSIP: 31418DGZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     610515 | PA      | $606109.96     | 0.00%             | 2049-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DH EUROPE FINANCE II SARL                                                       | DH EUROPE FINANCE II SARL 3.4% 11/15/2049                                                           | CUSIP: 23291KAK1<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |    8313000 | PA      | $6159756.18    | 0.01%             | 2049-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DH EUROPE FINANCE II SARL                                                       | DH EUROPE FINANCE II SARL 2.6% 11/15/2029                                                           | CUSIP: 23291KAH8<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |    7675000 | PA      | $7281466.68    | 0.01%             | 2029-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | COMCAST CORP 2.65% 02/01/2030                                                                       | CUSIP: 20030NDA6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   26264000 | PA      | $24756030.90   | 0.04%             | 2030-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | COMCAST CORP 3.45% 02/01/2050                                                                       | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    5896000 | PA      | $4047768.62    | 0.01%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.375% 11/15/2049                                                       | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8121000 | PA      | $5370011.25    | 0.01%             | 2049-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 01/01/2049#CA2978                                                                    | CUSIP: 3140QAJY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     538684 | PA      | $559661.29     | 0.00%             | 2049-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2049#FM1675                                                                      | CUSIP: 3140X42H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22161662 | PA      | $19958143.60   | 0.03%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FINANCE BV                                                  | SHELL INTL FIN B V 3.125% 11/07/2049                                                                | CUSIP: 822582CE0<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |   11116000 | PA      | $7678450.59    | 0.01%             | 2049-11-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                          | COMMONWEALTH EDISON CO 3.2% 11/15/2049                                                              | CUSIP: 202795JQ4<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |   13533000 | PA      | $9355217.69    | 0.01%             | 2049-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2049#SD8002                                                                    | CUSIP: 3132DV3K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161070 | PA      | $159958.18     | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 08/01/2049#                                                                          | CUSIP: 3132DV3Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     142453 | PA      | $141469.14     | 0.00%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2048#BK6557                                                                    | CUSIP: 3140HLJB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363436 | PA      | $361948.99     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                                               | HEALTHPEAK OP LLC 3% 01/15/2030                                                                     | CUSIP: 42250PAA1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    9937000 | PA      | $9423754.94    | 0.01%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 11/01/2049#BO2350                                                                    | CUSIP: 3140JWTG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314294 | PA      | $271320.36     | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 11/01/2049#BO8124                                                                    | CUSIP: 3140K4A26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1775674 | PA      | $1532882.91    | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 11/01/2049#BO3650                                                                    | CUSIP: 3140JYBU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170253 | PA      | $146974.30     | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2049#ZA6266                                                                    | CUSIP: 31329P6B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107954 | PA      | $107411.14     | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 05/01/2049#ZT1954                                                                      | CUSIP: 3132AEE36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38151 | PA      | $38832.68      | 0.00%             | 2049-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 06/01/2049#ZT2089                                                                      | CUSIP: 3132AEKA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13520 | PA      | $13761.94      | 0.00%             | 2049-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2049#SD8011                                                                    | CUSIP: 3132DV3U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     175897 | PA      | $164761.35     | 0.00%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 12/01/2049#                                                                            | CUSIP: 3132DV4P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1908021 | PA      | $1718307.43    | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 08/01/2049#SD8022                                                                      | CUSIP: 3132DV4F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63822 | PA      | $64962.91      | 0.00%             | 2049-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2049#CA4032                                                                      | CUSIP: 3140QBPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12983 | PA      | $12539.33      | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2049#ZT2088                                                                    | CUSIP: 3132AEJ98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     228995 | PA      | $227414.00     | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 02/01/2049#ZN3190                                                                    | CUSIP: 3131Y9RK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13207 | PA      | $13128.03      | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2049#BJ7666                                                                    | CUSIP: 3140H9QU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314346 | PA      | $312765.04     | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2049#ZA7159                                                                    | CUSIP: 31329Q5U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     289639 | PA      | $287639.61     | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2048#BJ7012                                                                    | CUSIP: 3140H8YJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10408 | PA      | $9768.64       | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2049#BO0447                                                                    | CUSIP: 3140JUP99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7985 | PA      | $7479.21       | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2048#BN0635                                                                    | CUSIP: 3140JGV51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6496 | PA      | $6109.28       | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2049#QA0411                                                                    | CUSIP: 31334WN49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65666 | PA      | $61549.76      | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2049#ZN4497                                                                    | CUSIP: 3131YA7J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67616 | PA      | $63419.59      | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2044#ZN6137                                                                    | CUSIP: 3131YCZA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     302916 | PA      | $286011.35     | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 02/01/2049#CA3107                                                                      | CUSIP: 3140QANZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8090 | PA      | $8239.80       | 0.00%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/01/2049#MA3669                                                                      | CUSIP: 31418DCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22577 | PA      | $22980.59      | 0.00%             | 2049-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C54                                                | WELLS FARGO COML MTG TR 2019-C54 3.146% 12/15/2052                                                  | CUSIP: 95001YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1836610 | PA      | $1757320.24    | 0.00%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2049#QA4561                                                                    | CUSIP: 31346YB69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     187577 | PA      | $175526.70     | 0.00%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2049#FM0020                                                                    | CUSIP: 3140X3AW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5178373 | PA      | $4850552.85    | 0.01%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 06/01/2048#MA3386                                                                      | CUSIP: 31418CXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61064 | PA      | $62270.01      | 0.00%             | 2048-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 08/01/2049#SD8014                                                                      | CUSIP: 3132DV3X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101541 | PA      | $103356.19     | 0.00%             | 2049-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 03/01/2048#BK1660                                                                      | CUSIP: 3140HEZ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9288 | PA      | $9476.83       | 0.00%             | 2048-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 08/01/2048#MA3448                                                                      | CUSIP: 31418CZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151435 | PA      | $154425.82     | 0.00%             | 2048-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 07/01/2049#MA3731                                                                      | CUSIP: 31418DED0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44427 | PA      | $45221.72      | 0.00%             | 2049-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 03/01/2049#BN5326                                                                      | CUSIP: 3140JM4L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95118 | PA      | $96877.94      | 0.00%             | 2049-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 01/01/2049#ZT2159                                                                      | CUSIP: 3132AEMG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96702 | PA      | $98490.81      | 0.00%             | 2049-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 02/01/2049#ZN3398                                                                      | CUSIP: 3131Y9X32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     178439 | PA      | $181740.73     | 0.00%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2048#ZM5397                                                                    | CUSIP: 3131XY7J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11416 | PA      | $10718.61      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2049#ZA6392                                                                    | CUSIP: 31329QC58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15141 | PA      | $14225.05      | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                                                                      | HASBRO INC 3.9% 11/19/2029                                                                          | CUSIP: 418056AZ0<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1964297.28    | 0.00%             | 2029-11-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2049#FM1544                                                                    | CUSIP: 3140X4WE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50166 | PA      | $49820.02      | 0.00%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 12/01/2034#                                                                          | CUSIP: 3132D54D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146913 | PA      | $140166.57     | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 04/01/2027#ZK4031                                                                      | CUSIP: 3131X7PQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32859 | PA      | $32583.50      | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4% 10/01/2033#ZT0718                                                                      | CUSIP: 3132ACYP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65093 | PA      | $65402.00      | 0.00%             | 2033-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4% 07/01/2029#ZT1998                                                                      | CUSIP: 3132AEGF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        586 | PA      | $584.56        | 0.00%             | 2029-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 11/01/2034#SB8015                                                                    | CUSIP: 3132D53Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     261200 | PA      | $249205.12     | 0.00%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 01/01/2026#AH5506                                                                      | CUSIP: 3138A7DL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1205 | PA      | $1202.01       | 0.00%             | 2026-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2027#AH9597                                                                      | CUSIP: 3138ABUX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42853 | PA      | $42534.13      | 0.00%             | 2027-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/01/2026#AJ4220                                                                      | CUSIP: 3138AVVN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4226 | PA      | $4197.90       | 0.00%             | 2026-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/01/2026#AJ6967                                                                      | CUSIP: 3138AYW54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77178 | PA      | $76664.89      | 0.00%             | 2026-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2027#AK1606                                                                      | CUSIP: 3138E5YC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1448 | PA      | $1437.23       | 0.00%             | 2027-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2030#AL7216                                                                      | CUSIP: 3138EQAS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50668 | PA      | $50066.71      | 0.00%             | 2030-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 08/01/2027#AP2972                                                                      | CUSIP: 3138M6JS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20634 | PA      | $20444.23      | 0.00%             | 2027-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/01/2034#FM1776                                                                      | CUSIP: 3140X46N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184961 | PA      | $179960.23     | 0.00%             | 2034-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 10/01/2033#MA3490                                                                      | CUSIP: 31418C2Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207181 | PA      | $208163.43     | 0.00%             | 2033-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2034#MA3827                                                                    | CUSIP: 31418DHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2963345 | PA      | $2827257.90    | 0.00%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECHNOLOGIES INC                                                       | L3HARRIS TECHNOLOGIES INC 2.9% 12/15/2029                                                           | CUSIP: 502431AF6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $952087.78     | 0.00%             | 2029-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 10YR 3.5% 07/01/2029#SA0012                                                                    | CUSIP: 3132CJAM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     547132 | PA      | $543839.84     | 0.00%             | 2029-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONCOR ELEC DELIVERY CO LLC                                                      | ONCOR ELEC DELIVERY CO LLC 3.1% 09/15/2049                                                          | CUSIP: 68233JBR4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   15204000 | PA      | $10335069.82   | 0.02%             | 2049-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CORNING INC                                                                     | CORNING INC 3.9% 11/15/2049                                                                         | CUSIP: 219350BP9<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |    4833000 | PA      | $3814651.38    | 0.01%             | 2049-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                      | INTEL CORP 3.25% 11/15/2049                                                                         | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    8313000 | PA      | $5470898.94    | 0.01%             | 2049-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                      | INTEL CORP 2.45% 11/15/2029                                                                         | CUSIP: 458140BH2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   10216000 | PA      | $9544093.99    | 0.01%             | 2029-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO                                                                 | DOW CHEMICAL CO 4.8% 11/30/2028                                                                     | CUSIP: 260543CY7<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |    6792000 | PA      | $6886556.93    | 0.01%             | 2028-11-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| DOW CHEMICAL CO                                                                 | DOW CHEMICAL CO 4.8% 05/15/2049                                                                     | CUSIP: 260543CV3<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |    6112000 | PA      | $4932371.71    | 0.01%             | 2049-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| VIRGINIA ELECTRIC AND POWER CO                                                  | VIRGINIA ELECTRIC AND POWER CO 3.3% 12/01/2049                                                      | CUSIP: 927804GC2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    5800000 | PA      | $4080715.34    | 0.01%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/49#CA4571                                                                           | CUSIP: 3140QCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90523 | PA      | $87374.76      | 0.00%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2049#MA3871                                                                      | CUSIP: 31418DJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     869527 | PA      | $783070.28     | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO/THE                                                              | WALT DISNEY CO/THE 6.15% 03/01/2037                                                                 | CUSIP: 254687EF9<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    3142000 | PA      | $3505368.34    | 0.01%             | 2037-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO/THE                                                              | WALT DISNEY CO/THE 5.4% 10/01/2043                                                                  | CUSIP: 254687ET9<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    3078000 | PA      | $3126636.86    | 0.00%             | 2043-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO/THE                                                              | WALT DISNEY CO/THE 6.15% 02/15/2041                                                                 | CUSIP: 254687ER3<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    8340000 | PA      | $9215833.77    | 0.01%             | 2041-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2049#FM1914                                                                      | CUSIP: 3140X5DU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23889 | PA      | $23072.95      | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 12/20/2049#MA6339                                                                      | CUSIP: 36179VBG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9443671 | PA      | $8798938.36    | 0.01%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2049#FM1634                                                                    | CUSIP: 3140X4Y83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164131 | PA      | $153997.39     | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2049#FM1941                                                                    | CUSIP: 3140X5EP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3252 | PA      | $3238.98       | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 12/20/2049#MA6338                                                                        | CUSIP: 36179VBF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9794703 | PA      | $8871795.03    | 0.01%             | 2049-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 11/20/2049#MA6285                                                                        | CUSIP: 36179U6W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     745112 | PA      | $717671.37     | 0.00%             | 2049-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2049#MA3851                                                                    | CUSIP: 31418DH54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     938585 | PA      | $931812.25     | 0.00%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2050#MA3908                                                                    | CUSIP: 31418DKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116301 | PA      | $115389.55     | 0.00%             | 2050-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 12/01/2048#CA2858                                                                      | CUSIP: 3140QAE89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272181 | PA      | $277216.41     | 0.00%             | 2048-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2049#ZT1778                                                                    | CUSIP: 3132AD6P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2308706 | PA      | $2294932.03    | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 01/01/2050#SD8037                                                                    | CUSIP: 3132DV4W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22897 | PA      | $19680.19      | 0.00%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2049#CA4574                                                                      | CUSIP: 3140QCCL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1738631 | PA      | $1679246.05    | 0.00%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2049#BN6701                                                                    | CUSIP: 3140JPNT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85774 | PA      | $88899.20      | 0.00%             | 2049-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2049#CA4174                                                                      | CUSIP: 3140QBT81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165176 | PA      | $159740.74     | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 12/01/2049#SD8029                                                                    | CUSIP: 3132DV4N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20555488 | PA      | $17744901.05   | 0.03%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2050#                                                                          | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1481042 | PA      | $1278536.53    | 0.00%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2049#MA3687                                                                      | CUSIP: 31418DCZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2410603 | PA      | $2328266.21    | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2049#BN9750                                                                    | CUSIP: 3140JSZQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6944 | PA      | $6509.10       | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2048#BK8727                                                                      | CUSIP: 3140HNVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10447 | PA      | $10653.53      | 0.00%             | 2048-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2035#                                                                          | CUSIP: 31418DKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2115795 | PA      | $2018630.15    | 0.00%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2050#MA3907                                                                      | CUSIP: 31418DKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218389 | PA      | $210656.80     | 0.00%             | 2050-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2049#QA5411                                                                      | CUSIP: 3133A0AL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40381 | PA      | $38976.73      | 0.00%             | 2049-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2048#BN0334                                                                      | CUSIP: 3140JGLQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82852 | PA      | $80073.76      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2050#MA3905                                                                      | CUSIP: 31418DKT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5039715 | PA      | $4538619.40    | 0.01%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2049#                                                                            | CUSIP: 3132DV3P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8445972 | PA      | $8157490.92    | 0.01%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2049#MA3776                                                                      | CUSIP: 31418DFS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     976336 | PA      | $942378.31     | 0.00%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2049#BO5379                                                                      | CUSIP: 3140K06R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8627951 | PA      | $7829396.65    | 0.01%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2048#BJ7556                                                                      | CUSIP: 3140H9ME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148857 | PA      | $143865.23     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 03/01/2049#ZA6548                                                                      | CUSIP: 31329QHZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92900 | PA      | $89785.19      | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 04/01/2034#MA3633                                                                      | CUSIP: 31418DBB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2385 | PA      | $2393.43       | 0.00%             | 2034-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 02/01/2034#FM1793                                                                    | CUSIP: 3140X47F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80873 | PA      | $79848.53      | 0.00%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 04/01/2028#ZK5302                                                                      | CUSIP: 3131X83K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91280 | PA      | $90325.38      | 0.00%             | 2028-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 08/01/2028#ZK5842                                                                      | CUSIP: 3131X9P32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24010 | PA      | $23726.84      | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 08/01/2028#ZK5846                                                                      | CUSIP: 3131X9P73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47559 | PA      | $46985.85      | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 10/01/2028#ZK6153                                                                      | CUSIP: 3131X9ZS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85267 | PA      | $84192.60      | 0.00%             | 2028-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/01/2026#AJ6031                                                                      | CUSIP: 3138AXVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28390 | PA      | $28178.92      | 0.00%             | 2026-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 06/01/2028#ZK5591                                                                      | CUSIP: 3131X9F82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37910 | PA      | $37473.26      | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 09/01/2028#ZA3661                                                                      | CUSIP: 31329MB66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30813 | PA      | $30441.74      | 0.00%             | 2028-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2029#AS2221                                                                      | CUSIP: 3138WBPF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46454 | PA      | $45809.46      | 0.00%             | 2029-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 10/01/2028#ZS7367                                                                      | CUSIP: 3132A8FG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65025 | PA      | $64444.31      | 0.00%             | 2028-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 01/01/2027#ZK3851                                                                      | CUSIP: 3131X7H43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39523 | PA      | $39229.52      | 0.00%             | 2027-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 04/01/2034#ZT1872                                                                    | CUSIP: 3132AECH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98310 | PA      | $96849.01      | 0.00%             | 2034-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2049#CA3084                                                                      | CUSIP: 3140QANA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135809 | PA      | $131254.95     | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 01/01/2035#SB8026                                                                    | CUSIP: 3132D54K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     597732 | PA      | $570281.80     | 0.00%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 08/01/2034#CA4490                                                                    | CUSIP: 3140QB7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     351707 | PA      | $346481.57     | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2049#BN7664                                                                      | CUSIP: 3140JQQS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34224 | PA      | $33054.96      | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 04/20/2049#MA5875                                                                      | CUSIP: 36179UQ47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4149334 | PA      | $3869943.02    | 0.01%             | 2049-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS INSTITUTE OF TECHNOLOGY                                           | MASSACHUSETTS INSTITUTE OF TECHNOLOGY 2.989% 07/01/2050                                             | CUSIP: 575718AG6<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |    3722000 | PA      | $2567717.36    | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2050#BO8904                                                                      | CUSIP: 3140K43N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95016 | PA      | $85568.44      | 0.00%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 09/20/2049#MA6156                                                                      | CUSIP: 36179UZV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     566253 | PA      | $565115.13     | 0.00%             | 2049-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 08/01/2048#ZS4794                                                                      | CUSIP: 3132A5KF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     802192 | PA      | $818037.23     | 0.00%             | 2048-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 06/01/2049#SD0067                                                                    | CUSIP: 3132DMCC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2876283 | PA      | $2988288.09    | 0.00%             | 2049-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4% 10/01/2034#SB0225                                                                      | CUSIP: 3132CWHA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     217252 | PA      | $218146.37     | 0.00%             | 2034-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 01/01/2050#SD8036                                                                      | CUSIP: 3132DV4V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23502 | PA      | $21164.80      | 0.00%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2050#                                                                            | CUSIP: 31418DLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3482427 | PA      | $3136171.73    | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                             | SUMITOMO MITSUI FINL GRP INC 2.75% 01/15/2030                                                       | CUSIP: 86562MBW9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   13875000 | PA      | $13107806.99   | 0.02%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                  | HOME DEPOT INC 3.125% 12/15/2049                                                                    | CUSIP: 437076BZ4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    5317000 | PA      | $3695399.27    | 0.01%             | 2049-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                       | KROGER CO 3.95% 01/15/2050                                                                          | CUSIP: 501044DN8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2256703.09    | 0.00%             | 2050-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| INDONESIA REPUBLIC OF                                                           | INDONESIA REPUBLIC OF 2.85% 02/14/2030                                                              | CUSIP: 455780CQ7<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   27839000 | PA      | $26307855.00   | 0.04%             | 2030-02-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                           | INDONESIA REPUBLIC OF 3.5% 02/14/2050                                                               | CUSIP: 455780CR5<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   21266000 | PA      | $15723548.75   | 0.02%             | 2050-02-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 10/20/2049#MA6220                                                                        | CUSIP: 36179U4D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8324018 | PA      | $8017464.21    | 0.01%             | 2049-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2020-GC45                                                        | GS MTG SECS TR 2020-GC45 2.9106% 02/13/2053                                                         | CUSIP: 36258YBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   36094229 | PA      | $34061423.68   | 0.05%             | 2053-02-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 3.75% 05/15/2030                                                                 | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   13291000 | PA      | $12966370.65   | 0.02%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 5% 05/15/2050                                                                    | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   14074000 | PA      | $11967546.11   | 0.02%             | 2050-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC AND GAS CO                                              | PUBLIC SERVICE ELECTRIC AND GAS CO 3.15% 01/01/2050                                                 | CUSIP: 74456QCC8<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    9135000 | PA      | $6359173.68    | 0.01%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC AND GAS CO                                              | PUBLIC SERVICE ELECTRIC AND GAS CO 2.45% 01/15/2030                                                 | CUSIP: 74456QCB0<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    8071000 | PA      | $7604482.56    | 0.01%             | 2030-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| EVERSOURCE ENERGY                                                               | EVERSOURCE ENERGY 3.45% 01/15/2050                                                                  | CUSIP: 30040WAH1<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    3548000 | PA      | $2548922.65    | 0.00%             | 2050-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 01/20/2050#MA6411                                                                        | CUSIP: 36179VDQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2782996 | PA      | $2685722.79    | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2049#ZA6946                                                                      | CUSIP: 31329QWF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8359 | PA      | $8073.84       | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                                                | ISRAEL STATE OF 3.375% 01/15/2050                                                                   | CUSIP: 46513JXN6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   23561000 | PA      | $16092227.56   | 0.02%             | 2050-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | AIR LEASE CORP 3% 02/01/2030                                                                        | CUSIP: 00914AAG7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1778060.53    | 0.00%             | 2030-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                             | NOMURA HOLDINGS INC 3.103% 01/16/2030                                                               | CUSIP: 65535HAQ2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   19128000 | PA      | $18197543.31   | 0.03%             | 2030-01-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                         | WESTERN GAS PARTNERS LP STEP 02/01/2030                                                             | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |   10100000 | PA      | $9932987.81    | 0.01%             | 2030-02-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/01/2049#ZT2087                                                                      | CUSIP: 3132AEJ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     163772 | PA      | $158178.10     | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2049#RA1824                                                                    | CUSIP: 3133KHAZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     132878 | PA      | $124341.51     | 0.00%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2049#MA3694                                                                    | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     609574 | PA      | $605365.35     | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2049#BO3192                                                                      | CUSIP: 3140JXRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75594 | PA      | $68077.60      | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 01/01/2050#RA2061                                                                      | CUSIP: 3133KHJE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     309324 | PA      | $278568.20     | 0.00%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2048#ZA6139                                                                    | CUSIP: 31329PZC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131087 | PA      | $130427.58     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2049#SD8019                                                                    | CUSIP: 3132DV4C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     780439 | PA      | $774807.26     | 0.00%             | 2049-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2050#MA3945                                                                    | CUSIP: 31418DL34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3167457 | PA      | $3140641.41    | 0.00%             | 2050-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/01/2048#ZT1548                                                                      | CUSIP: 3132ADWH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1968702 | PA      | $1783414.41    | 0.00%             | 2048-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/01/2049#RA1830                                                                    | CUSIP: 3133KHA71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14931 | PA      | $14822.96      | 0.00%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/49#SD8013                                                                         | CUSIP: 3132DV3W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     174153 | PA      | $172950.42     | 0.00%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3% 02/01/2040#RB5033                                                                      | CUSIP: 3133KYSW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5005065 | PA      | $4699797.04    | 0.01%             | 2040-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 02/01/2040#                                                                            | CUSIP: 31418DLQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4212719 | PA      | $3955777.81    | 0.01%             | 2040-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/49#BO1169                                                                         | CUSIP: 3140JVJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     752387 | PA      | $704756.82     | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 01/01/2040#MA3890                                                                      | CUSIP: 31418DKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     608711 | PA      | $571584.19     | 0.00%             | 2040-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 07/20/2049#MA6041                                                                      | CUSIP: 36179UWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     280227 | PA      | $279313.15     | 0.00%             | 2049-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 01/20/2050#MA6409                                                                        | CUSIP: 36179VDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38244846 | PA      | $34641217.35   | 0.05%             | 2050-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 12/20/2049#MA6337                                                                      | CUSIP: 36179VBE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     180895 | PA      | $158335.76     | 0.00%             | 2049-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 09/20/2049#MA6152                                                                      | CUSIP: 36179UZR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3713680 | PA      | $3250548.86    | 0.00%             | 2049-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 05/20/2049#MA5934                                                                      | CUSIP: 36179USX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38878 | PA      | $40328.16      | 0.00%             | 2049-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 10/20/2049#MA6218                                                                        | CUSIP: 36179U4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3850723 | PA      | $3491498.01    | 0.01%             | 2049-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/48#CA2206                                                                         | CUSIP: 3140Q9NY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1898 | PA      | $1890.46       | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 01/01/2035#CA5084                                                                    | CUSIP: 3140QCUJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1624148 | PA      | $1597985.41    | 0.00%             | 2035-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 12/01/2034#FM2270                                                                      | CUSIP: 3140X5QY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112756 | PA      | $113008.52     | 0.00%             | 2034-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MASS GENERAL BRIGHAM INC                                                        | MASS GENERAL BRIGHAM INC 3.342% 07/01/2060                                                          | CUSIP: 70213HAF5<br>LEI: 5493007Z86EDN0QFYU66 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1350381.60    | 0.00%             | 2060-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.5% 01/31/2027                                                                           | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  380445400 | PA      | $371350377.16  | 0.55%             | 2027-01-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3.5% 05/39#MA3660                                                                         | CUSIP: 31418DB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388270 | PA      | $377036.87     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2050#BK0534                                                                      | CUSIP: 3140HDSY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9488596 | PA      | $8545151.35    | 0.01%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 08/01/2031#BM4536                                                                      | CUSIP: 3140J9BE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2935 | PA      | $2900.19       | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                              | UNION PACIFIC CORP 3.25% 02/05/2050                                                                 | CUSIP: 907818FK9<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |   10720000 | PA      | $7572360.26    | 0.01%             | 2050-02-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                              | UNION PACIFIC CORP 2.15% 02/05/2027                                                                 | CUSIP: 907818FJ2<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    7153000 | PA      | $7015644.45    | 0.01%             | 2027-02-05      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2035#MA3930                                                                    | CUSIP: 31418DLL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     497983 | PA      | $475114.12     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                                                                 | NEVADA POWER CO 3.125% 08/01/2050                                                                   | CUSIP: 641423CE6<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    5300000 | PA      | $3534352.59    | 0.01%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                              | UNION PACIFIC CORP 2.4% 02/05/2030                                                                  | CUSIP: 907818FH6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1875762.26    | 0.00%             | 2030-02-05      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2049#BO2249                                                                    | CUSIP: 3140JWQB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162440 | PA      | $152004.30     | 0.00%             | 2049-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 03/01/2050#                                                                            | CUSIP: 3132DV5K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     192664 | PA      | $173507.57     | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 02/01/2050#SD8044                                                                      | CUSIP: 3132DV5D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     261898 | PA      | $235857.72     | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2050#                                                                            | CUSIP: 31418DMJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     567026 | PA      | $509637.41     | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                     | PROLOGIS LP 2.125% 04/15/2027                                                                       | CUSIP: 74340XBN0<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    9502000 | PA      | $9279959.16    | 0.01%             | 2027-04-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 2.572%/VAR 02/11/2031                                                        | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   18666000 | PA      | $17477841.34   | 0.03%             | 2031-02-11      | Variable      | 0.03%                 | No            |                  2 | On Loan: —       |
| UST NOTES                                                                       | UST NOTES 1.5% 02/15/2030                                                                           | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  707689900 | PA      | $651157642.18  | 0.96%             | 2030-02-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2% 02/15/2050                                                           | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17589900 | PA      | $10636392.66   | 0.02%             | 2050-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2050#BO9019                                                                      | CUSIP: 3140K5AV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     293671 | PA      | $264471.57     | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 2.6% 02/07/2030                                                       | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    9666000 | PA      | $9080972.79    | 0.01%             | 2030-02-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                                                           | SOUTHWEST AIRLINES CO 2.625% 02/10/2030                                                             | CUSIP: 844741BF4<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1852996.24    | 0.00%             | 2030-02-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| WELLS FARGO COML MTG TR 2020-C55                                                | WELLS FARGO COML MTG TR 2020-C55 2.725% 02/15/2053                                                  | CUSIP: 95002EBB2<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |   12719011 | PA      | $11933671.85   | 0.02%             | 2053-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2020-L4                                                 | Morgan Stanley Capital I Trust 2.698% 02/15/2053                                                    | CUSIP: 61770KAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14132234 | PA      | $13252937.71   | 0.02%             | 2053-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                     | PROLOGIS LP 3.25% 10/01/2026                                                                        | CUSIP: 74340XBK6<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    3701000 | PA      | $3679885.94    | 0.01%             | 2026-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| HCA INC                                                                         | HCA INC 3.5% 09/01/2030                                                                             | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6256672.50    | 0.01%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAP CORP                                                               | NOVARTIS CAP CORP 2.75% 08/14/2050                                                                  | CUSIP: 66989HAS7<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |   10923000 | PA      | $7179020.50    | 0.01%             | 2050-08-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVALONBAY COMMUNITIES INC                                                       | AVALONBAY COMMUNITIES INC 2.3% 03/01/2030                                                           | CUSIP: 05348EBG3<br>LEI: K9G90K85RBWD2LAGQX17 | Long             | DBT              | CORP              | US        |    4833000 | PA      | $4485473.57    | 0.01%             | 2030-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SYSCO CORP                                                                      | SYSCO CORP 3.3% 02/15/2050                                                                          | CUSIP: 871829BJ5<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |   11213000 | PA      | $7907993.59    | 0.01%             | 2050-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/01/2049#QA3224                                                                      | CUSIP: 31339SSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61745 | PA      | $55605.35      | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2049#BO4167                                                                    | CUSIP: 3140JYTZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7994 | PA      | $7480.54       | 0.00%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 04/01/2027#ZK4062                                                                    | CUSIP: 3131X7QP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        810 | PA      | $801.40        | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2027#AQ0578                                                                    | CUSIP: 3138MFUC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45753 | PA      | $45154.00      | 0.00%             | 2027-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2028#AR7677                                                                    | CUSIP: 3138W5Q76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4662 | PA      | $4593.77       | 0.00%             | 2028-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 09/01/2027#ZS8471                                                                    | CUSIP: 3132A9MU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        912 | PA      | $900.06        | 0.00%             | 2027-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 11/01/2027#ZK4686                                                                    | CUSIP: 3131X8F35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3419 | PA      | $3372.97       | 0.00%             | 2027-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2027#AB5764                                                                    | CUSIP: 31417CMN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3964 | PA      | $3915.21       | 0.00%             | 2027-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2027#AW7395                                                                      | CUSIP: 3138XXGD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2246 | PA      | $2229.52       | 0.00%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 07/01/2031#ZK8137                                                                      | CUSIP: 3131XCBE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6292 | PA      | $6164.42       | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 11/01/2028#ZS8507                                                                      | CUSIP: 3132A9NY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19071 | PA      | $18829.49      | 0.00%             | 2028-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 03/01/2027#ZK7581                                                                      | CUSIP: 3131XBM63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102744 | PA      | $101887.84     | 0.00%             | 2027-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 02/01/2027#ZK3836                                                                      | CUSIP: 3131X7HM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27588 | PA      | $27373.92      | 0.00%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 02/01/2028#ZK5021                                                                      | CUSIP: 3131X8SJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6748 | PA      | $6677.34       | 0.00%             | 2028-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 04/01/2027#ZK4025                                                                      | CUSIP: 3131X7PJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10592 | PA      | $10499.87      | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 06/01/2028#AL3803                                                                      | CUSIP: 3138ELGM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44877 | PA      | $44488.26      | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2027#AL2286                                                                      | CUSIP: 3138EJRG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12718 | PA      | $12611.62      | 0.00%             | 2027-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 10/01/2026#ZK3612                                                                      | CUSIP: 3131X7AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19301 | PA      | $19165.31      | 0.00%             | 2026-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 05/01/2027#AO4075                                                                      | CUSIP: 3138LUQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23412 | PA      | $23210.29      | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 06/01/2027#ZK4210                                                                      | CUSIP: 3131X7VB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23946 | PA      | $23732.14      | 0.00%             | 2027-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 10/01/2027#ZS6585                                                                      | CUSIP: 3132A7J69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23121 | PA      | $22897.67      | 0.00%             | 2027-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 07/01/2027#AL2740                                                                      | CUSIP: 3138EKBJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        267 | PA      | $264.97        | 0.00%             | 2027-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 05/01/2029#ZK6662                                                                      | CUSIP: 3131XAMK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1183 | PA      | $1167.36       | 0.00%             | 2029-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2027#MA1281                                                                      | CUSIP: 31418AM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        829 | PA      | $820.90        | 0.00%             | 2027-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 12/01/2028#ZK6273                                                                      | CUSIP: 3131X96J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1506 | PA      | $1486.60       | 0.00%             | 2028-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 05/01/2029#ZK6636                                                                      | CUSIP: 3131XALR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2446 | PA      | $2409.37       | 0.00%             | 2029-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 09/01/2027#ZK4458                                                                      | CUSIP: 3131X75T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1174 | PA      | $1162.93       | 0.00%             | 2027-09-01      | Fixed         | 0.03%                 | 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        |       4194 | PA      | $4115.06       | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/01/2031#FM1324                                                                      | CUSIP: 3140X4PJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1575 | PA      | $1559.86       | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2027#AL1795                                                                      | CUSIP: 3138EH7H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54328 | PA      | $53890.12      | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 03/01/2027#ZA2693                                                                      | CUSIP: 31329K7E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6303 | PA      | $6252.25       | 0.00%             | 2027-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 11/01/2030#ZK7833                                                                      | CUSIP: 3131XBV22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8197 | PA      | $8051.29       | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                      | MIZUHO FINL GROUP INC 2.591%/VAR 05/25/2031                                                         | CUSIP: 60687YBE8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   13146000 | PA      | $12220326.51   | 0.02%             | 2031-05-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2049#FM1991                                                                    | CUSIP: 3140X5F99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11172 | PA      | $11055.91      | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | AMGEN INC 3.375% 02/21/2050                                                                         | CUSIP: 031162CS7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    8893000 | PA      | $6468282.38    | 0.01%             | 2050-02-21      | 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 2.253% 01/25/2030                                                    | CUSIP: 3137FREH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   59506180 | PA      | $55922551.22   | 0.08%             | 2030-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 08/20/2049#MA6090                                                                      | CUSIP: 36179UXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     593649 | PA      | $553305.71     | 0.00%             | 2049-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 02/20/2050#MA6476                                                                        | CUSIP: 36179VFR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2812814 | PA      | $2714498.49    | 0.00%             | 2050-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 07/20/2049#MA6038                                                                        | CUSIP: 36179UV74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8337937 | PA      | $7570532.62    | 0.01%             | 2049-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 02/20/2050#MA6474                                                                        | CUSIP: 36179VFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13882886 | PA      | $12566091.22   | 0.02%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 02/20/2050#MA6475                                                                      | CUSIP: 36179VFQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106852 | PA      | $99557.37      | 0.00%             | 2050-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 06/20/2049#MA5989                                                                      | CUSIP: 36179UUN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59992 | PA      | $62116.60      | 0.00%             | 2049-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                | FIRSTENERGY CORP 3.4% 03/01/2050                                                                    | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2034343.94    | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA INC                                                      | BP CAP MARKETS AMERICA INC 3% 02/24/2050                                                            | CUSIP: 10373QBG4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   11116000 | PA      | $7423455.77    | 0.01%             | 2050-02-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                                  | HALLIBURTON CO 2.92% 03/01/2030                                                                     | CUSIP: 406216BL4<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    7656000 | PA      | $7264560.82    | 0.01%             | 2030-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 04/20/2050#MA6599                                                                        | CUSIP: 36179VKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7749789 | PA      | $7014719.80    | 0.01%             | 2050-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.125% 02/28/2027                                                                         | CUSIP: 912828ZB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  143363000 | PA      | $139090110.23  | 0.20%             | 2027-02-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 03/20/2050#MA6541                                                                        | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16435442 | PA      | $14876537.39   | 0.02%             | 2050-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2049#FM2337                                                                    | CUSIP: 3140X5S38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22834 | PA      | $22719.23      | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 02/01/2050#QA7571                                                                      | CUSIP: 3133A2MU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43827 | PA      | $39469.70      | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNIV CA REGTS MED CTR POOLED REV                                                | UNIV CA MED CTR 3.006% 5/15/2050                                                                    | CUSIP: 913366KB5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   10465000 | PA      | $7036160.54    | 0.01%             | 2050-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNIV CA REGTS MED CTR POOLED REV                                                | UNIV CA MED CTR 3.256% 5/15/2060                                                                    | CUSIP: 913366KC3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   10635000 | PA      | $6997432.25    | 0.01%             | 2060-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 04/01/2050#                                                                            | CUSIP: 3132DV5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     286543 | PA      | $258051.95     | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER CO INC                                                  | AMERICAN ELECTRIC POWER INC 3.25% 03/01/2050                                                        | CUSIP: 025537AP6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    2494000 | PA      | $1679373.01    | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY CO                                                     | CANADIAN PAC RY CO 2.05% 03/05/2030                                                                 | CUSIP: 13648TAA5<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    1800000 | PA      | $1652713.70    | 0.00%             | 2030-03-05      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EBAY INC                                                                        | EBAY INC 2.7% 03/11/2030                                                                            | CUSIP: 278642AW3<br>LEI: OML71K8X303XQONU6T67 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1880342.90    | 0.00%             | 2030-03-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                   | SOUTHERN CALIFORNIA EDISON CO 2.25% 06/01/2030                                                      | CUSIP: 842400GU1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    7198000 | PA      | $6520648.48    | 0.01%             | 2030-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 3.1% 03/15/2030                                                                           | CUSIP: 682680BB8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1902271.20    | 0.00%             | 2030-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 4.5% 03/15/2050                                                                           | CUSIP: 682680BC6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $904749.18     | 0.00%             | 2050-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2049#MA3804                                                                      | CUSIP: 31418DGN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     954767 | PA      | $921558.93     | 0.00%             | 2049-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2050#BP3074                                                                      | CUSIP: 3140KAMY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22411 | PA      | $20182.59      | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2049#ZA6685                                                                    | CUSIP: 31329QNA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     428682 | PA      | $425722.60     | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2049#BN5342                                                                      | CUSIP: 3140JM5C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     669410 | PA      | $646964.18     | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2049#ZN6179                                                                      | CUSIP: 3131YC2L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108328 | PA      | $104628.16     | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2049#BO2693                                                                      | CUSIP: 3140JW7F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3762 | PA      | $3631.51       | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FREDDIE MAC POOL 30YR 3% 03/50#QA8169                                                               | CUSIP: 3133A3CE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22550115 | PA      | $20413676.37   | 0.03%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2050#BO9347                                                                      | CUSIP: 3140K5L54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   63857342 | PA      | $57807382.61   | 0.08%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                                                  | STARBUCKS CORP 2% 03/12/2027                                                                        | CUSIP: 855244AV1<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    9502000 | PA      | $9262473.01    | 0.01%             | 2027-03-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 04/50#SD8055                                                                         | CUSIP: 3132DV5Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     126609 | PA      | $109218.41     | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2050#MA3990                                                                    | CUSIP: 31418DNG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     567340 | PA      | $489411.88     | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2027#AK6783                                                                      | CUSIP: 3138EBRD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1210 | PA      | $1199.93       | 0.00%             | 2027-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2027#AK6782                                                                      | CUSIP: 3138EBRC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2138 | PA      | $2119.76       | 0.00%             | 2027-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 06/01/2034#FM1394                                                                      | CUSIP: 3140X4RQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10796 | PA      | $10530.95      | 0.00%             | 2034-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 07/01/2027#890472                                                                      | CUSIP: 31410LJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2926 | PA      | $2902.77       | 0.00%             | 2027-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2027#AK1766                                                                      | CUSIP: 3138E56C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3979 | PA      | $3948.50       | 0.00%             | 2027-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2027#AL1862                                                                      | CUSIP: 3138EJB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5423 | PA      | $5377.82       | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 04/01/2027#AO0315                                                                      | CUSIP: 3138LQK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5762 | PA      | $5713.70       | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2027#AK4790                                                                      | CUSIP: 3138E9KC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5515 | PA      | $5471.01       | 0.00%             | 2027-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 01/01/2035#CA5501                                                                    | CUSIP: 3140QDDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12518 | PA      | $12316.04      | 0.00%             | 2035-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 06/01/2034#FM1842                                                                    | CUSIP: 3140X5BL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101702 | PA      | $99720.61      | 0.00%             | 2034-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 11/01/2033#BK7972                                                                    | CUSIP: 3140HM2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7531 | PA      | $7423.53       | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 12/01/2026#ZK3778                                                                    | CUSIP: 3131X7FT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15158 | PA      | $15085.02      | 0.00%             | 2026-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 04/01/2035#SB8040                                                                    | CUSIP: 3132D54Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     506576 | PA      | $482362.78     | 0.00%             | 2035-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.083%/VAR 03/20/2051                                                   | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5027000 | PA      | $4141948.29    | 0.01%             | 2051-03-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORP                                                                | EXXON MOBIL CORP 3.482% 03/19/2030                                                                  | CUSIP: 30231GBK7<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   19333000 | PA      | $18969379.72   | 0.03%             | 2030-03-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORP                                                                | EXXON MOBIL CORP 4.227% 03/19/2040                                                                  | CUSIP: 30231GBF8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   20900000 | PA      | $19408852.93   | 0.03%             | 2040-03-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| PEPSICO INC                                                                     | PEPSICO INC 3.875% 03/19/2060                                                                       | CUSIP: 713448EV6<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    4833000 | PA      | $3750848.09    | 0.01%             | 2060-03-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                             | CONSUMERS ENERGY CO 3.5% 08/01/2051                                                                 | CUSIP: 210518DH6<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2151282.58    | 0.00%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO/THE                                                              | WALT DISNEY CO/THE 4.7% 03/23/2050                                                                  | CUSIP: 254687FS0<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    3867000 | PA      | $3528604.32    | 0.01%             | 2050-03-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED PARCEL SERVICE INC                                                       | UNITED PARCEL SERVICE INC 4.45% 04/01/2030                                                          | CUSIP: 911312BY1<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |    4833000 | PA      | $4929527.91    | 0.01%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| NORTHROP GRUMMAN CORP                                                           | NORTHROP GRUMMAN CORP 4.4% 05/01/2030                                                               | CUSIP: 666807BS0<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5057525.00    | 0.01%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                                     | METLIFE INC 4.55% 03/23/2030                                                                        | CUSIP: 59156RBZ0<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    8990000 | PA      | $9183535.91    | 0.01%             | 2030-03-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 5.597%/VAR 03/24/2051                                                                | CUSIP: 6174468N2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   10295000 | PA      | $10521326.41   | 0.02%             | 2051-03-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 03/20/2050#MA6540                                                                      | CUSIP: 36179VHR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13437570 | PA      | $11694590.95   | 0.02%             | 2050-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                      | INTEL CORP 3.9% 03/25/2030                                                                          | CUSIP: 458140BR0<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   10668000 | PA      | $10484190.89   | 0.02%             | 2030-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                      | INTEL CORP 4.75% 03/25/2050                                                                         | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    9512000 | PA      | $8016483.22    | 0.01%             | 2050-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                      | INTEL CORP 4.6% 03/25/2040                                                                          | CUSIP: 458140BL3<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1812193.40    | 0.00%             | 2040-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 5.316%/VAR 03/26/2041                                                                 | CUSIP: 172967MM0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3038581.14    | 0.00%             | 2041-03-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: —       |
| COCA COLA CO                                                                    | COCA COLA CO 3.45% 03/25/2030                                                                       | CUSIP: 191216CT5<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3930212.96    | 0.01%             | 2030-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2035#CA5039                                                                      | CUSIP: 3140QCS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11231338 | PA      | $10941998.63   | 0.02%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2034#CA4890                                                                      | CUSIP: 3140QCNG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12791744 | PA      | $12462205.81   | 0.02%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                           | GENERAL DYNAMICS CORP 4.25% 04/01/2050                                                              | CUSIP: 369550BJ6<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |    3867000 | PA      | $3352672.06    | 0.00%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROCTER and GAMBLE CO                                                           | PROCTER and GAMBLE CO 3% 03/25/2030                                                                 | CUSIP: 742718FH7<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |    9868000 | PA      | $9528209.73    | 0.01%             | 2030-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 5.013%/VAR 04/04/2051                                                        | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    4814000 | PA      | $4519349.69    | 0.01%             | 2051-04-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK CORP                                                             | KIMBERLY-CLARK CORP 3.1% 03/26/2030                                                                 | CUSIP: 494368CB7<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |    3346000 | PA      | $3222578.04    | 0.00%             | 2030-03-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | COMCAST CORP 3.4% 04/01/2030                                                                        | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   11100000 | PA      | $10761738.16   | 0.02%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | COMCAST CORP 3.75% 04/01/2040                                                                       | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    4644000 | PA      | $3881770.90    | 0.01%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 4.5% 04/15/2030                                                                       | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    9618000 | PA      | $9745108.70    | 0.01%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                  | MASTERCARD INC 3.85% 03/26/2050                                                                     | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |   14152000 | PA      | $11351503.88   | 0.02%             | 2050-03-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                  | MASTERCARD INC 3.3% 03/26/2027                                                                      | CUSIP: 57636QAR5<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    5744000 | PA      | $5709601.19    | 0.01%             | 2027-03-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                  | MASTERCARD INC 3.35% 03/26/2030                                                                     | CUSIP: 57636QAP9<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    7992000 | PA      | $7818188.23    | 0.01%             | 2030-03-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/48#CA2803                                                                         | CUSIP: 3140QADH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242982 | PA      | $241760.34     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/48#CA2588                                                                         | CUSIP: 3140Q92W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     670123 | PA      | $666753.34     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.412%/VAR 03/31/2031                                                                 | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    7733000 | PA      | $7757968.54    | 0.01%             | 2031-03-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                                        | NIKE INC 2.85% 03/27/2030                                                                           | CUSIP: 654106AK9<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    4775000 | PA      | $4563130.10    | 0.01%             | 2030-03-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| NIKE INC                                                                        | NIKE INC 3.25% 03/27/2040                                                                           | CUSIP: 654106AL7<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    9666000 | PA      | $7895223.60    | 0.01%             | 2040-03-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                                        | NIKE INC 3.375% 03/27/2050                                                                          | CUSIP: 654106AM5<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    4775000 | PA      | $3481802.99    | 0.01%             | 2050-03-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| MCDONALDS CORP                                                                  | MCDONALDS CORP 4.2% 04/01/2050                                                                      | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    6666000 | PA      | $5488688.61    | 0.01%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                  | MCDONALDS CORP 3.6% 07/01/2030                                                                      | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    5684000 | PA      | $5579107.18    | 0.01%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                  | MCDONALDS CORP 3.5% 07/01/2027                                                                      | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    7617000 | PA      | $7564216.02    | 0.01%             | 2027-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| 3M CO                                                                           | 3M CO 3.05% 04/15/2030                                                                              | CUSIP: 88579YBN0<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    2912000 | PA      | $2788549.20    | 0.00%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| 3M CO                                                                           | 3M CO 3.7% 04/15/2050                                                                               | CUSIP: 88579YBP5<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    3595000 | PA      | $2730602.74    | 0.00%             | 2050-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2050#BO7244                                                                      | CUSIP: 3140K3BN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     683737 | PA      | $615753.58     | 0.00%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                  | HOME DEPOT INC 2.5% 04/15/2027                                                                      | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    9637000 | PA      | $9470716.65    | 0.01%             | 2027-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                  | HOME DEPOT INC 3.3% 04/15/2040                                                                      | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    6833000 | PA      | $5655717.83    | 0.01%             | 2040-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| PANAMA REPUBLIC OF                                                              | PANAMA REPUBLIC OF 4.5% 04/01/2056                                                                  | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   15853000 | PA      | $11826338.00   | 0.02%             | 2056-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                    | AUTOZONE INC 4% 04/15/2030                                                                          | CUSIP: 053332AZ5<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    9521000 | PA      | $9445185.90    | 0.01%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| NVIDIA CORP                                                                     | NVIDIA CORP 3.5% 04/01/2050                                                                         | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    4785000 | PA      | $3649690.80    | 0.01%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| NVIDIA CORP                                                                     | NVIDIA CORP 2.85% 04/01/2030                                                                        | CUSIP: 67066GAF1<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    8603000 | PA      | $8246161.41    | 0.01%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| WEYERHAEUSER CO                                                                 | WEYERHAEUSER CO 4% 04/15/2030                                                                       | CUSIP: 962166BY9<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |   12223000 | PA      | $12078373.19   | 0.02%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                | PARAMOUNT GLOBAL 4.95% 01/15/2031                                                                   | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |   13185000 | PA      | $13009970.71   | 0.02%             | 2031-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                               | EXPEDIA GROUP INC 3.25% 02/15/2030                                                                  | CUSIP: 30212PAR6<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |    6863000 | PA      | $6595246.71    | 0.01%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| ORACLE CORP                                                                     | ORACLE CORP 3.6% 04/01/2050                                                                         | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   12383000 | PA      | $8191214.94    | 0.01%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 2.95% 04/01/2030                                                                        | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   12477000 | PA      | $11605709.01   | 0.02%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| SYSCO CORP                                                                      | SYSCO CORP 6.6% 04/01/2040                                                                          | CUSIP: 871829BM8<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    7830000 | PA      | $8803317.70    | 0.01%             | 2040-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 3.85% 04/01/2060                                                                        | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   14393000 | PA      | $9389507.58    | 0.01%             | 2060-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AFLAC INC                                                                       | AFLAC INC 3.6% 04/01/2030                                                                           | CUSIP: 001055BJ0<br>LEI: 549300N0B7DOGLXWPP39 | Long             | DBT              | CORP              | US        |    4833000 | PA      | $4753983.11    | 0.01%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                     | EXELON CORP 4.05% 04/15/2030                                                                        | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1984537.02    | 0.00%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 3.6% 04/01/2040                                                                         | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   13600000 | PA      | $10489593.64   | 0.02%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| FOX CORPORATION                                                                 | FOX CORP 4.709% 01/25/2029                                                                          | CUSIP: 35137LAH8<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    8245000 | PA      | $8368146.08    | 0.01%             | 2029-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                                 | FOX CORP 5.576% 01/25/2049                                                                          | CUSIP: 35137LAK1<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    7398000 | PA      | $7215368.02    | 0.01%             | 2049-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| GENERAL MILLS INC                                                               | GENERAL MILLS INC 2.875% 04/15/2030                                                                 | CUSIP: 370334CL6<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    5778000 | PA      | $5473204.49    | 0.01%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                                        | VISA INC 1.9% 04/15/2027                                                                            | CUSIP: 92826CAL6<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |   11387000 | PA      | $11118944.21   | 0.02%             | 2027-04-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                                        | VISA INC 2.7% 04/15/2040                                                                            | CUSIP: 92826CAK8<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    9473000 | PA      | $7368779.85    | 0.01%             | 2040-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                                        | VISA INC 2.05% 04/15/2030                                                                           | CUSIP: 92826CAM4<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |   16761000 | PA      | $15529172.43   | 0.02%             | 2030-04-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| FOX CORPORATION                                                                 | FOX CORP 5.476% 01/25/2039                                                                          | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    3027000 | PA      | $3065702.71    | 0.00%             | 2039-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAIDU INC                                                                       | BAIDU INC 3.425% 04/07/2030                                                                         | CUSIP: 056752AR9<br>LEI: 254900AL64IANZYI1E02 | Long             | DBT              | CORP              | KY        |    9666000 | PA      | $9399315.06    | 0.01%             | 2030-04-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                             | DOMINION ENERGY INC 3.375% 04/01/2030                                                               | CUSIP: 25746UDG1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   20308000 | PA      | $19610923.43   | 0.03%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 3.5% 06/01/2030                                                      | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4897277.35    | 0.01%             | 2030-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                                     | EQUINOR ASA 3.125% 04/06/2030                                                                       | CUSIP: 29446MAF9<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    7926000 | PA      | $7647816.58    | 0.01%             | 2030-04-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                                     | EQUINOR ASA 3.7% 04/06/2050                                                                         | CUSIP: 29446MAH5<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |   12681000 | PA      | $9850308.25    | 0.01%             | 2050-04-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                | SOUTHERN COMPANY 3.7% 04/30/2030                                                                    | CUSIP: 842587DE4<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9788514.40    | 0.01%             | 2030-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2050#FM0076                                                                      | CUSIP: 3140X3CN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23057189 | PA      | $20872709.63   | 0.03%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2050#BP2187                                                                      | CUSIP: 3140K9ND7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4143077 | PA      | $3750554.20    | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2050#BK2255                                                                      | CUSIP: 3140HFQH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10733198 | PA      | $9716315.34    | 0.01%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                                                      | VMWARE LLC 4.7% 05/15/2030                                                                          | CUSIP: 928563AF2<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2033609.10    | 0.00%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2050#BP4031                                                                      | CUSIP: 3140KBPR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3841989 | PA      | $3477991.76    | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2050#QA8335                                                                      | CUSIP: 3133A3HL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2958585 | PA      | $2676434.53    | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2050#BP3850                                                                      | CUSIP: 3140KBH49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3380399 | PA      | $3058021.60    | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 03/01/2050#QA7927                                                                      | CUSIP: 3133A2YY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3899866 | PA      | $3530385.98    | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 04/01/2050#RA2457                                                                      | CUSIP: 3133KHWS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12819538 | PA      | $11604991.87   | 0.02%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2050#MA3991                                                                      | CUSIP: 31418DNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8168347 | PA      | $7356173.99    | 0.01%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDEX CORP                                                                      | FEDEX CORP 5.25% 05/15/2050                                                                         | CUSIP: 31428XCA2<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |    3383000 | PA      | $3066458.44    | 0.00%             | 2050-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                  | BURLINGTON NORTHN SANTA FE LLC 3.05% 02/15/2051                                                     | CUSIP: 12189LBF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3499000 | PA      | $2368262.04    | 0.00%             | 2051-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                            | KEURIG DR PEPPER INC 3.8% 05/01/2050                                                                | CUSIP: 49271VAK6<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    2513000 | PA      | $1848287.55    | 0.00%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                            | KEURIG DR PEPPER INC 3.2% 05/01/2030                                                                | CUSIP: 49271VAJ9<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1897807.32    | 0.00%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 05/01/2050#                                                                            | CUSIP: 3132DV5X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3009323 | PA      | $2704465.97    | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2050#MA4020                                                                      | CUSIP: 31418DPE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     250487 | PA      | $225111.77     | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAP CORP                                                         | AMER WATER CAP CORP 2.8% 05/01/2030                                                                 | CUSIP: 03040WAW5<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1898006.50    | 0.00%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2050#MA3938                                                                      | CUSIP: 31418DLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201618 | PA      | $194353.77     | 0.00%             | 2050-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORP                                                                | EXXON MOBIL CORP 3.452% 04/15/2051                                                                  | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    4616000 | PA      | $3392561.60    | 0.00%             | 2051-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GE AEROSPACE                                                                    | GE AEROSPACE 3.625% 05/01/2030                                                                      | CUSIP: 369604BW2<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    9492000 | PA      | $9247977.39    | 0.01%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2049#FM2214                                                                    | CUSIP: 3140X5N82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3745549 | PA      | $3726714.73    | 0.01%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 05/01/2040#MA4016                                                                    | CUSIP: 31418DPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4400018 | PA      | $4015355.74    | 0.01%             | 2040-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 05/01/2050#SD8061                                                                    | CUSIP: 3132DV5W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     860076 | PA      | $741938.44     | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 3.7% 04/01/2051     | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7027000 | PA      | $4522083.06    | 0.01%             | 2051-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 2.8% 04/01/2031     | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   20299000 | PA      | $18237478.42   | 0.03%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 01/20/2050#MA6412                                                                      | CUSIP: 36179VDR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     571865 | PA      | $570001.29     | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DAYTON POWER and LIGHT CO.                                                      | DAYTON POWER and LIGHT CO. 3.95% 06/15/2049                                                         | CUSIP: 240019BV0<br>LEI: 1ELKY8G44MKGCQWG6864 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1057057.65    | 0.00%             | 2049-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 2.522%/VAR 04/22/2031                                                         | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    9521000 | PA      | $8891671.71    | 0.01%             | 2031-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 3.109%/VAR 04/22/2051                                                         | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   11841000 | PA      | $8260941.26    | 0.01%             | 2051-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/50#BP3148                                                                         | CUSIP: 3140KAQA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29205 | PA      | $25193.29      | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 02/20/2050#MA6477                                                                      | CUSIP: 36179VFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1178828 | PA      | $1174985.97    | 0.00%             | 2050-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                                           | COSTCO WHOLESALE CORP 1.75% 04/20/2032                                                              | CUSIP: 22160KAQ8<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1740765.86    | 0.00%             | 2032-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| COSTCO WHOLESALE CORP                                                           | COSTCO WHOLESALE CORP 1.6% 04/20/2030                                                               | CUSIP: 22160KAP0<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1816573.64    | 0.00%             | 2030-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                                           | COSTCO WHOLESALE CORP 1.375% 06/20/2027                                                             | CUSIP: 22160KAN5<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |   13997000 | PA      | $13526644.39   | 0.02%             | 2027-06-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#CA2801                                                                    | CUSIP: 3140QADF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31651 | PA      | $31580.84      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 04/20/2050#MA6602                                                                      | CUSIP: 36179VKP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1157443 | PA      | $1152223.14    | 0.00%             | 2050-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 3% 11/01/2027#MA3190                                                                      | CUSIP: 31418CRL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70613 | PA      | $69918.99      | 0.00%             | 2027-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 04/20/2050#MA6601                                                                        | CUSIP: 36179VKN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     196618 | PA      | $189377.27     | 0.00%             | 2050-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2048#CA2205                                                                    | CUSIP: 3140Q9NX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     445728 | PA      | $443904.84     | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 03/20/2050#MA6544                                                                      | CUSIP: 36179VHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1657792 | PA      | $1650315.71    | 0.00%             | 2050-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2050#MA3906                                                                    | CUSIP: 31418DKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92607 | PA      | $86657.71      | 0.00%             | 2050-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                       | KROGER CO 2.2% 05/01/2030                                                                           | CUSIP: 501044DP3<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    2780000 | PA      | $2561472.46    | 0.00%             | 2030-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2048#CA1565                                                                    | CUSIP: 3140Q8W35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26497 | PA      | $26396.59      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 10/20/2049#MA6221                                                                      | CUSIP: 36179U4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1045856 | PA      | $1044734.31    | 0.00%             | 2049-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 3.068%/VAR 04/30/2041                                                        | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   14113000 | PA      | $11144873.38   | 0.02%             | 2041-04-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2047#CA0717                                                                    | CUSIP: 3140Q7YP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27677 | PA      | $27597.89      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELI LILLY and CO                                                                | ELI LILLY and CO 2.25% 05/15/2050                                                                   | CUSIP: 532457BY3<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |   17138000 | PA      | $10132577.89   | 0.01%             | 2050-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC                                                              | DIAGEO CAPITAL PLC 2% 04/29/2030                                                                    | CUSIP: 25243YBD0<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |   11793000 | PA      | $10783244.31   | 0.02%             | 2030-04-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC                                                              | DIAGEO CAPITAL PLC 2.125% 04/29/2032                                                                | CUSIP: 25243YBE8<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |   10633000 | PA      | $9274221.26    | 0.01%             | 2032-04-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AIR PRODUCTS and CHEMICALS INC                                                  | AIR PRODUCTS and CHEMICALS INC 2.05% 05/15/2030                                                     | CUSIP: 009158BC9<br>LEI: 7QEON6Y1RL5XR3R1W237 | Long             | DBT              | CORP              | US        |    5220000 | PA      | $4806620.00    | 0.01%             | 2030-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AIR PRODUCTS and CHEMICALS INC                                                  | AIR PRODUCTS and CHEMICALS INC 2.7% 05/15/2040                                                      | CUSIP: 009158AZ9<br>LEI: 7QEON6Y1RL5XR3R1W237 | Long             | DBT              | CORP              | US        |    4495000 | PA      | $3413850.51    | 0.01%             | 2040-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AIR PRODUCTS and CHEMICALS INC                                                  | AIR PRODUCTS and CHEMICALS INC 2.8% 05/15/2050                                                      | CUSIP: 009158BA3<br>LEI: 7QEON6Y1RL5XR3R1W237 | Long             | DBT              | CORP              | US        |    5346000 | PA      | $3499687.80    | 0.01%             | 2050-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC                                                                      | BIOGEN INC 2.25% 05/01/2030                                                                         | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1472563.66    | 0.00%             | 2030-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| EMERSON ELECTRIC CO                                                             | EMERSON ELECTRIC CO 1.95% 10/15/2030                                                                | CUSIP: 291011BN3<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $2912741.73    | 0.00%             | 2030-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NORTHERN TRUST CORP                                                             | NORTHERN TRUST CORP 1.95% 05/01/2030                                                                | CUSIP: 665859AV6<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |   17158000 | PA      | $15730007.09   | 0.02%             | 2030-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 05/20/2050#MA6656                                                                        | CUSIP: 36179VMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1822805 | PA      | $1649911.52    | 0.00%             | 2050-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 06/01/2040#MA4054                                                                    | CUSIP: 31418DQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6822620 | PA      | $6220401.22    | 0.01%             | 2040-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COCA COLA CO                                                                    | COCA COLA CO 1.65% 06/01/2030                                                                       | CUSIP: 191216CV0<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |   13650000 | PA      | $12374339.52   | 0.02%             | 2030-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| COCA COLA CO                                                                    | COCA COLA CO 2.75% 06/01/2060                                                                       | CUSIP: 191216CY4<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    6660000 | PA      | $4016532.18    | 0.01%             | 2060-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COCA COLA CO                                                                    | COCA COLA CO 2.6% 06/01/2050                                                                        | CUSIP: 191216CX6<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    6660000 | PA      | $4231563.60    | 0.01%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                     | PEPSICO INC 1.625% 05/01/2030                                                                       | CUSIP: 713448EZ7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |   34299000 | PA      | $31106217.56   | 0.05%             | 2030-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| COCA COLA CO                                                                    | COCA COLA CO 1.45% 06/01/2027                                                                       | CUSIP: 191216CU2<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    6650000 | PA      | $6434261.03    | 0.01%             | 2027-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: —       |
| CANADIAN NATIONAL RAILWAY CO                                                    | CANADIAN NATIONAL RAILWAY CO 2.45% 05/01/2050                                                       | CUSIP: 136375CZ3<br>LEI: 3SU7BEP7TH9YEQOZCS77 | Long             | DBT              | CORP              | CA        |   13253000 | PA      | $7976333.16    | 0.01%             | 2050-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COCA COLA CO                                                                    | COCA COLA CO 2.5% 06/01/2040                                                                        | CUSIP: 191216CW8<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    6660000 | PA      | $5021567.27    | 0.01%             | 2040-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| BOEING CO                                                                       | BOEING CO 5.15% 05/01/2030                                                                          | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    9666000 | PA      | $9962557.42    | 0.01%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| BOEING CO                                                                       | BOEING CO 5.705% 05/01/2040                                                                         | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   31541000 | PA      | $32403304.76   | 0.05%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 5.805% 05/01/2050                                                                         | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   14268000 | PA      | $14208822.19   | 0.02%             | 2050-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                             | ELEVANCE HEALTH INC 3.125% 05/15/2050                                                               | CUSIP: 036752AM5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    6766000 | PA      | $4498273.34    | 0.01%             | 2050-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                                             | FIFTH THIRD BANCORP 2.55% 05/05/2027                                                                | CUSIP: 316773DA5<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   11793000 | PA      | $11548175.43   | 0.02%             | 2027-05-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| IBM CORPORATION                                                                 | IBM CORPORATION 1.95% 05/15/2030                                                                    | CUSIP: 459200KJ9<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |   11102000 | PA      | $10125191.09   | 0.01%             | 2030-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| IBM CORPORATION                                                                 | IBM CORPORATION 2.95% 05/15/2050                                                                    | CUSIP: 459200KL4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |   11005000 | PA      | $7189865.62    | 0.01%             | 2050-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4% 04/35#SB8056                                                                           | CUSIP: 3132D55R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1040795 | PA      | $1042152.09    | 0.00%             | 2035-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LAM RESEARCH CORP                                                               | LAM RESEARCH CORP 2.875% 06/15/2050                                                                 | CUSIP: 512807AW8<br>LEI: 549300I4GMO6D34U1T02 | Long             | DBT              | CORP              | US        |   11648000 | PA      | $7751471.20    | 0.01%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                            | BOSTON PROPERTIES LP 3.25% 01/30/2031                                                               | CUSIP: 10112RBD5<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   15176000 | PA      | $14223465.01   | 0.02%             | 2031-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 04/01/2040#MA3987                                                                    | CUSIP: 31418DND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1840161 | PA      | $1678951.16    | 0.00%             | 2040-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                                                  | STARBUCKS CORP 3.5% 11/15/2050                                                                      | CUSIP: 855244BA6<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    3287000 | PA      | $2350070.20    | 0.00%             | 2050-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | AMGEN INC 2.3% 02/25/2031                                                                           | CUSIP: 031162CW8<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   16400000 | PA      | $14885757.82   | 0.02%             | 2031-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | APPLE INC 2.65% 05/11/2050                                                                          | CUSIP: 037833DW7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    4157000 | PA      | $2676181.16    | 0.00%             | 2050-05-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 3.375% 02/15/2030                                                                      | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   16200000 | PA      | $14876166.78   | 0.02%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.625% 05/15/2030                                                                         | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  293611700 | PA      | $258114503.50  | 0.38%             | 2030-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 2.956%/VAR 05/13/2031                                                         | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    9908000 | PA      | $9354412.30    | 0.01%             | 2031-05-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL GROUP INC                                                | AMERICAN INTERNATIONAL GRP INC 4.375% 06/30/2050                                                    | CUSIP: 026874DP9<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |    4543000 | PA      | $3833841.74    | 0.01%             | 2050-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                               | GENERAL MOTORS CO 6.8% 10/01/2027                                                                   | CUSIP: 37045VAU4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   10536000 | PA      | $10962362.42   | 0.02%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP NEW                                                                | CHEVRON CORP NEW 3.078% 05/11/2050                                                                  | CUSIP: 166764CA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5916000 | PA      | $4110015.58    | 0.01%             | 2050-05-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP NEW                                                                | CHEVRON CORP NEW 1.995% 05/11/2027                                                                  | CUSIP: 166764BX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4949000 | PA      | $4827738.41    | 0.01%             | 2027-05-11      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP NEW                                                                | CHEVRON CORP NEW 2.236% 05/11/2030                                                                  | CUSIP: 166764BY5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5916000 | PA      | $5497414.13    | 0.01%             | 2030-05-11      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP NEW                                                                | CHEVRON CORP NEW 2.978% 05/11/2040                                                                  | CUSIP: 166764BZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4949000 | PA      | $3926739.56    | 0.01%             | 2040-05-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL BANK FOR RECONSTRUCTION AND DEVELOPMENT                           | INTERNATIONAL BK RECON and DEVEL 0.875% 05/14/2030                                                  | CUSIP: 459058JC8<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | CORP              | US        |   16078000 | PA      | $14266498.65   | 0.02%             | 2030-05-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/31#AS7638                                                                         | CUSIP: 3138WHPY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15437 | PA      | $14955.71      | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2050#CA5729                                                                      | CUSIP: 3140QDLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1328935 | PA      | $1197214.85    | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2.5% 06/01/2040#                                                                          | CUSIP: 3133KYTK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4991344 | PA      | $4550703.71    | 0.01%             | 2040-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                             | GLOBAL PAYMENTS INC 2.9% 05/15/2030                                                                 | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1853003.94    | 0.00%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2050#QA8967                                                                      | CUSIP: 3133A36C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133983 | PA      | $120661.57     | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO/THE                                                              | WALT DISNEY CO/THE 3.5% 05/13/2040                                                                  | CUSIP: 254687FY7<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    5423000 | PA      | $4586814.72    | 0.01%             | 2040-05-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO/THE                                                              | WALT DISNEY CO/THE 3.8% 05/13/2060                                                                  | CUSIP: 254687GA8<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    5423000 | PA      | $4070529.51    | 0.01%             | 2060-05-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO/THE                                                              | WALT DISNEY CO/THE 2.65% 01/13/2031                                                                 | CUSIP: 254687FX9<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   12615000 | PA      | $11821619.56   | 0.02%             | 2031-01-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO/THE                                                              | WALT DISNEY CO/THE 3.6% 01/13/2051                                                                  | CUSIP: 254687FZ4<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    5404000 | PA      | $4103000.78    | 0.01%             | 2051-01-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                                                        | EUROPEAN INVESTMENT BANK 0.875% 05/17/2030                                                          | CUSIP: 298785JE7<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | CORP              | LU        |    5299000 | PA      | $4703201.90    | 0.01%             | 2030-05-17      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON and CO                                                         | BECTON DICKINSON and CO 2.823% 05/20/2030                                                           | CUSIP: 075887CJ6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    6989000 | PA      | $6593556.72    | 0.01%             | 2030-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                                             | PAYPAL HOLDINGS INC 2.3% 06/01/2030                                                                 | CUSIP: 70450YAH6<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |   12566000 | PA      | $11636021.38   | 0.02%             | 2030-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#BN2799                                                                    | CUSIP: 3140JKDD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31186 | PA      | $31029.59      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 08/01/2039#MA3761                                                                    | CUSIP: 31418DFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21980 | PA      | $20154.85      | 0.00%             | 2039-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2050#MA4055                                                                    | CUSIP: 31418DQH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150839 | PA      | $130119.96     | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 02/01/2040#MA3933                                                                    | CUSIP: 31418DLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11667 | PA      | $10659.91      | 0.00%             | 2040-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/01/2050#BP2770                                                                    | CUSIP: 3140KACG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1623965 | PA      | $1400902.75    | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2049#FM3102                                                                      | CUSIP: 3140X6NU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13180154 | PA      | $12729972.31   | 0.02%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE UNIVERSITY                                                                 | DUKE UNIVERSITY 2.832% 10/01/2055                                                                   | CUSIP: 26442TAH0<br>LEI: FY5ICUIRRDCHN4HHL592 | Long             | DBT              | CORP              | US        |    3714000 | PA      | $2376259.54    | 0.00%             | 2055-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 2.9% 05/15/2050                                                              | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    6273000 | PA      | $4076480.26    | 0.01%             | 2050-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 2% 05/15/2030                                                                | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2653291.52    | 0.00%             | 2030-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 1.25% 01/15/2026                                                             | CUSIP: 91324PDW9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    6254000 | PA      | $6230376.89    | 0.01%             | 2026-01-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                            | DUKE ENERGY CORP NEW 2.45% 06/01/2030                                                               | CUSIP: 26441CBH7<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    5220000 | PA      | $4841012.29    | 0.01%             | 2030-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| ENTERGY CORP NEW                                                                | ENTERGY CORP NEW 3.75% 06/15/2050                                                                   | CUSIP: 29364GAK9<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    3287000 | PA      | $2428380.77    | 0.00%             | 2050-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL INC                                                     | HONEYWELL INTL INC 1.95% 06/01/2030                                                                 | CUSIP: 438516BZ8<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    8796000 | PA      | $8036623.20    | 0.01%             | 2030-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 1.125% 05/15/2040                                                       | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  172262300 | PA      | $111452362.73  | 0.16%             | 2040-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 10YR 3% 01/01/2028#ZS7937                                                                      | CUSIP: 3132A8ZA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33188 | PA      | $32869.03      | 0.00%             | 2028-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 07/01/2034#SB8001                                                                    | CUSIP: 3132D53J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134249 | PA      | $132086.83     | 0.00%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 08/01/2034#                                                                          | CUSIP: 3132D53L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     953716 | PA      | $938353.52     | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 05/20/2050#MA6658                                                                        | CUSIP: 36179VMF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2075382 | PA      | $1998951.11    | 0.00%             | 2050-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                      | PFIZER INC 2.55% 05/28/2040                                                                         | CUSIP: 717081EZ2<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    7297000 | PA      | $5433758.77    | 0.01%             | 2040-05-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                                     | EQUINOR ASA 2.375% 05/22/2030                                                                       | CUSIP: 29446MAK8<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    9144000 | PA      | $8527491.31    | 0.01%             | 2030-05-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL INC                                                                | RELX CAPITAL INC 3% 05/22/2030                                                                      | CUSIP: 74949LAD4<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |    5750000 | PA      | $5468449.41    | 0.01%             | 2030-05-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                      | PFIZER INC 2.7% 05/28/2050                                                                          | CUSIP: 717081FA6<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    3596000 | PA      | $2301609.95    | 0.00%             | 2050-05-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 04/20/2050#MA6598                                                                      | CUSIP: 36179VKK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10827458 | PA      | $9423035.25    | 0.01%             | 2050-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 05/20/2050#MA6655                                                                      | CUSIP: 36179VMC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   57917179 | PA      | $50404776.72   | 0.07%             | 2050-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2050#FM3302                                                                      | CUSIP: 3140X6U41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32065 | PA      | $28876.69      | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2050#MA4026                                                                      | CUSIP: 31418DPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49879 | PA      | $48082.06      | 0.00%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | COMCAST CORP 1.95% 01/15/2031                                                                       | CUSIP: 20030NDM0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    2030000 | PA      | $1808488.57    | 0.00%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| COMCAST CORP                                                                    | COMCAST CORP 2.8% 01/15/2051                                                                        | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    6476000 | PA      | $3868280.39    | 0.01%             | 2051-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NUCOR CORP                                                                      | NUCOR CORP 2.7% 06/01/2030                                                                          | CUSIP: 670346AS4<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3668236.88    | 0.01%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| AT and T INC                                                                    | AT and T INC 2.75% 06/01/2031                                                                       | CUSIP: 00206RJY9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   14741000 | PA      | $13584666.14   | 0.02%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 3.65% 06/01/2051                                                                       | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   11600000 | PA      | $8334046.45    | 0.01%             | 2051-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 3.5% 06/01/2041                                                                        | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    7559000 | PA      | $6028489.36    | 0.01%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOTAL CAPITAL INTL SA                                                           | TOTAL CAP INTL 3.127% 05/29/2050                                                                    | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    2832000 | PA      | $1939835.69    | 0.00%             | 2050-05-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTERSTATE PWR and LT CO                                                        | INTERSTATE PWR and LT CO 2.3% 06/01/2030                                                            | CUSIP: 461070AS3<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |   11051000 | PA      | $10153143.49   | 0.01%             | 2030-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| STRYKER CORP                                                                    | STRYKER CORP 1.95% 06/15/2030                                                                       | CUSIP: 863667AY7<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |    7395000 | PA      | $6728808.93    | 0.01%             | 2030-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| STRYKER CORP                                                                    | STRYKER CORP 2.9% 06/15/2050                                                                        | CUSIP: 863667AZ4<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |    7395000 | PA      | $4962491.14    | 0.01%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                              | UNION PACIFIC CORP 3.839% 03/20/2060                                                                | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |   11170000 | PA      | $8279467.84    | 0.01%             | 2060-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 07/01/2050#                                                                          | CUSIP: 31418DQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7382082 | PA      | $6361182.53    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 07/01/2050#                                                                          | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   83819086 | PA      | $72227392.35   | 0.11%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                  | MICROSOFT CORP 2.525% 06/01/2050                                                                    | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |   32153000 | PA      | $20325701.26   | 0.03%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                  | MICROSOFT CORP 2.675% 06/01/2060                                                                    | CUSIP: 594918CD4<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    5334000 | PA      | $3177351.84    | 0.00%             | 2060-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | AMERICAN TOWER CORP 2.1% 06/15/2030                                                                 | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   12189000 | PA      | $11074558.39   | 0.02%             | 2030-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | AMAZON.COM INC 1.5% 06/03/2030                                                                      | CUSIP: 023135BS4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   15466000 | PA      | $13956545.31   | 0.02%             | 2030-06-03      | Fixed         | 0.01%                 | No            |                  2 | On Loan: —       |
| AMERICAN TOWER CORP                                                             | AMERICAN TOWER CORP 3.1% 06/15/2050                                                                 | CUSIP: 03027XBD1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    4456000 | PA      | $2991113.62    | 0.00%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | AMAZON.COM INC 2.5% 06/03/2050                                                                      | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    5085000 | PA      | $3136964.16    | 0.00%             | 2050-06-03      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WRKCO INC                                                                       | WRKCO INC 3% 06/15/2033                                                                             | CUSIP: 92940PAG9<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1789736.06    | 0.00%             | 2033-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2050#                                                                            | CUSIP: 31418DQ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47419088 | PA      | $42615330.67   | 0.06%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS and ELECTRIC CO                                                   | BALTIMORE GAS and ELECTRIC CO 2.9% 06/15/2050                                                       | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    6360000 | PA      | $4158447.46    | 0.01%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 06/20/2050#MA6710                                                                        | CUSIP: 36179VN30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20254966 | PA      | $18333778.74   | 0.03%             | 2050-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                | FIRSTENERGY CORP 1.6% 01/15/2026                                                                    | CUSIP: 337932AN7<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    9970000 | PA      | $9928700.97    | 0.01%             | 2026-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| FIRSTENERGY CORP                                                                | FIRSTENERGY CORP 2.25% 09/01/2030                                                                   | CUSIP: 337932AP2<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |   10730000 | PA      | $9724823.90    | 0.01%             | 2030-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                                                           | SOUTHWEST AIRLINES CO 5.125% 06/15/2027                                                             | CUSIP: 844741BK3<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |    8833000 | PA      | $8932199.89    | 0.01%             | 2027-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                | CROWN CASTLE INC 2.25% 01/15/2031                                                                   | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    5771000 | PA      | $5165084.47    | 0.01%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                | CROWN CASTLE INC 3.25% 01/15/2051                                                                   | CUSIP: 22822VAU5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    5220000 | PA      | $3497515.88    | 0.01%             | 2051-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                | BRIXMOR OPERATING PARTNERSHIP LP 4.05% 07/01/2030                                                   | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    4868000 | PA      | $4804399.29    | 0.01%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                          | ROPER TECHNOLOGIES INC 2% 06/30/2030                                                                | CUSIP: 776743AJ5<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |   14306000 | PA      | $12932894.38   | 0.02%             | 2030-06-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES POWER CO (MN)                                                   | NORTHERN STATES POWER CO (MN) 2.6% 06/01/2051                                                       | CUSIP: 665772CS6<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $4067976.84    | 0.01%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2049#ZN2863                                                                    | CUSIP: 3131Y9FC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66422 | PA      | $66025.84      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#FM1518                                                                    | CUSIP: 3140X4VL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22488 | PA      | $22396.47      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2048#ZM6996                                                                    | CUSIP: 3131Y1XZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20647 | PA      | $20562.33      | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2048#ZM6115                                                                    | CUSIP: 3131Y0YL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43599 | PA      | $43433.81      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2049#SD8027                                                                    | CUSIP: 3132DV4L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     753602 | PA      | $748163.74     | 0.00%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2048#FM1401                                                                    | CUSIP: 3140X4RX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67266 | PA      | $66558.00      | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2049#BK8753                                                                    | CUSIP: 3140HNWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54265 | PA      | $53890.71      | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 4.5% 06/01/2039#MA3712                                                                    | CUSIP: 31418DDS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74287 | PA      | $75237.08      | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2049#RA1088                                                                    | CUSIP: 3133KGF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64026 | PA      | $63583.63      | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2049#QA4453                                                                    | CUSIP: 31339U5N6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86879 | PA      | $86252.45      | 0.00%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 02/01/2050#SD8047                                                                    | CUSIP: 3132DV5G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     183988 | PA      | $182545.39     | 0.00%             | 2050-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2048#CA2419                                                                    | CUSIP: 3140Q9VM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112464 | PA      | $112003.52     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#CA2855                                                                    | CUSIP: 3140QAE55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304314 | PA      | $302783.67     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2049#CA3096                                                                    | CUSIP: 3140QANN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     414062 | PA      | $411591.99     | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 08/01/2048#ZT0495                                                                    | CUSIP: 3132ACRQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13333 | PA      | $13278.06      | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2049#MA3836                                                                      | CUSIP: 31418DHN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     466325 | PA      | $449814.15     | 0.00%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2048#CA3180                                                                      | CUSIP: 3140QARA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     379076 | PA      | $362870.64     | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 11/01/2048#ZA5761                                                                      | CUSIP: 31329PMJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     249090 | PA      | $240893.60     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2049#CA3334                                                                      | CUSIP: 3140QAV49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1306195 | PA      | $1261580.53    | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2048#CA2470                                                                      | CUSIP: 3140Q9W82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6680 | PA      | $6459.81       | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2050#MA3962                                                                      | CUSIP: 31418DML3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     167807 | PA      | $161760.59     | 0.00%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 3% 06/01/2029#MA3710                                                                      | CUSIP: 31418DDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112718 | PA      | $111114.22     | 0.00%             | 2029-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/01/2029#AX8478                                                                      | CUSIP: 3138YAM44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14973 | PA      | $14722.41      | 0.00%             | 2029-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 08/01/2034#                                                                            | CUSIP: 3132D53K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1537053 | PA      | $1498416.33    | 0.00%             | 2034-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2029#AS1423                                                                      | CUSIP: 3138WASM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8922 | PA      | $8801.49       | 0.00%             | 2029-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 10YR 3% 04/01/2030#RD5026                                                                      | CUSIP: 3133LPSP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17318 | PA      | $17040.34      | 0.00%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 12/01/2034#QN1206                                                                      | CUSIP: 3133G7KT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     226034 | PA      | $219998.63     | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 03/01/2027#ZK3970                                                                      | CUSIP: 3131X7MT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27250 | PA      | $27021.88      | 0.00%             | 2027-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 3% 10/01/2027#MA3159                                                                      | CUSIP: 31418CQM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208992 | PA      | $206983.62     | 0.00%             | 2027-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 11/01/2034#SB8016                                                                      | CUSIP: 3132D53Z3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42099 | PA      | $40974.68      | 0.00%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 2.676%/VAR 06/19/2041                                                   | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   18560000 | PA      | $13963794.18   | 0.02%             | 2041-06-19      | Variable      | 0.03%                 | No            |                  2 | On Loan: —       |
| MERCK and CO INC                                                                | MERCK and CO INC 2.45% 06/24/2050                                                                   | CUSIP: 58933YBB0<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    4418000 | PA      | $2668945.87    | 0.00%             | 2050-06-24      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2049#RA2236                                                                    | CUSIP: 3133KHPV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     166215 | PA      | $165534.75     | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2048#BN2763                                                                    | CUSIP: 3140JKB96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38231 | PA      | $38038.46      | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 03/01/2035#FM3387                                                                    | CUSIP: 3140X6XR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     446393 | PA      | $440596.96     | 0.00%             | 2035-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MERCK and CO INC                                                                | MERCK and CO INC 2.35% 06/24/2040                                                                   | CUSIP: 58933YBA2<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $7327173.80    | 0.01%             | 2040-06-24      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 02/01/2035#FM3019                                                                    | CUSIP: 3140X6K91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1966910 | PA      | $1937684.90    | 0.00%             | 2035-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 05/20/2050#MA6657                                                                      | CUSIP: 36179VME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     751084 | PA      | $699806.62     | 0.00%             | 2050-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 04/20/2050#MA6600                                                                      | CUSIP: 36179VKM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1134585 | PA      | $1057125.54    | 0.00%             | 2050-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 03/20/2050#MA6542                                                                      | CUSIP: 36179VHT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10749604 | PA      | $10015713.12   | 0.01%             | 2050-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 01/20/2050#MA6410                                                                      | CUSIP: 36179VDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22798203 | PA      | $21241738.08   | 0.03%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 03/20/2050#MA6543                                                                        | CUSIP: 36179VHU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8027023 | PA      | $7731406.68    | 0.01%             | 2050-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 12/20/2049#MA6341                                                                      | CUSIP: 36179VBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49268 | PA      | $49107.10      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 02/20/2050#MA6473                                                                      | CUSIP: 36179VFN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15926399 | PA      | $13860595.72   | 0.02%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 05/01/2035#MA4012                                                                      | CUSIP: 31418DN65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28614 | PA      | $26717.17      | 0.00%             | 2035-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 06/01/2050#MA4047                                                                      | CUSIP: 31418DP97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4606962 | PA      | $3793373.22    | 0.01%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2035#MA4013                                                                    | CUSIP: 31418DN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     995875 | PA      | $948273.23     | 0.00%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2035#MA3956                                                                      | CUSIP: 31418DME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1351500 | PA      | $1313726.49    | 0.00%             | 2035-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2049#RA1087                                                                    | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54695 | PA      | $54317.29      | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 03/01/2038#MA3308                                                                      | CUSIP: 31418CVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     381191 | PA      | $361872.73     | 0.00%             | 2038-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2050#BP2389                                                                    | CUSIP: 3140K9UP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29860 | PA      | $29606.85      | 0.00%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 10/01/2049#RA1475                                                                      | CUSIP: 3133KGT81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5097 | PA      | $5188.31       | 0.00%             | 2049-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2049#RA1197                                                                      | CUSIP: 3133KGKJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2263612 | PA      | $2184881.36    | 0.00%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2046#BC9708                                                                      | CUSIP: 3140F5YE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21113 | PA      | $19165.43      | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2047#BM4036                                                                      | CUSIP: 3140J8PW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     719332 | PA      | $652979.13     | 0.00%             | 2047-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2046#                                                                            | CUSIP: 3140F8JK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25229 | PA      | $22901.53      | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2046#BD6694                                                                      | CUSIP: 3140FENL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3997 | PA      | $3639.64       | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/47#BE4635                                                                           | CUSIP: 3140FQEH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149999 | PA      | $136162.55     | 0.00%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2046#BD5878                                                                      | CUSIP: 3140FDQ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     654729 | PA      | $594335.75     | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                         | BRISTOL-MYERS SQUIBB CO 4.35% 11/15/2047                                                            | CUSIP: 110122DK1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    5317000 | PA      | $4598727.85    | 0.01%             | 2047-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2034#FM2743                                                                      | CUSIP: 3140X6BM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     395515 | PA      | $386375.32     | 0.00%             | 2034-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                             | SUMITOMO MITSUI FINL GRP INC 2.13% 07/08/2030                                                       | CUSIP: 86562MCB4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   14000000 | PA      | $12778632.02   | 0.02%             | 2030-07-08      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL CO LTD                                                    | TAKEDA PHARMACEUTICAL CO LTD 2.05% 03/31/2030                                                       | CUSIP: 874060AX4<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   12000000 | PA      | $10987326.00   | 0.02%             | 2030-03-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                   | AEP TEXAS INC 2.1% 07/01/2030                                                                       | CUSIP: 00108WAM2<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    3020000 | PA      | $2752964.84    | 0.00%             | 2030-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2049#CA4185                                                                    | CUSIP: 3140QBUK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4363 | PA      | $4333.27       | 0.00%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 12/01/2049#FM2373                                                                      | CUSIP: 3140X5T78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1615869 | PA      | $1644755.70    | 0.00%             | 2049-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 05/01/2050#RA2606                                                                      | CUSIP: 3133KH3P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1617830 | PA      | $1641696.26    | 0.00%             | 2050-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 08/01/2050#MA4096                                                                    | CUSIP: 31418DRS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47545074 | PA      | $40969865.89   | 0.06%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 08/01/2050#                                                                          | CUSIP: 3132DV6U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   53331759 | PA      | $45956285.99   | 0.07%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2050#QB0211                                                                    | CUSIP: 3133A6GU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233422 | PA      | $201141.36     | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 07/01/2045#CA6279                                                                    | CUSIP: 3140QD6R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2487330 | PA      | $2165888.44    | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                     | PACIFIC GAS and ELECTRIC CO 4.55% 07/01/2030                                                        | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   30062414 | PA      | $29957464.61   | 0.04%             | 2030-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| VALE OVERSEAS LTD                                                               | VALE OVERSEAS LTD 3.75% 07/08/2030                                                                  | CUSIP: 91911TAQ6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |   19333000 | PA      | $18625412.20   | 0.03%             | 2030-07-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                     | PACIFIC GAS and ELECTRIC CO 3.15% 01/01/2026                                                        | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   11599645 | PA      | $11584166.78   | 0.02%             | 2026-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 07/01/2050#CA6399                                                                    | CUSIP: 3140QEDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39739312 | PA      | $34541640.57   | 0.05%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 07/50#MA6766                                                                             | CUSIP: 36179VQT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5084431 | PA      | $4593274.04    | 0.01%             | 2050-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2035#MA4099                                                                    | CUSIP: 31418DRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11816400 | PA      | $11247899.55   | 0.02%             | 2035-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 12/01/2034#MA3866                                                                    | CUSIP: 31418DJL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     328335 | PA      | $323045.99     | 0.00%             | 2034-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 08/01/2050#MA4100                                                                      | CUSIP: 31418DRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     497350 | PA      | $409052.21     | 0.00%             | 2050-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2050#SD0290                                                                      | CUSIP: 3132DMKB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     286144 | PA      | $276012.92     | 0.00%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 12/01/2049#SD8032                                                                      | CUSIP: 3132DV4R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     141365 | PA      | $136359.65     | 0.00%             | 2049-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2048#ZM7630                                                                      | CUSIP: 3131Y2PP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89106 | PA      | $85422.28      | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3.5% 08/01/2039#MA3742                                                                    | CUSIP: 31418DEQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155798 | PA      | $151290.94     | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2048#ZA5451                                                                    | CUSIP: 31329PBU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     189286 | PA      | $177716.89     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 07/01/2039#RB5001                                                                    | CUSIP: 3133KYRW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     302876 | PA      | $294113.84     | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 08/01/2039#                                                                          | CUSIP: 3133KYRY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     525016 | PA      | $509826.63     | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2049#BO2169                                                                    | CUSIP: 3140JWMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47910 | PA      | $44877.43      | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 05/01/2038#ZA2505                                                                    | CUSIP: 31329KYA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20174 | PA      | $19704.32      | 0.00%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3.5% 04/01/2039#MA3634                                                                    | CUSIP: 31418DBC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     289259 | PA      | $280890.23     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3.5% 09/01/2039#MA3772                                                                    | CUSIP: 31418DFN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     855056 | PA      | $830318.53     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3.5% 07/01/2039#MA3698                                                                    | CUSIP: 31418DDC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344826 | PA      | $334850.00     | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2047#BH7779                                                                    | CUSIP: 3140GWUD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61271 | PA      | $57564.37      | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2049#MA3873                                                                      | CUSIP: 31418DJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     556937 | PA      | $537218.20     | 0.00%             | 2049-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2049#BN5258                                                                      | CUSIP: 3140JMZY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13166752 | PA      | $12725257.30   | 0.02%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 4% 04/01/2039#MA3635                                                                      | CUSIP: 31418DBD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14961 | PA      | $14814.35      | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2048#FM1239                                                                    | CUSIP: 3140X4LV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     685422 | PA      | $643530.15     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 05/01/2039#ZA6859                                                                    | CUSIP: 31329QTQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185414 | PA      | $180050.02     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2047#BH0824                                                                      | CUSIP: 3140GN4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166015 | PA      | $160879.16     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2049#FM1598                                                                      | CUSIP: 3140X4X43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     861317 | PA      | $832435.72     | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2048#CA2038                                                                      | CUSIP: 3140Q9HQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70745 | PA      | $68416.80      | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2048#BN1948                                                                      | CUSIP: 3140JJEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200856 | PA      | $194246.97     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2048#ZM8299                                                                      | CUSIP: 3131Y3GG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     143529 | PA      | $138806.16     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2049#CA3129                                                                      | CUSIP: 3140QAPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1720659 | PA      | $1662963.38    | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 11/01/2039#RB5023                                                                    | CUSIP: 3133KYSL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50171 | PA      | $48641.15      | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2049#BN4472                                                                      | CUSIP: 3140JL6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71296 | PA      | $68905.19      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 07/01/2050#SD8079                                                                      | CUSIP: 3132DV6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     304755 | PA      | $250649.36     | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                            | FREEPORT-MCMORAN INC 4.625% 08/01/2030                                                              | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |   32382000 | PA      | $32556728.09   | 0.05%             | 2030-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| CIGNA GROUP (THE)                                                               | CIGNA GROUP (THE) 4.5% 02/25/2026                                                                   | CUSIP: 125523BZ2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    9262000 | PA      | $9261759.84    | 0.01%             | 2026-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                               | CIGNA GROUP (THE) 6.125% 11/15/2041                                                                 | CUSIP: 125523CD0<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    2383000 | PA      | $2547087.11    | 0.00%             | 2041-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                               | CIGNA GROUP (THE) 4.8% 07/15/2046                                                                   | CUSIP: 125523CF5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    6037000 | PA      | $5438124.59    | 0.01%             | 2046-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                         | BRISTOL-MYERS SQUIBB CO 4.25% 10/26/2049                                                            | CUSIP: 110122CR7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    9631000 | PA      | $8060670.94    | 0.01%             | 2049-10-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                         | BRISTOL-MYERS SQUIBB CO 4.125% 06/15/2039                                                           | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    3769000 | PA      | $3473463.55    | 0.01%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                         | BRISTOL-MYERS SQUIBB CO 4.55% 02/20/2048                                                            | CUSIP: 110122DL9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   11255000 | PA      | $9933570.26    | 0.01%             | 2048-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 08/01/2050#SD8084                                                                      | CUSIP: 3132DV6V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     247990 | PA      | $222712.57     | 0.00%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 08/01/2050#MA4097                                                                      | CUSIP: 31418DRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     396010 | PA      | $355645.08     | 0.00%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                  | US BANCORP DEL 1.375% 07/22/2030                                                                    | CUSIP: 91159HJA9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    9666000 | PA      | $8562611.41    | 0.01%             | 2030-07-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: —       |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 06/20/2050#MA6709                                                                      | CUSIP: 36179VN22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6839032 | PA      | $5951945.45    | 0.01%             | 2050-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2050#CA5423                                                                      | CUSIP: 3140QDAZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263516 | PA      | $237314.64     | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 07/01/2035#MA4074                                                                      | CUSIP: 31418DQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4371437 | PA      | $4081681.64    | 0.01%             | 2035-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 06/01/2035#MA4042                                                                      | CUSIP: 31418DP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166542 | PA      | $155503.27     | 0.00%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.375% 07/31/2027                                                                         | CUSIP: 91282CAD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  251926900 | PA      | $239163260.42  | 0.35%             | 2027-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 1.65% 02/01/2028                                                                       | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    8216000 | PA      | $7813393.82    | 0.01%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 2.25% 02/01/2032                                                                       | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   13533000 | PA      | $11935180.34   | 0.02%             | 2032-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| AT and T INC                                                                    | AT and T INC 3.3% 02/01/2052                                                                        | CUSIP: 00206RKE1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   14016000 | PA      | $9334698.89    | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 3.5% 02/01/2061                                                                        | CUSIP: 00206RKF8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $2485917.48    | 0.00%             | 2061-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2035#CA6563                                                                    | CUSIP: 3140QEJH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13024537 | PA      | $12397912.41   | 0.02%             | 2035-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 09/01/2050#MA4120                                                                    | CUSIP: 31418DSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23910967 | PA      | $20604219.16   | 0.03%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 05/01/2035#FM3340                                                                    | CUSIP: 3140X6WA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182637 | PA      | $180037.15     | 0.00%             | 2035-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                | KILROY REALTY LP 2.5% 11/15/2032                                                                    | CUSIP: 49427RAQ5<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $1760260.57    | 0.00%             | 2032-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                    | ALPHABET INC 1.1% 08/15/2030                                                                        | CUSIP: 02079KAD9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   11696000 | PA      | $10332624.65   | 0.02%             | 2030-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: —       |
| ALPHABET INC                                                                    | ALPHABET INC 2.05% 08/15/2050                                                                       | CUSIP: 02079KAF4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   11696000 | PA      | $6622822.34    | 0.01%             | 2050-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE 0.875% 08/05/2030                                                                        | CUSIP: 3135G05Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   40385000 | PA      | $35710914.81   | 0.05%             | 2030-08-05      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                                                          | BOARDWALK PIPELINES LP 3.4% 02/15/2031                                                              | CUSIP: 096630AH1<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1880753.88    | 0.00%             | 2031-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 1.375% 08/15/2050                                                       | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41247800 | PA      | $20979984.42   | 0.03%             | 2050-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.625% 08/15/2030                                                                         | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30689000 | PA      | $26767760.90   | 0.04%             | 2030-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICALS INC                                                   | REGENERON PHARMACEUTICALS INC 1.75% 09/15/2030                                                      | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1785645.98    | 0.00%             | 2030-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 4.75% 04/15/2029                                                                       | CUSIP: 11135FBA8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   13584000 | PA      | $13874554.83   | 0.02%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| BROADCOM INC                                                                    | BROADCOM INC 4.3% 11/15/2032                                                                        | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    9956000 | PA      | $9903133.24    | 0.01%             | 2032-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                                        | VISA INC 1.1% 02/15/2031                                                                            | CUSIP: 92826CAN2<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |   16240000 | PA      | $14157291.13   | 0.02%             | 2031-02-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ECOLAB INC                                                                      | ECOLAB INC 1.3% 01/30/2031                                                                          | CUSIP: 278865BF6<br>LEI: 82DYEISM090VG8LTLS26 | Long             | DBT              | CORP              | US        |    6356000 | PA      | $5525182.32    | 0.01%             | 2031-01-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY OP LLC                                                             | KIMCO REALTY OP LLC 1.9% 03/01/2028                                                                 | CUSIP: 49446RAX7<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |    8216000 | PA      | $7840464.06    | 0.01%             | 2028-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN                       | TARGA RES P LP/TARGA RES P FIN 4.875% 02/01/2031                                                    | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2009509.46    | 0.00%             | 2031-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                        | TOYOTA MOTOR CREDIT CORP 1.15% 08/13/2027                                                           | CUSIP: 89236THG3<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   16723000 | PA      | $15988721.16   | 0.02%             | 2027-08-13      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | COMCAST CORP 1.5% 02/15/2031                                                                        | CUSIP: 20030NDN8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   11310000 | PA      | $9834455.21    | 0.01%             | 2031-02-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: —       |
| REPUBLIC SERVICES INC                                                           | REPUBLIC SERVICES INC 1.45% 02/15/2031                                                              | CUSIP: 760759AX8<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |   17786000 | PA      | $15560523.19   | 0.02%             | 2031-02-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: —       |
| COMCAST CORP                                                                    | COMCAST CORP 2.45% 08/15/2052                                                                       | CUSIP: 20030NDP3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   11310000 | PA      | $6155912.21    | 0.01%             | 2052-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2035#MA4075                                                                    | CUSIP: 31418DQ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7223674 | PA      | $6876135.08    | 0.01%             | 2035-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2049#FM1933                                                                      | CUSIP: 3140X5EF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211441 | PA      | $204483.50     | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 10/01/2039#MA3810                                                                    | CUSIP: 31418DGU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148128 | PA      | $135565.77     | 0.00%             | 2039-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 11/01/2039#MA3830                                                                    | CUSIP: 31418DHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     270780 | PA      | $247863.22     | 0.00%             | 2039-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2050#BP7184                                                                    | CUSIP: 3140KE6W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     401824 | PA      | $346254.42     | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 06/01/2038#ZA2510                                                                    | CUSIP: 31329KYF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100044 | PA      | $97712.59      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 08/01/2050#CA6890                                                                    | CUSIP: 3140QEUQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18202956 | PA      | $15685592.35   | 0.02%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 08/01/2050#RA3280                                                                    | CUSIP: 3133KJUD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155458 | PA      | $133958.66     | 0.00%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 06/01/2039#ZA7078                                                                    | CUSIP: 31329Q2K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1675392 | PA      | $1626922.21    | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 09/01/2050#                                                                          | CUSIP: 3132DV7C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20670157 | PA      | $17811594.39   | 0.03%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                              | ESSEX PORTFOLIO LP 1.65% 01/15/2031                                                                 | CUSIP: 29717PAW7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1745822.40    | 0.00%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 10/01/2050#MA4158                                                                      | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8678259 | PA      | $7129408.62    | 0.01%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | OCCIDENTAL PETROLEUM CORP 6.625% 09/01/2030                                                         | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2155432.00    | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                    | NISOURCE INC 1.7% 02/15/2031                                                                        | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   12856000 | PA      | $11257904.19   | 0.02%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 08/01/2035#SB8058                                                                    | CUSIP: 3132D55T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17495582 | PA      | $16653850.61   | 0.02%             | 2035-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 09/35#SB8062                                                                         | CUSIP: 3132D55X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17217946 | PA      | $16389572.12   | 0.02%             | 2035-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2035#MA4053                                                                    | CUSIP: 31418DQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13084776 | PA      | $12455253.17   | 0.02%             | 2035-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | APPLE INC 1.25% 08/20/2030                                                                          | CUSIP: 037833DY3<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   13098000 | PA      | $11656598.76   | 0.02%             | 2030-08-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: —       |
| APPLE INC                                                                       | APPLE INC 2.55% 08/20/2060                                                                          | CUSIP: 037833EA4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    5162000 | PA      | $2997801.97    | 0.00%             | 2060-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 1.125% 08/15/2040                                                       | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   46741200 | PA      | $29934452.23   | 0.04%             | 2040-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 08/20/2050#MA6820                                                                        | CUSIP: 36179VSH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     677964 | PA      | $613235.35     | 0.00%             | 2050-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2050#FM3834                                                                    | CUSIP: 3140X7HL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189564 | PA      | $188610.71     | 0.00%             | 2050-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2049#CA3517                                                                    | CUSIP: 3140QA4B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     282131 | PA      | $280182.93     | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | INTERCONTINENTAL EXCHANGE INC 1.85% 09/15/2032                                                      | CUSIP: 45866FAN4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    8990000 | PA      | $7678443.51    | 0.01%             | 2032-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO                                                                 | DOW CHEMICAL CO 2.1% 11/15/2030                                                                     | CUSIP: 260543DC4<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |    6863000 | PA      | $6071069.30    | 0.01%             | 2030-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| DOW CHEMICAL CO                                                                 | DOW CHEMICAL CO 3.6% 11/15/2050                                                                     | CUSIP: 260543DD2<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |    7056000 | PA      | $4699835.43    | 0.01%             | 2050-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | INTERCONTINENTAL EXCHANGE INC 2.65% 09/15/2040                                                      | CUSIP: 45866FAP9<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   10990000 | PA      | $8202733.78    | 0.01%             | 2040-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CUMMINS INC                                                                     | CUMMINS INC 1.5% 09/01/2030                                                                         | CUSIP: 231021AT3<br>LEI: ZUNI8PYC725B6H8JU438 | Long             | DBT              | CORP              | US        |    4833000 | PA      | $4322053.26    | 0.01%             | 2030-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: —       |
| ROPER TECHNOLOGIES INC                                                          | ROPER TECHNOLOGIES INC 1.75% 02/15/2031                                                             | CUSIP: 776743AL0<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |    7250000 | PA      | $6358544.35    | 0.01%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| ROPER TECHNOLOGIES INC                                                          | ROPER TECHNOLOGIES INC 1.4% 09/15/2027                                                              | CUSIP: 776743AN6<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |    7250000 | PA      | $6925579.61    | 0.01%             | 2027-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: —       |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 07/20/2050#MA6765                                                                      | CUSIP: 36179VQS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20670790 | PA      | $17976674.82   | 0.03%             | 2050-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 08/20/2050#MA6819                                                                      | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10941692 | PA      | $9511053.89    | 0.01%             | 2050-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL BANK FOR RECONSTRUCTION AND DEVELOPMENT                           | INTERNATIONAL BK RECON and DEVEL 0.75% 08/26/2030                                                   | CUSIP: 459058JG9<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | CORP              | US        |   13146000 | PA      | $11496676.02   | 0.02%             | 2030-08-26      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 10/01/2036#MA2789                                                                    | CUSIP: 31418CC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20659 | PA      | $19312.12      | 0.00%             | 2036-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JOHNSON and JOHNSON                                                             | JOHNSON and JOHNSON 2.45% 09/01/2060                                                                | CUSIP: 478160CT9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    7409000 | PA      | $4218841.67    | 0.01%             | 2060-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JOHNSON and JOHNSON                                                             | JOHNSON and JOHNSON 2.1% 09/01/2040                                                                 | CUSIP: 478160CR3<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    7409000 | PA      | $5301428.82    | 0.01%             | 2040-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTL FINANCE CORP                                                               | INTL FIN CORP 0.75% 08/27/2030                                                                      | CUSIP: 45950KCU2<br>LEI: QKL54NQY28TCDAI75F60 | Long             | DBT              | CORP              | US        |    8767000 | PA      | $7667931.18    | 0.01%             | 2030-08-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2049#CA3503                                                                      | CUSIP: 3140QA3M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72357 | PA      | $69885.20      | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2050#CA5173                                                                      | CUSIP: 3140QCXB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     282058 | PA      | $271895.46     | 0.00%             | 2050-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2050#FM4129                                                                      | CUSIP: 3140X7ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2807258 | PA      | $2711373.00    | 0.00%             | 2050-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2049#                                                                            | CUSIP: 3140X7SQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     372158 | PA      | $359678.73     | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                         | ALABAMA POWER CO 1.45% 09/15/2030                                                                   | CUSIP: 010392FU7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |   14500000 | PA      | $12857625.89   | 0.02%             | 2030-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 09/01/2050#MA4119                                                                      | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     848734 | PA      | $698052.42     | 0.00%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 07/01/2033#MA3427                                                                      | CUSIP: 31418CYZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30544 | PA      | $30697.90      | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 08/01/2035#SB8057                                                                      | CUSIP: 3132D55S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10105 | PA      | $9435.60       | 0.00%             | 2035-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 09/01/2035#MA4123                                                                      | CUSIP: 31418DSM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     690806 | PA      | $643721.33     | 0.00%             | 2035-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 09/01/2050#FM4231                                                                    | CUSIP: 3140X7VZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2057363 | PA      | $1772841.26    | 0.00%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 09/20/2050#MA6865                                                                      | CUSIP: 36179VTW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   47618742 | PA      | $41412381.49   | 0.06%             | 2050-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                                             | OTIS WORLDWIDE CORP 2.565% 02/15/2030                                                               | CUSIP: 68902VAK3<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |   10633000 | PA      | $9957925.08    | 0.01%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                                             | OTIS WORLDWIDE CORP 3.362% 02/15/2050                                                               | CUSIP: 68902VAM9<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |    8091000 | PA      | $5795803.86    | 0.01%             | 2050-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK CORP                                                             | KIMBERLY-CLARK CORP 1.05% 09/15/2027                                                                | CUSIP: 494368CC5<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |   16774000 | PA      | $15999842.33   | 0.02%             | 2027-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNILEVER CAPITAL CORP                                                           | UNILEVER CAPITAL CORP 1.375% 09/14/2030                                                             | CUSIP: 904764BK2<br>LEI: MYF1DAS6G5WY7PRWCU78 | Long             | DBT              | CORP              | US        |   14582000 | PA      | $12973758.37   | 0.02%             | 2030-09-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: —       |
| CATERPILLAR FINL SVCS CORP                                                      | CATERPILLAR FINL SVCS CORP 1.1% 09/14/2027                                                          | CUSIP: 14913R2G1<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |   11416000 | PA      | $10900005.02   | 0.02%             | 2027-09-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 4% 01/01/2039#ZA6152                                                                      | CUSIP: 31329PZR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     181193 | PA      | $179420.51     | 0.00%             | 2039-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 01/01/2048#ZM5409                                                                      | CUSIP: 3131Y0AJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29255 | PA      | $26584.24      | 0.00%             | 2048-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 03/01/2049#ZT2206                                                                      | CUSIP: 3132AENX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2126023 | PA      | $2054735.49    | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2050#SD8058                                                                      | CUSIP: 3132DV5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34771 | PA      | $33518.52      | 0.00%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2050#BP0654                                                                      | CUSIP: 3140K7WQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153933 | PA      | $138627.12     | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2050#FM2200                                                                      | CUSIP: 3140X5NS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     446388 | PA      | $430583.14     | 0.00%             | 2050-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2049#FM3908                                                                      | CUSIP: 3140X7KW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5548 | PA      | $5351.20       | 0.00%             | 2049-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 08/01/2049#QA1997                                                                      | CUSIP: 31334YGE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     162593 | PA      | $146884.06     | 0.00%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2050#FM2326                                                                      | CUSIP: 3140X5SQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     526316 | PA      | $473984.62     | 0.00%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 12/01/2045#ZM0624                                                                      | CUSIP: 3131XTVR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10581 | PA      | $10312.20      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2049#FM1212                                                                      | CUSIP: 3140X4K21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71408 | PA      | $68968.63      | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2048#ZM6385                                                                      | CUSIP: 3131Y1CW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     277238 | PA      | $268375.33     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2048#BM4918                                                                      | CUSIP: 3140J9PC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82369 | PA      | $79606.73      | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2048#BJ9366                                                                      | CUSIP: 3140HBMQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42723 | PA      | $41357.07      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2049#FM3664                                                                      | CUSIP: 3140X7CA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14225861 | PA      | $13757744.35   | 0.02%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 4% 12/01/2038#ZA5866                                                                      | CUSIP: 31329PQT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1166741 | PA      | $1155328.71    | 0.00%             | 2038-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 4% 10/01/2038#MA3492                                                                      | CUSIP: 31418C3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1327800 | PA      | $1314813.12    | 0.00%             | 2038-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 03/01/2048#ZS4758                                                                      | CUSIP: 3132A5JB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     195939 | PA      | $177803.55     | 0.00%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2049#FM1676                                                                      | CUSIP: 3140X42J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208525 | PA      | $188378.18     | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 08/01/2039#MA3741                                                                      | CUSIP: 31418DEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278880 | PA      | $263352.52     | 0.00%             | 2039-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 12/01/2039#MA3868                                                                      | CUSIP: 31418DJN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60017 | PA      | $56543.88      | 0.00%             | 2039-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2049#BO8619                                                                      | CUSIP: 3140K4SH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271904 | PA      | $244869.03     | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3% 03/01/2040#RB5038                                                                      | CUSIP: 3133KYS34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2873207 | PA      | $2697964.63    | 0.00%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2049#BN5280                                                                      | CUSIP: 3140JM2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159520 | PA      | $144506.51     | 0.00%             | 2049-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 10/01/2039#MA3800                                                                      | CUSIP: 31418DGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4542 | PA      | $4279.06       | 0.00%             | 2039-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2049#BO5383                                                                      | CUSIP: 3140K06V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1726630 | PA      | $1554952.80    | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2050#FM2432                                                                      | CUSIP: 3140X5V26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     301791 | PA      | $271784.35     | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2050#QA6848                                                                    | CUSIP: 3133A1TD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     372162 | PA      | $348136.87     | 0.00%             | 2050-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2050#QA7718                                                                    | CUSIP: 3133A2SF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     444482 | PA      | $415649.56     | 0.00%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2049#CA4865                                                                      | CUSIP: 3140QCMP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274504 | PA      | $247209.95     | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 01/01/2050#QA5902                                                                      | CUSIP: 3133A0RX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     483942 | PA      | $435823.81     | 0.00%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2050#QA8175                                                                      | CUSIP: 3133A3CL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     792609 | PA      | $713800.42     | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2050#QA8866                                                                      | CUSIP: 3133A3Z76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106511 | PA      | $95920.86      | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 06/01/2050#SD8068                                                                      | CUSIP: 3132DV6D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   58480571 | PA      | $52556237.64   | 0.08%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/01/2048#ZT1323                                                                      | CUSIP: 3132ADPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     560482 | PA      | $508256.28     | 0.00%             | 2048-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 10/01/2050#                                                                          | CUSIP: 3132DV7L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  102387062 | PA      | $88099541.45   | 0.13%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2.5% 04/01/2040#RB5043                                                                    | CUSIP: 3133KYS83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2825753 | PA      | $2578178.33    | 0.00%             | 2040-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2.5% 01/01/2040#RB5036                                                                    | CUSIP: 3133KYSZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1690673 | PA      | $1545687.54    | 0.00%             | 2040-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 09/01/2040#MA4129                                                                    | CUSIP: 31418DST0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233817 | PA      | $212854.55     | 0.00%             | 2040-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2.5% 11/01/2039#RB5026                                                                    | CUSIP: 3133KYSP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     118542 | PA      | $108551.72     | 0.00%             | 2039-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 03/01/2050#BP3844                                                                    | CUSIP: 3140KBHW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64704 | PA      | $55816.12      | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 09/01/2050#BQ3852                                                                    | CUSIP: 3140KPH63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420649 | PA      | $361949.59     | 0.00%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2050#QA8243                                                                    | CUSIP: 3133A3EQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     940691 | PA      | $811481.06     | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 10/01/2050#MA4159                                                                    | CUSIP: 31418DTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  108997812 | PA      | $93787799.80   | 0.14%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 01/01/2040#MA3889                                                                    | CUSIP: 31418DKB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30511 | PA      | $27882.51      | 0.00%             | 2040-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 06/01/2040#BP9117                                                                    | CUSIP: 3140KHDX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210566 | PA      | $191581.54     | 0.00%             | 2040-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2.5% 09/01/2036#ZA2431                                                                    | CUSIP: 31329KVY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94171 | PA      | $87877.67      | 0.00%             | 2036-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 10/01/2050#SD8098                                                                      | CUSIP: 3132DV7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1113307 | PA      | $914609.94     | 0.00%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2048#ZT2205                                                                      | CUSIP: 3132AENW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108951 | PA      | $105365.71     | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 12/01/2044#QA5100                                                                      | CUSIP: 31346YUZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1281028 | PA      | $1166867.24    | 0.00%             | 2044-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2048#ZA5785                                                                    | CUSIP: 31329PNA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22136 | PA      | $22045.67      | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 05/01/2048#ZM6887                                                                      | CUSIP: 3131Y1UL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     637997 | PA      | $578947.93     | 0.00%             | 2048-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2048#ZA5950                                                                    | CUSIP: 31329PTF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12537 | PA      | $12473.79      | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2049#FM1582                                                                    | CUSIP: 3140X4XL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122843 | PA      | $122110.10     | 0.00%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 04/01/2050#QA9049                                                                      | CUSIP: 3133A4BS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2457931 | PA      | $2213540.32    | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 02/01/2050#QA7267                                                                    | CUSIP: 3133A2CC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70892 | PA      | $70292.11      | 0.00%             | 2050-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2048#ZT1818                                                                    | CUSIP: 3132AEAT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3195 | PA      | $3181.72       | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2050#FM3619                                                                    | CUSIP: 3140X7AV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5784582 | PA      | $5755494.09    | 0.01%             | 2050-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 12/01/2049#QA5031                                                                      | CUSIP: 31346YSU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     210099 | PA      | $190325.29     | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 06/01/2049#ZN6177                                                                      | CUSIP: 3131YC2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3687 | PA      | $3331.19       | 0.00%             | 2049-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2050#BO7242                                                                      | CUSIP: 3140K3BL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12581 | PA      | $11329.64      | 0.00%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2048#BK0762                                                                      | CUSIP: 3140HDZ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15570 | PA      | $14157.77      | 0.00%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 06/01/2049#BN5943                                                                      | CUSIP: 3140JNS92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59533 | PA      | $53781.35      | 0.00%             | 2049-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 08/01/2044#BJ8770                                                                      | CUSIP: 3140HAW89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     808981 | PA      | $736887.44     | 0.00%             | 2044-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2044#CA4790                                                                      | CUSIP: 3140QCKC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     603110 | PA      | $549362.98     | 0.00%             | 2044-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 07/01/2049#QA0800                                                                      | CUSIP: 31334W3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57846 | PA      | $52256.66      | 0.00%             | 2049-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/01/2049#QA4166                                                                      | CUSIP: 31339UTX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79842 | PA      | $71903.45      | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 04/01/2048#ZM6894                                                                      | CUSIP: 3131Y1UT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62351 | PA      | $56580.20      | 0.00%             | 2048-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2050#BO6164                                                                      | CUSIP: 3140K1Z66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98314 | PA      | $88539.12      | 0.00%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2049#BO5606                                                                      | CUSIP: 3140K1GQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126184 | PA      | $113637.49     | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/01/2049#QA3157                                                                      | CUSIP: 31339SQJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     431129 | PA      | $388262.01     | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2049#BO5168                                                                      | CUSIP: 3140K0W61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180654 | PA      | $162691.80     | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2044#FM1716                                                                      | CUSIP: 3140X44A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220281 | PA      | $200650.19     | 0.00%             | 2044-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2049#BO1040                                                                      | CUSIP: 3140JVEN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     513099 | PA      | $462082.09     | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2049#BO6220                                                                      | CUSIP: 3140K14E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     525642 | PA      | $473377.63     | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2049#BN9558                                                                      | CUSIP: 3140JSTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     323223 | PA      | $291993.82     | 0.00%             | 2049-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 02/01/2049#ZN3397                                                                      | CUSIP: 3131Y9X24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     307853 | PA      | $279071.10     | 0.00%             | 2049-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 07/01/2039#MA3697                                                                      | CUSIP: 31418DDB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2351924 | PA      | $2220970.41    | 0.00%             | 2039-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 09/01/2038#MA3505                                                                      | CUSIP: 31418C3P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22868 | PA      | $21687.69      | 0.00%             | 2038-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3% 09/01/2039#RB5015                                                                      | CUSIP: 3133KYSC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49520 | PA      | $46654.91      | 0.00%             | 2039-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 02/01/2040#FM2428                                                                      | CUSIP: 3140X5VW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102341 | PA      | $96099.02      | 0.00%             | 2040-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 04/01/2039#MA3646                                                                      | CUSIP: 31418DBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112165 | PA      | $106059.65     | 0.00%             | 2039-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3% 10/01/2039#SC0014                                                                      | CUSIP: 3132D9AP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     256224 | PA      | $242998.37     | 0.00%             | 2039-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3% 01/01/2040#RB5027                                                                      | CUSIP: 3133KYSQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     776785 | PA      | $731834.48     | 0.00%             | 2040-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3% 04/01/2039#ZA6568                                                                      | CUSIP: 31329QJM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     403388 | PA      | $381431.57     | 0.00%             | 2039-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3% 04/01/2040#RB5044                                                                      | CUSIP: 3133KYS91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     536938 | PA      | $504021.57     | 0.00%             | 2040-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2050#SD8057                                                                    | CUSIP: 3132DV5S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91119 | PA      | $85208.11      | 0.00%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2048#ZN1299                                                                    | CUSIP: 3131Y7NQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     164557 | PA      | $154705.24     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2050#MA4063                                                                    | CUSIP: 31418DQR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1008365 | PA      | $999828.49     | 0.00%             | 2050-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2049#BN6942                                                                    | CUSIP: 3140JPWC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4798 | PA      | $4772.06       | 0.00%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3% 03/01/2040#QK0207                                                                      | CUSIP: 3133D3GQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     278942 | PA      | $261841.91     | 0.00%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COCA COLA CO                                                                    | COCA COLA CO 1.375% 03/15/2031                                                                      | CUSIP: 191216DE7<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    9666000 | PA      | $8493680.17    | 0.01%             | 2031-03-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: —       |
| COCA COLA CO                                                                    | COCA COLA CO 2.5% 03/15/2051                                                                        | CUSIP: 191216DC1<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    4833000 | PA      | $2971254.65    | 0.00%             | 2051-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS INC                                                          | CHUBB INA HOLDINGS INC 1.375% 09/15/2030                                                            | CUSIP: 171239AG1<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |   21411000 | PA      | $18869130.19   | 0.03%             | 2030-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 07/01/2035#SB8053                                                                    | CUSIP: 3132D55N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1507487 | PA      | $1434960.52    | 0.00%             | 2035-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                                                        | EUROPEAN INVESTMENT BANK 0.75% 09/23/2030                                                           | CUSIP: 298785JH0<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | CORP              | LU        |   22088000 | PA      | $19293863.14   | 0.03%             | 2030-09-23      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2050#CA7050                                                                      | CUSIP: 3140QEZQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120838 | PA      | $108823.60     | 0.00%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 2.013%/VAR 09/22/2028                                                             | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   38714000 | PA      | $37278015.28   | 0.05%             | 2028-09-22      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 03/01/2035#MA3955                                                                    | CUSIP: 31418DMD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     446448 | PA      | $425527.10     | 0.00%             | 2035-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 1.5% 09/18/2030                                                          | CUSIP: 92343VFL3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    3190000 | PA      | $2810632.38    | 0.00%             | 2030-09-18      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B19 MTG TR                                                       | BENCHMARK 2020-B19 A5 1.85% 09/15/2053                                                              | CUSIP: 08162WBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13581251 | PA      | $12080232.13   | 0.02%             | 2053-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 3.564%/VAR 09/23/2035                                                                  | CUSIP: 06738EBP9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    7500000 | PA      | $7083106.65    | 0.01%             | 2035-09-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.375% 09/30/2027                                                                         | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   49873800 | PA      | $47117103.51   | 0.07%             | 2027-09-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BN28                                                                  | BANK 2020-BN28 1.844% 03/15/2063                                                                    | CUSIP: 06540YAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   33271649 | PA      | $29731352.57   | 0.04%             | 2063-03-15      | 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 1.378% 07/25/2030                                                    | CUSIP: 3137FWHT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   50584119 | PA      | $45353432.77   | 0.07%             | 2030-07-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                | BAT CAPITAL CORP 3.984% 09/25/2050                                                                  | CUSIP: 05526DBU8<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2159847.01    | 0.00%             | 2050-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                             | GILEAD SCIENCES INC 2.8% 10/01/2050                                                                 | CUSIP: 375558BT9<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   11832000 | PA      | $7674827.98    | 0.01%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                             | GILEAD SCIENCES INC 1.65% 10/01/2030                                                                | CUSIP: 375558BY8<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   11928000 | PA      | $10682215.11   | 0.02%             | 2030-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                                               | ATMOS ENERGY CORP 1.5% 01/15/2031                                                                   | CUSIP: 049560AT2<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1755757.20    | 0.00%             | 2031-01-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: —       |
| ASIAN DEVELOPMENT BANK                                                          | ASIAN DEVELOPMENT BANK 0.75% 10/08/2030                                                             | CUSIP: 045167EY5<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | CORP              | PH        |   15466000 | PA      | $13474253.41   | 0.02%             | 2030-10-08      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ONTARIO PROVINCE CDA                                                            | ONTARIO PROVINCE CDA 1.125% 10/07/2030                                                              | CUSIP: 683234AR9<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |   19052000 | PA      | $16825440.39   | 0.02%             | 2030-10-07      | 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 1.406% 08/25/2030                                                    | CUSIP: 3137FX3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25809211 | PA      | $23130287.16   | 0.03%             | 2030-08-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ORLANDO HEALTH OBLIGATED GRP                                                    | ORLANDO HEALTH OBLIGATED GRP 3.327% 10/01/2050                                                      | CUSIP: 686514AH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6016000 | PA      | $4349253.96    | 0.01%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 10/20/2050#MA6931                                                                      | CUSIP: 36179VVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42785322 | PA      | $37208922.73   | 0.05%             | 2050-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                     | PEPSICO INC 1.4% 02/25/2031                                                                         | CUSIP: 713448FA1<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |   12450000 | PA      | $10923719.39   | 0.02%             | 2031-02-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: —       |
| BERKSHIRE HATHAWAY FIN CORP                                                     | BERKSHIRE HATHAWAY FIN CORP 1.45% 10/15/2030                                                        | CUSIP: 084664CW9<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    7588000 | PA      | $6759949.26    | 0.01%             | 2030-10-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN CORP                                                     | BERKSHIRE HATHAWAY FIN CORP 2.85% 10/15/2050                                                        | CUSIP: 084664CV1<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |   10633000 | PA      | $7000373.99    | 0.01%             | 2050-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LYB INTERNATIONAL FINANCE III LLC                                               | LYB INTERNATIONAL FINANCE III LLC 3.625% 04/01/2051                                                 | CUSIP: 50249AAJ2<br>LEI: 984500A51LA0B8EB4053 | Long             | DBT              | CORP              | US        |    7366000 | PA      | $4842758.65    | 0.01%             | 2051-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LYB INTERNATIONAL FINANCE III LLC                                               | LYB INTERNATIONAL FINANCE III LLC 3.375% 10/01/2040                                                 | CUSIP: 50249AAH6<br>LEI: 984500A51LA0B8EB4053 | Long             | DBT              | CORP              | US        |    7366000 | PA      | $5435729.02    | 0.01%             | 2040-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHILDREN'S HOSPITAL OF PHILADELPHIA/THE                                         | CHILDREN'S HOSPITAL OF PHILADELPHIA/THE 2.704% 07/01/2050                                           | CUSIP: 16877PAA8<br>LEI: 254900N2KNSY5WTR1Q61 | Long             | DBT              | CORP              | US        |    8032000 | PA      | $5111196.93    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                              | ATHENE HOLDING LTD 3.5% 01/15/2031                                                                  | CUSIP: 04686JAC5<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |    5413000 | PA      | $5122245.31    | 0.01%             | 2031-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 3.375% 02/01/2031                                                    | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    3093000 | PA      | $2887603.83    | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 1.7% 10/15/2030                                                                       | CUSIP: 548661DY0<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    9666000 | PA      | $8585315.59    | 0.01%             | 2030-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 1.3% 04/15/2028                                                                       | CUSIP: 548661DX2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    6380000 | PA      | $5996586.24    | 0.01%             | 2028-04-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE 0.75% 10/08/2027                                                                         | CUSIP: 3135G05Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   16844000 | PA      | $16014142.61   | 0.02%             | 2027-10-08      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2050#SD8065                                                                    | CUSIP: 3132DV6A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26449 | PA      | $26225.14      | 0.00%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTEGRIS BAPTIST MEDICAL CENTER INC                                             | INTEGRIS BAPTIST MEDICAL CENTER INC 3.875% 08/15/2050                                               | CUSIP: 45834QAA7<br>LEI: 549300S00ZKDLJSB3927 | Long             | DBT              | CORP              | US        |    9083000 | PA      | $6696717.87    | 0.01%             | 2050-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 11/01/2035#MA4179                                                                      | CUSIP: 31418DUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22713518 | PA      | $21165393.97   | 0.03%             | 2035-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 03/01/2050#QA8103                                                                    | CUSIP: 3133A3AC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20661 | PA      | $19456.67      | 0.00%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 10/01/2047#ZM4372                                                                    | CUSIP: 3131XX2D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27816 | PA      | $26133.61      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2049#QA1094                                                                    | CUSIP: 31334XGB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     174572 | PA      | $163520.74     | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2050#SD8059                                                                    | CUSIP: 3132DV5U5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1292536 | PA      | $1281593.27    | 0.00%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2050#QA7260                                                                    | CUSIP: 3133A2B58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     357021 | PA      | $307981.63     | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAPTIST HEALTHCARE SYSTEM OBLIGATED GROUP                                       | BAPTIST HEALTHCARE SYSTEM OBLIGATED GROUP 3.54% 08/15/2050                                          | CUSIP: 06684QAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10657000 | PA      | $7769916.39    | 0.01%             | 2050-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FRANKLIN RESOURCES INC                                                          | FRANKLIN RESOURCES INC 1.6% 10/30/2030                                                              | CUSIP: 354613AL5<br>LEI: RIFQSET379FOGTEFKS80 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1766510.16    | 0.00%             | 2030-10-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 10/20/2050#MA6932                                                                        | CUSIP: 36179VVZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56868 | PA      | $51438.29      | 0.00%             | 2050-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 05/01/2035#SB8045                                                                    | CUSIP: 3132D55E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     445705 | PA      | $424400.79     | 0.00%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 02/01/2035#SB0264                                                                    | CUSIP: 3132CWJH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23666 | PA      | $22534.99      | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 02/01/2027#ZS8457                                                                    | CUSIP: 3132A9ME4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17586 | PA      | $17406.32      | 0.00%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 06/01/2027#ZA2753                                                                    | CUSIP: 31329LBW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12996 | PA      | $12869.58      | 0.00%             | 2027-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2035#CA6848                                                                    | CUSIP: 3140QETE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1671135 | PA      | $1590734.79    | 0.00%             | 2035-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2035#CA5656                                                                    | CUSIP: 3140QDJA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     564734 | PA      | $537740.67     | 0.00%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2035#FM3749                                                                    | CUSIP: 3140X7EX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     409273 | PA      | $389582.38     | 0.00%             | 2035-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 2.831%/VAR 10/24/2051                                                   | CUSIP: 06051GJM2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    7984000 | PA      | $5206290.23    | 0.01%             | 2051-10-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 10YR 2.5% 02/01/2030#SA0021                                                                    | CUSIP: 3132CJAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     680015 | PA      | $664517.13     | 0.00%             | 2030-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 10YR 2.5% 12/01/2029#RD5014                                                                    | CUSIP: 3133LPSB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     420327 | PA      | $411050.09     | 0.00%             | 2029-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2035#FM3748                                                                    | CUSIP: 3140X7EW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     459531 | PA      | $437422.13     | 0.00%             | 2035-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 10/01/2031#ZT1205                                                                    | CUSIP: 3132ADKS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47129 | PA      | $45997.87      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 03/01/2035#SB8035                                                                    | CUSIP: 3132D54U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     527367 | PA      | $502654.33     | 0.00%             | 2035-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 10YR 2.5% 10/01/2029#RD5009                                                                    | CUSIP: 3133LPR66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     183922 | PA      | $179997.80     | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 2.5% 04/01/2030#MA3981                                                                    | CUSIP: 31418DM74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76312 | PA      | $74545.34      | 0.00%             | 2030-04-01      | 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 1.493% 09/25/2030                                                    | CUSIP: 3137F62M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12256958 | PA      | $10975592.32   | 0.02%             | 2030-09-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANNER HEALTH                                                                   | BANNER HEALTH 2.913% 01/01/2051                                                                     | CUSIP: 06654DAE7<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |   10923000 | PA      | $7070954.90    | 0.01%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 03/28#ZA2830                                                                         | CUSIP: 31329LEB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1639 | PA      | $1614.15       | 0.00%             | 2028-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 06/27#ZK4184                                                                         | CUSIP: 3131X7UH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3530 | PA      | $3488.83       | 0.00%             | 2027-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                             | COMMONSPIRIT HEALTH 3.91% 10/01/2050                                                                | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   15300000 | PA      | $11556154.26   | 0.02%             | 2050-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MIDMICHIGAN HEALTH                                                              | MIDMICHIGAN HEALTH 3.409% 06/01/2050                                                                | CUSIP: 597861AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3730000 | PA      | $2658081.55    | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.5% 10/31/2027                                                                           | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  264566400 | PA      | $249922237.04  | 0.37%             | 2027-10-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                                                   | SUTTER HEALTH 3.361% 08/15/2050                                                                     | CUSIP: 86944BAJ2<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |   14596000 | PA      | $10517229.54   | 0.02%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2050#CA5508                                                                      | CUSIP: 3140QDDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10394 | PA      | $9376.52       | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 06/01/2050#RA2645                                                                    | CUSIP: 3133KH5E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4956534 | PA      | $4275720.97    | 0.01%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                  | FAIRFAX FINANCIAL HLDGS LTD 4.625% 04/29/2030                                                       | CUSIP: 303901BF8<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    5123000 | PA      | $5147763.86    | 0.01%             | 2030-04-29      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2050#MA4208                                                                      | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   72593461 | PA      | $59591986.39   | 0.09%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 02/01/2049#FM1922                                                                      | CUSIP: 3140X5D42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2247772 | PA      | $2289359.96    | 0.00%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2049#MA3885                                                                      | CUSIP: 31418DJ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     563030 | PA      | $572039.46     | 0.00%             | 2049-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 1.625% 11/15/2050                                                       | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  144329200 | PA      | $78354968.87   | 0.12%             | 2050-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP 2.668%/VAR 11/15/2035                                                          | CUSIP: 961214EP4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    2000000 | PA      | $1812315.06    | 0.00%             | 2035-11-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2050#                                                                            | CUSIP: 3132DWAN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     637816 | PA      | $523583.26     | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 04/01/2040#MA3988                                                                      | CUSIP: 31418DNE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36834 | PA      | $34576.05      | 0.00%             | 2040-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2050#MA4056                                                                      | CUSIP: 31418DQJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1092469 | PA      | $1052765.05    | 0.00%             | 2050-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 03/01/2049#ZA6538                                                                      | CUSIP: 31329QHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176130 | PA      | $170224.65     | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2050#RA3827                                                                      | CUSIP: 3133KKHC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29648 | PA      | $28570.31      | 0.00%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 03/01/2050#QA7719                                                                      | CUSIP: 3133A2SG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73173 | PA      | $70376.50      | 0.00%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/01/2049#RA1101                                                                      | CUSIP: 3133KGGJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     193365 | PA      | $186760.54     | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2048#BK0909                                                                      | CUSIP: 3140HEAK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227434 | PA      | $219949.73     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2049#FM1521                                                                      | CUSIP: 3140X4VP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149209 | PA      | $144439.32     | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2049#BN3940                                                                      | CUSIP: 3140JLLW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6295 | PA      | $6084.09       | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2048#CA2948                                                                      | CUSIP: 3140QAH29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84347 | PA      | $81571.80      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2050#MA4210                                                                    | CUSIP: 31418DVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5655370 | PA      | $4866195.90    | 0.01%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 1.375% 11/15/2040                                                       | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   42617700 | PA      | $28220908.22   | 0.04%             | 2040-11-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 07/01/2035#FM4457                                                                      | CUSIP: 3140X75T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1981804 | PA      | $1931987.73    | 0.00%             | 2035-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 12/01/2035#MA4206                                                                      | CUSIP: 31418DU83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42932895 | PA      | $40006644.80   | 0.06%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 09/01/2035#FM4283                                                                      | CUSIP: 3140X7XM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28224468 | PA      | $26300724.74   | 0.04%             | 2035-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 04/01/2035#FM2627                                                                      | CUSIP: 3140X54M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188705 | PA      | $176786.47     | 0.00%             | 2035-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 11/01/2035#SB8074                                                                      | CUSIP: 3132D56K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17014937 | PA      | $15855221.18   | 0.02%             | 2035-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 11/01/2035#FM4369                                                                      | CUSIP: 3140X72B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37167856 | PA      | $34634542.82   | 0.05%             | 2035-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 09/01/2035#QN3476                                                                      | CUSIP: 3133G92H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5576808 | PA      | $5196699.85    | 0.01%             | 2035-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 10/01/2035#QN3886                                                                      | CUSIP: 3133GAJ72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34829815 | PA      | $32455860.43   | 0.05%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 10/01/2035#MA4155                                                                      | CUSIP: 31418DTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307854 | PA      | $286870.61     | 0.00%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | AIR LEASE CORP 3.125% 12/01/2030                                                                    | CUSIP: 00914AAK8<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    9666000 | PA      | $8972866.90    | 0.01%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 11/20/2050#MA6995                                                                      | CUSIP: 36179VXY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1394559 | PA      | $1212800.25    | 0.00%             | 2050-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 11/20/2050#MA6997                                                                      | CUSIP: 36179VX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     204790 | PA      | $190808.97     | 0.00%             | 2050-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 10/20/2050#MA6930                                                                        | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     409579 | PA      | $341755.97     | 0.00%             | 2050-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                      | ABBVIE INC 2.95% 11/21/2026                                                                         | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    8990000 | PA      | $8905993.66    | 0.01%             | 2026-11-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| ABBVIE INC                                                                      | ABBVIE INC 3.2% 11/21/2029                                                                          | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   15370000 | PA      | $14907887.42   | 0.02%             | 2029-11-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| ABBVIE INC                                                                      | ABBVIE INC 4.05% 11/21/2039                                                                         | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    8990000 | PA      | $8134024.07    | 0.01%             | 2039-11-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                      | ABBVIE INC 4.25% 11/21/2049                                                                         | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   14886000 | PA      | $12566619.63   | 0.02%             | 2049-11-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                      | ABBVIE INC 4.55% 03/15/2035                                                                         | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    5282000 | PA      | $5260924.40    | 0.01%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                      | ABBVIE INC 4.75% 03/15/2045                                                                         | CUSIP: 00287YDB2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    5028000 | PA      | $4666094.52    | 0.01%             | 2045-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLSTATE CORP                                                                   | ALLSTATE CORP 1.45% 12/15/2030                                                                      | CUSIP: 020002BJ9<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $2881406.25    | 0.00%             | 2030-12-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.625% 11/30/2027                                                                         | CUSIP: 91282CAY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37166200 | PA      | $35119155.58   | 0.05%             | 2027-11-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 08/01/2035#CA7794                                                                      | CUSIP: 3140QFUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181146 | PA      | $169138.62     | 0.00%             | 2035-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4% 11/01/2033#ZT1346                                                                      | CUSIP: 3132ADP77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61628 | PA      | $61919.84      | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 12/01/2033#ZT1566                                                                    | CUSIP: 3132ADW38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     341571 | PA      | $336709.04     | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 03/01/2035#MA3957                                                                    | CUSIP: 31418DMF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67782 | PA      | $66647.78      | 0.00%             | 2035-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                               | PERU REPUBLIC OF 1.862% 12/01/2032                                                                  | CUSIP: 715638DP4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   19951000 | PA      | $16609207.50   | 0.02%             | 2032-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                               | PERU REPUBLIC OF 2.78% 12/01/2060                                                                   | CUSIP: 715638DQ2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3287000 | PA      | $1853046.25    | 0.00%             | 2060-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 10/01/2050#SD7526                                                                    | CUSIP: 3132DVLF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   81680675 | PA      | $71048367.27   | 0.10%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | BANCO SANTANDER SA 2.749% 12/03/2030                                                                | CUSIP: 05971KAG4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    1000000 | PA      | $912138.54     | 0.00%             | 2030-12-03      | 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 1.547% 10/25/2030                                                    | CUSIP: 3137F83Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17206140 | PA      | $15372965.15   | 0.02%             | 2030-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN                       | TARGA RES P LP/TARGA RES P FIN 5.5% 03/01/2030                                                      | CUSIP: 87612BBQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2035070.08    | 0.00%             | 2030-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 12/20/2050#MA7052                                                                      | CUSIP: 36179VZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23953653 | PA      | $20805470.28   | 0.03%             | 2050-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                         | PHILIPPINES REPUBLIC OF 2.65% 12/10/2045                                                            | CUSIP: 718286CL9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |   18269000 | PA      | $12285902.50   | 0.02%             | 2045-12-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                         | PHILIPPINES REPUBLIC OF 1.648% 06/10/2031                                                           | CUSIP: 718286CK1<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |   14500000 | PA      | $12622250.00   | 0.02%             | 2031-06-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 11/01/2050#SD7530                                                                    | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40091372 | PA      | $34847652.83   | 0.05%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FRANCISCAN MISSIONARIES OF OUR LADY HEALTH SYSTEM INC                           | FRANCISCAN MISSIONARIES OF OUR LADY HEALTH SYSTEM INC 3.914% 07/01/2049                             | CUSIP: 351837AA7<br>LEI: 254900OPFK0OOKZFLV35 | Long             | DBT              | CORP              | US        |    8468000 | PA      | $6596033.44    | 0.01%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 1.093%/VAR 12/09/2026                                                 | CUSIP: 38141GXM1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   33156000 | PA      | $33131051.77   | 0.05%             | 2026-12-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 12/20/2050#MA7051                                                                        | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37170015 | PA      | $30995815.31   | 0.05%             | 2050-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WEST VA UNIV HEALTH SYS OBLIGATED GROUP                                         | WEST VA UNIV HEALTH SYS OBLIGATED GROUP 3.129% 06/01/2050                                           | CUSIP: 956708AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4940000 | PA      | $3187588.85    | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                | PUGET ENERGY INC 4.1% 06/15/2030                                                                    | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   11406000 | PA      | $11170167.38   | 0.02%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 01/01/2051#MA4237                                                                      | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  103422898 | PA      | $84964516.99   | 0.12%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 01/01/2036#                                                                            | CUSIP: 31418DVX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42067853 | PA      | $39121685.14   | 0.06%             | 2036-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                                                      | NASDAQ INC 2.5% 12/21/2040                                                                          | CUSIP: 63111XAE1<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1440510.80    | 0.00%             | 2040-12-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                             | CARRIER GLOBAL CORP 2.493% 02/15/2027                                                               | CUSIP: 14448CAP9<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    7105000 | PA      | $6976086.60    | 0.01%             | 2027-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                             | CARRIER GLOBAL CORP 2.722% 02/15/2030                                                               | CUSIP: 14448CAQ7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |   12373000 | PA      | $11649555.02   | 0.02%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                             | CARRIER GLOBAL CORP 3.377% 04/05/2040                                                               | CUSIP: 14448CAR5<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    4959000 | PA      | $4049168.40    | 0.01%             | 2040-04-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                             | CARRIER GLOBAL CORP 3.577% 04/05/2050                                                               | CUSIP: 14448CAS3<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |   11213000 | PA      | $8419204.13    | 0.01%             | 2050-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                        | RTX CORP 4.35% 04/15/2047                                                                           | CUSIP: 75513ECK5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    5243000 | PA      | $4522157.44    | 0.01%             | 2047-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                        | RTX CORP 4.875% 10/15/2040                                                                          | CUSIP: 75513ECA7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     795000 | PA      | $780023.39     | 0.00%             | 2040-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 01/45#SD0490                                                                           | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     852205 | PA      | $838845.93     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2050#SD0506                                                                    | CUSIP: 3132DMR31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40569674 | PA      | $38267625.07   | 0.06%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 01/01/2051#SD8121                                                                      | CUSIP: 3132DWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  556872797 | PA      | $457136990.78  | 0.67%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2050#QA8779                                                                    | CUSIP: 3133A3XG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1260338 | PA      | $1249668.16    | 0.00%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 03/01/2050#SD8054                                                                      | CUSIP: 3132DV5P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8282 | PA      | $8404.51       | 0.00%             | 2050-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2050#BP5844                                                                      | CUSIP: 3140KDP61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     543511 | PA      | $523757.95     | 0.00%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2050#SD8064                                                                      | CUSIP: 3132DV5Z4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1736106 | PA      | $1673552.63    | 0.00%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 03/01/2049#ZA6547                                                                      | CUSIP: 31329QHY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3601 | PA      | $3667.33       | 0.00%             | 2049-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 02/01/2049#CA3106                                                                      | CUSIP: 3140QANY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     598822 | PA      | $609901.45     | 0.00%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 02/01/2049#BN6395                                                                      | CUSIP: 3140JPC94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15739 | PA      | $16064.35      | 0.00%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 07/01/2050#MA4077                                                                      | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1079812 | PA      | $888105.03     | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 03/01/2049#ZT1779                                                                      | CUSIP: 3132AD6Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12745 | PA      | $12980.85      | 0.00%             | 2049-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2050#QA8163                                                                    | CUSIP: 3133A3B80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225701 | PA      | $223790.29     | 0.00%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 10/01/2050#BQ6117                                                                      | CUSIP: 3140KRYP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2020167 | PA      | $1659618.11    | 0.00%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 12/01/2048#ZT1914                                                                      | CUSIP: 3132AEDT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     227364 | PA      | $220095.76     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 12/01/2049#QA5502                                                                      | CUSIP: 3133A0DF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10668 | PA      | $10838.68      | 0.00%             | 2049-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 11/01/2048#ZN1918                                                                      | CUSIP: 3131Y8DX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13598 | PA      | $13870.93      | 0.00%             | 2048-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2049#CA5860                                                                    | CUSIP: 3140QDQN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16103 | PA      | $16006.95      | 0.00%             | 2049-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 06/01/2050#SD8072                                                                      | CUSIP: 3132DV6H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8006 | PA      | $8124.36       | 0.00%             | 2050-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 12/01/2048#ZT1547                                                                      | CUSIP: 3132ADWG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1036972 | PA      | $1056158.12    | 0.00%             | 2048-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 11/01/2049#RA1829                                                                      | CUSIP: 3133KHA63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16825 | PA      | $17125.30      | 0.00%             | 2049-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 09/01/2049#QA4552                                                                      | CUSIP: 31346YBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     322604 | PA      | $327766.55     | 0.00%             | 2049-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2049#FM2377                                                                    | CUSIP: 3140X5UB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13869 | PA      | $13811.98      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2048#ZN1256                                                                    | CUSIP: 3131Y7MD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1850 | PA      | $1843.17       | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2050#SD8053                                                                    | CUSIP: 3132DV5N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     623898 | PA      | $618616.45     | 0.00%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                                               | CI FINL CORP 3.2% 12/17/2030                                                                        | CUSIP: 125491AN0<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    4250000 | PA      | $3826522.78    | 0.01%             | 2030-12-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2050#CA8433                                                                      | CUSIP: 3140QGLP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28922180 | PA      | $23760299.68   | 0.03%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 10/01/2050#BQ5082                                                                      | CUSIP: 3140KQUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7483927 | PA      | $6148234.51    | 0.01%             | 2050-10-01      | Fixed         | 0.02%                 | 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        |   45005094 | PA      | $36972818.88   | 0.05%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | TRANSCONTINENTAL GAS LINE LLC 3.25% 05/15/2030                                                      | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4640000 | PA      | $4440681.05    | 0.01%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2050#BR1258                                                                      | CUSIP: 3140KYMG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10808362 | PA      | $8872586.92    | 0.01%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2050#BQ9989                                                                      | CUSIP: 3140KWC30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3561232 | PA      | $2933432.14    | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2050#BQ9019                                                                      | CUSIP: 3140KVAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6589752 | PA      | $5409529.12    | 0.01%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2050#BQ8286                                                                      | CUSIP: 3140KUF49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6512964 | PA      | $5346493.82    | 0.01%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | TRANSCONTINENTAL GAS LINE LLC 3.95% 05/15/2050                                                      | CUSIP: 893574AR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4640000 | PA      | $3636554.99    | 0.01%             | 2050-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 08/01/2050#FM5289                                                                      | CUSIP: 3140X82X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     397503 | PA      | $356986.21     | 0.00%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2050#CA5019                                                                      | CUSIP: 3140QCSH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51410 | PA      | $46378.96      | 0.00%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 06/01/2035#FM3869                                                                      | CUSIP: 3140X7JP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1902637 | PA      | $1851837.69    | 0.00%             | 2035-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 10/01/2035#FM4685                                                                      | CUSIP: 3140X8F36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8319927 | PA      | $7752852.05    | 0.01%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 08/01/2035#BP6586                                                                      | CUSIP: 3140KEJ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4567636 | PA      | $4256312.14    | 0.01%             | 2035-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 11/01/2034#QN1024                                                                    | CUSIP: 3133G7D59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8731 | PA      | $8333.15       | 0.00%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 08/01/2035#SB8501                                                                      | CUSIP: 3132D6NS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16113 | PA      | $15044.72      | 0.00%             | 2035-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 09/01/2050#QB3831                                                                      | CUSIP: 3133AAHG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24843 | PA      | $20432.16      | 0.00%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2050#QB6224                                                                      | CUSIP: 3133AC4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1632410 | PA      | $1344636.70    | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 09/01/2050#RA3520                                                                      | CUSIP: 3133KJ4D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33898 | PA      | $27879.99      | 0.00%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 09/01/2050#RA4302                                                                      | CUSIP: 3133KKX79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15859 | PA      | $13043.35      | 0.00%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FREDDIE MAC POOL 20YR 2% 03/01/2040#RB0168                                                          | CUSIP: 3133KTFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63875 | PA      | $56784.89      | 0.00%             | 2040-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2% 06/01/2040#RB5064                                                                      | CUSIP: 3133KYTV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     771654 | PA      | $684054.07     | 0.00%             | 2040-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 07/01/2050#BQ0357                                                                      | CUSIP: 3140KKMF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1576375 | PA      | $1296509.62    | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 08/20/2050#MA6821                                                                      | CUSIP: 36179VSJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     216459 | PA      | $201478.14     | 0.00%             | 2050-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUSTRIES INC                                               | HUNTINGTON INGALLS INDUSTRIES INC 4.2% 05/01/2030                                                   | CUSIP: 446413AT3<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1981300.42    | 0.00%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.625% 12/31/2027                                                                         | CUSIP: 91282CBB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   42643200 | PA      | $40201210.71   | 0.06%             | 2027-12-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 02/01/2036#MA4261                                                                      | CUSIP: 31418DWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7952361 | PA      | $7395427.63    | 0.01%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 04/01/2034#CA3431                                                                    | CUSIP: 3140QAY53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142262 | PA      | $140147.87     | 0.00%             | 2034-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                  | HOME DEPOT INC 2.375% 03/15/2051                                                                    | CUSIP: 437076CG5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   13507000 | PA      | $7916898.70    | 0.01%             | 2051-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 01/20/2051#MA7136                                                                      | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17687854 | PA      | $15365935.39   | 0.02%             | 2051-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                       | KROGER CO 1.7% 01/15/2031                                                                           | CUSIP: 501044DQ1<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    5315000 | PA      | $4682138.27    | 0.01%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                   | SOUTHERN CALIFORNIA EDISON CO 2.95% 02/01/2051                                                      | CUSIP: 842400GY3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   15950000 | PA      | $9946339.93    | 0.01%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2051#CA8460                                                                    | CUSIP: 3140QGMJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1578988 | PA      | $1362596.74    | 0.00%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                                                 | CHEVRON USA INC 4.95% 08/15/2047                                                                    | CUSIP: 166756AW6<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |   10963000 | PA      | $10361527.06   | 0.02%             | 2047-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                                                 | CHEVRON USA INC 4.2% 10/15/2049                                                                     | CUSIP: 166756AX4<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |    3480000 | PA      | $2896984.95    | 0.00%             | 2049-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC 2.35% 01/08/2031                                                           | CUSIP: 37045XDE3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1795626.12    | 0.00%             | 2031-01-08      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                               | ARES CAPITAL CORP 2.15% 07/15/2026                                                                  | CUSIP: 04010LBA0<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   20441000 | PA      | $20131861.15   | 0.03%             | 2026-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| QUALCOMM INC                                                                    | QUALCOMM INC 1.65% 05/20/2032                                                                       | CUSIP: 747525BP7<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $12006366.68   | 0.02%             | 2032-05-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| KOREA DEVELOPMENT BANK                                                          | KOREA DEVELOPMENT BANK 1.625% 01/19/2031                                                            | CUSIP: 500630DH8<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | CORP              | KR        |   10633000 | PA      | $9524560.79    | 0.01%             | 2031-01-19      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                  | DEUTSCHE BANK AG NEW YORK BNCH 3.729%/VAR 01/14/2032                                                | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |   10100000 | PA      | $9584595.49    | 0.01%             | 2032-01-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                         | SIMON PROPERTY GROUP LP 2.2% 02/01/2031                                                             | CUSIP: 828807DM6<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |   21169000 | PA      | $19155473.94   | 0.03%             | 2031-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2051#MA4256                                                                    | CUSIP: 31418DWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121170 | PA      | $104185.87     | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2051#                                                                          | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     191949 | PA      | $165043.97     | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JAPAN BANK INTERNATIONAL COOPERATION                                            | JAPAN BANK INTL COOPERATION 1.25% 01/21/2031                                                        | CUSIP: 471048CL0<br>LEI: 549300TJ3QFYVCTSCJ29 | Long             | DBT              | CORP              | JP        |   31080000 | PA      | $27365848.94   | 0.04%             | 2031-01-21      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 02/01/2051#MA4255                                                                      | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  305589977 | PA      | $250858873.42  | 0.37%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 03/01/2049#ZA6379                                                                      | CUSIP: 31329QCQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21533 | PA      | $20811.05      | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2050#MA3993                                                                      | CUSIP: 31418DNK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     264241 | PA      | $254720.60     | 0.00%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRINITY HEALTH CORP                                                             | TRINITY HEALTH CORP 2.632% 12/01/2040                                                               | CUSIP: 896517AB5<br>LEI: TWSRHFGEDJDX0GKMGJ67 | Long             | DBT              | CORP              | US        |    3512000 | PA      | $2609666.76    | 0.00%             | 2040-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 12/01/2035#RC1727                                                                      | CUSIP: 3133L74L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1829315 | PA      | $1704631.45    | 0.00%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 02/01/2051#SD8128                                                                      | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     314800 | PA      | $258418.98     | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2048#ZA5759                                                                    | CUSIP: 31329PMG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10828 | PA      | $10783.98      | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2050#MA4170                                                                    | CUSIP: 31418DT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292741 | PA      | $290170.69     | 0.00%             | 2050-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 02/01/2036#SB8089                                                                      | CUSIP: 3132D57A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28141743 | PA      | $26170872.22   | 0.04%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BAYLOR SCOTT and WHITE HLDGS                                                    | BAYLOR SCOTT and WHITE HLDGS 2.839% 11/15/2050                                                      | CUSIP: 072863AJ2<br>LEI: 549300JQDKSBWYRGGV95 | Long             | DBT              | CORP              | US        |   14016000 | PA      | $9149681.24    | 0.01%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN                       | TARGA RES P LP/TARGA RES P FIN 4% 01/15/2032                                                        | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1910132.60    | 0.00%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2050#CA6423                                                                      | CUSIP: 3140QED58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     819280 | PA      | $736283.15     | 0.00%             | 2050-07-01      | 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 1.621% 12/25/2030                                                    | CUSIP: 3137F8ZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22648307 | PA      | $20278234.15   | 0.03%             | 2030-12-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                            | KRAFT HEINZ FOODS CO 3.875% 05/15/2027                                                              | CUSIP: 50077LBC9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   28999000 | PA      | $28890649.01   | 0.04%             | 2027-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 1.122%/VAR 01/28/2027                                                                 | CUSIP: 17327CAM5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   14113000 | PA      | $14042437.12   | 0.02%             | 2027-01-28      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| PORT AUTH NY and NJ                                                             | PORT AUTHORITY 3.175% 7/15/2060                                                                     | CUSIP: 73358XCN0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   18365000 | PA      | $12131103.59   | 0.02%             | 2060-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 03/01/2036#                                                                          | CUSIP: 31418DXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13950649 | PA      | $12645523.76   | 0.02%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 1.953%/VAR 02/04/2032                                                         | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   12760000 | PA      | $11372973.20   | 0.02%             | 2032-02-04      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2049#FM5659                                                                    | CUSIP: 3140X9JD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10868795 | PA      | $10258859.16   | 0.02%             | 2049-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2049#FM5663                                                                    | CUSIP: 3140X9JH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6327130 | PA      | $5966132.20    | 0.01%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2050#FM5010                                                                    | CUSIP: 3140X8R82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5132 | PA      | $5105.87       | 0.00%             | 2050-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL BANK FOR RECONSTRUCTION AND DEVELOPMENT                           | INTERNATIONAL BK RECON and DEVEL 1.25% 02/10/2031                                                   | CUSIP: 459058JR5<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | CORP              | US        |   14403000 | PA      | $12744649.53   | 0.02%             | 2031-02-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 3.4% 02/04/2041                                                                    | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $7794130.10    | 0.01%             | 2041-02-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | APPLE INC 2.375% 02/08/2041                                                                         | CUSIP: 037833EE6<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   13368000 | PA      | $9738426.38    | 0.01%             | 2041-02-08      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| APPLE INC                                                                       | APPLE INC 1.2% 02/08/2028                                                                           | CUSIP: 037833EC0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9484467.00    | 0.01%             | 2028-02-08      | Fixed         | 0.01%                 | No            |                  2 | On Loan: —       |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 02/20/2051#MA7193                                                                      | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3288446 | PA      | $2856765.67    | 0.00%             | 2051-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 1.875% 02/15/2051                                                       | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  176269200 | PA      | $101795463.00  | 0.15%             | 2051-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                             | ALEXANDRIA REAL EST EQUITS INC 2% 05/18/2032                                                        | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    7371000 | PA      | $6249683.16    | 0.01%             | 2032-05-18      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                             | ALEXANDRIA REAL EST EQUITS INC 3% 05/18/2051                                                        | CUSIP: 015271AX7<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    5582000 | PA      | $3444384.77    | 0.01%             | 2051-05-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING LTD                                                       | ALIBABA GROUP HOLDING LTD 2.125% 02/09/2031                                                         | CUSIP: 01609WAX0<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |   16568000 | PA      | $15075388.88   | 0.02%             | 2031-02-09      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING LTD                                                       | ALIBABA GROUP HOLDING LTD 3.15% 02/09/2051                                                          | CUSIP: 01609WAZ5<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |   17076000 | PA      | $11886091.32   | 0.02%             | 2051-02-09      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                     | PROLOGIS LP 1.625% 03/15/2031                                                                       | CUSIP: 74340XBS9<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |   11425000 | PA      | $10008953.28   | 0.01%             | 2031-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 10/01/2035#SB0424                                                                      | CUSIP: 3132CWPH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     345370 | PA      | $321830.03     | 0.00%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                                                        | EUROPEAN INVESTMENT BANK 1.25% 02/14/2031                                                           | CUSIP: 298785JL1<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | CORP              | LU        |    9586000 | PA      | $8487530.87    | 0.01%             | 2031-02-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2049#BN6006                                                                    | CUSIP: 3140JNU81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390401 | PA      | $388071.69     | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2050#SD8077                                                                    | CUSIP: 3132DV6N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     254042 | PA      | $251811.92     | 0.00%             | 2050-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2050#MA4161                                                                    | CUSIP: 31418DTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46182 | PA      | $45776.78      | 0.00%             | 2050-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2050#MA3998                                                                    | CUSIP: 31418DNQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126750 | PA      | $125676.84     | 0.00%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 03/01/2051#SD8134                                                                      | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  151816164 | PA      | $124625919.45  | 0.18%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2050#BO8947                                                                      | CUSIP: 3140K45H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37758 | PA      | $34180.74      | 0.00%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 2.5% 07/01/2050#BP8913                                                               | CUSIP: 3140KG3X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5385889 | PA      | $4651150.06    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 01/01/2051#RA4692                                                                    | CUSIP: 3133KLF93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22036 | PA      | $18961.00      | 0.00%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 07/01/2040#MA4072                                                                    | CUSIP: 31418DQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     530345 | PA      | $483038.78     | 0.00%             | 2040-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2051#BR4851                                                                    | CUSIP: 3140L3L90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     983035 | PA      | $845243.68     | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2050#FM3505                                                                    | CUSIP: 3140X63P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31308 | PA      | $27066.40      | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 12/01/2046#ZS4692                                                                    | CUSIP: 3132A5F91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27427 | PA      | $24011.17      | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2.5% 07/01/2040#RB5059                                                                    | CUSIP: 3133KYTQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     734301 | PA      | $669089.12     | 0.00%             | 2040-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2050#CA6073                                                                    | CUSIP: 3140QDXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32856 | PA      | $28343.22      | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/01/2050#FM3339                                                                    | CUSIP: 3140X6V99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     871845 | PA      | $752091.66     | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 10/01/2050#FM4530                                                                    | CUSIP: 3140X8A80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34698 | PA      | $29931.94      | 0.00%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 12/01/2040#MA4203                                                                    | CUSIP: 31418DU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40687 | PA      | $36986.43      | 0.00%             | 2040-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 02/01/2041#MA4269                                                                    | CUSIP: 31418DW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47197 | PA      | $42837.49      | 0.00%             | 2041-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2.5% 01/01/2037#ZA2444                                                                    | CUSIP: 31329KWD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46288 | PA      | $43120.55      | 0.00%             | 2037-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2050#CA8130                                                                    | CUSIP: 3140QGA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86232 | PA      | $74441.11      | 0.00%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 09/01/2040#QB4182                                                                    | CUSIP: 3133AAUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58316 | PA      | $52036.88      | 0.00%             | 2040-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2050#BP1930                                                                    | CUSIP: 3140K9EC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91415 | PA      | $78858.71      | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2050#CA6075                                                                    | CUSIP: 3140QDXD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1198530 | PA      | $1033903.92    | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2.5% 12/01/2040#RB5091                                                                    | CUSIP: 3133KYUQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114976 | PA      | $104403.42     | 0.00%             | 2040-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 03/01/2050#BP3065                                                                    | CUSIP: 3140KAMP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88983 | PA      | $76760.62      | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 03/01/2051#MA4282                                                                    | CUSIP: 31418DXL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149508 | PA      | $128551.53     | 0.00%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/01/2050#BP5800                                                                    | CUSIP: 3140KDNS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     451092 | PA      | $389131.28     | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 11/01/2050#BQ6340                                                                    | CUSIP: 3140KSBJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220153 | PA      | $190670.66     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 01/01/2051#RA4418                                                                    | CUSIP: 3133KK4B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2037169 | PA      | $1752893.64    | 0.00%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 08/01/2050#BQ1407                                                                    | CUSIP: 3140KLR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2558114 | PA      | $2209137.81    | 0.00%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 12/01/2049#QA5179                                                                    | CUSIP: 31346YXG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1866066 | PA      | $1610915.49    | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 06/01/2050#RA2857                                                                    | CUSIP: 3133KJE65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2358294 | PA      | $2034366.25    | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 06/01/2050#RA2882                                                                    | CUSIP: 3133KJFX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2881635 | PA      | $2485823.39    | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 09/01/2050#BP6749                                                                    | CUSIP: 3140KEQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5065903 | PA      | $4358985.86    | 0.01%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/01/2050#BP5001                                                                    | CUSIP: 3140KCRX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4425805 | PA      | $3817891.15    | 0.01%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2050#FM4535                                                                      | CUSIP: 3140X8BD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1005953 | PA      | $905931.63     | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/01/2049#QA3637                                                                      | CUSIP: 31339UBE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     622519 | PA      | $560621.97     | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2049#BO7435                                                                      | CUSIP: 3140K3HM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1179206 | PA      | $1061958.33    | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 06/01/2050#FM4536                                                                      | CUSIP: 3140X8BE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4455918 | PA      | $4012869.17    | 0.01%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 01/01/2051#QB8505                                                                    | CUSIP: 3133AFNW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     667551 | PA      | $582324.90     | 0.00%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 01/01/2051#QB8515                                                                    | CUSIP: 3133AFN80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41543 | PA      | $36355.67      | 0.00%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 01/01/2051#QB7860                                                                    | CUSIP: 3133AEWV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     255539 | PA      | $220519.05     | 0.00%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2051#QB9002                                                                    | CUSIP: 3133AGAB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     265036 | PA      | $227886.29     | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 01/01/2051#QB8092                                                                    | CUSIP: 3133AE7D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2859803 | PA      | $2467883.70    | 0.00%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 07/01/2049#QA1033                                                                      | CUSIP: 31334XEE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9332 | PA      | $8430.76       | 0.00%             | 2049-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 2.5% 03/01/2031                                                                        | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1724285.00    | 0.00%             | 2031-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2049#FM1724                                                                      | CUSIP: 3140X44J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     383754 | PA      | $345597.53     | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 3% 07/01/2050#BP8747                                                                 | CUSIP: 3140KGWH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7150 | PA      | $6425.98       | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2050#BO8903                                                                      | CUSIP: 3140K43M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56008 | PA      | $50701.32      | 0.00%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 08/01/2050#BQ0188                                                                      | CUSIP: 3140KKF66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     450174 | PA      | $404288.42     | 0.00%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 02/01/2051#RA4715                                                                      | CUSIP: 3133KLGY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     127285 | PA      | $104568.17     | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 01/01/2051#CA9119                                                                      | CUSIP: 3140QHDZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137992 | PA      | $113277.28     | 0.00%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2050#CA5175                                                                      | CUSIP: 3140QCXD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     321281 | PA      | $309905.43     | 0.00%             | 2050-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UDR INC                                                                         | UDR INC 2.1% 06/15/2033                                                                             | CUSIP: 90265EAV2<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |   12929000 | PA      | $10828162.39   | 0.02%             | 2033-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 1.875% 02/15/2041                                                       | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   60554000 | PA      | $43147090.24   | 0.06%             | 2041-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 03/01/2036#SB8093                                                                      | CUSIP: 3132D57E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6086082 | PA      | $5644636.02    | 0.01%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2021-C9                                                            | BBCMS MTG TR 2021-C9 2.299% 02/15/2054                                                              | CUSIP: 05493EAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6333661.60    | 0.01%             | 2054-02-15      | 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 1.846% 01/25/2031                                                    | CUSIP: 3137F9Z79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6669796 | PA      | $6021163.01    | 0.01%             | 2031-01-25      | Fixed         | 0.02%                 | 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        |   28505329 | PA      | $23772620.38   | 0.03%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 02/20/2051#MA7192                                                                        | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   51601971 | PA      | $43020444.35   | 0.06%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 05/01/2033#RC1400                                                                      | CUSIP: 3133L7RV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14902 | PA      | $14096.51      | 0.00%             | 2033-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 03/01/2036#MA4279                                                                      | CUSIP: 31418DXH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38047206 | PA      | $35287501.18   | 0.05%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MASCO CORP                                                                      | MASCO CORP 3.125% 02/15/2051                                                                        | CUSIP: 574599BR6<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    3735000 | PA      | $2499252.58    | 0.00%             | 2051-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MASCO CORP                                                                      | MASCO CORP 2% 02/15/2031                                                                            | CUSIP: 574599BQ8<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    7383000 | PA      | $6552267.20    | 0.01%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 3.5% 06/01/2041     | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   26758000 | PA      | $19091234.42   | 0.03%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.125% 02/29/2028                                                                         | CUSIP: 91282CBP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  262029200 | PA      | $248723029.69  | 0.37%             | 2028-02-29      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2050#BO8921                                                                      | CUSIP: 3140K44F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27737 | PA      | $26833.07      | 0.00%             | 2050-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                             | GLOBAL PAYMENTS INC 1.2% 03/01/2026                                                                 | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   23465000 | PA      | $23280976.68   | 0.03%             | 2026-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 08/28#AS0287                                                                           | CUSIP: 3138W9J92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134827 | PA      | $131734.23     | 0.00%             | 2028-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 2% 10/30#MA4148                                                                           | CUSIP: 31418DTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205583 | PA      | $198277.23     | 0.00%             | 2030-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                              | ESSEX PORTFOLIO LP 1.7% 03/01/2028                                                                  | CUSIP: 29717PAY3<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1896556.54    | 0.00%             | 2028-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 04/01/2036#MA4303                                                                      | CUSIP: 31418DX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     351227 | PA      | $325750.79     | 0.00%             | 2036-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                                      | FIDELITY NATL INFORMN SVCS INC 1.15% 03/01/2026                                                     | CUSIP: 31620MBR6<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |   16937000 | PA      | $16810108.17   | 0.02%             | 2026-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: —       |
| FIDELITY NATIONAL INFORMATION SERVICES INC                                      | FIDELITY NATL INFORMN SVCS INC 2.25% 03/01/2031                                                     | CUSIP: 31620MBT2<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |   16065000 | PA      | $14363487.25   | 0.02%             | 2031-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                    | SABINE PASS LIQUEFACTION LLC 4.5% 05/15/2030                                                        | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $15088906.80   | 0.02%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORTINET INC                                                                    | FORTINET INC 2.2% 03/15/2031                                                                        | CUSIP: 34959EAB5<br>LEI: 549300O0QJWDBAS0QX03 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1794501.54    | 0.00%             | 2031-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 07/01/2050#BP9945                                                                    | CUSIP: 3140KJBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257885 | PA      | $222221.32     | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 07/01/2050#RA2970                                                                    | CUSIP: 3133KJJP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97478 | PA      | $83996.99      | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                           | TRUIST FINANCIAL CORP 1.267%/VAR 03/02/2027                                                         | CUSIP: 89788MAD4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   26042000 | PA      | $25841790.93   | 0.04%             | 2027-03-02      | Variable      | 0.01%                 | No            |                  2 | On Loan: —       |
| LAUDER ESTEE COS INC                                                            | LAUDER ESTEE COS INC 1.95% 03/15/2031                                                               | CUSIP: 29736RAR1<br>LEI: 549300VFZ8XJ9NUPU221 | Long             | DBT              | CORP              | US        |   13533000 | PA      | $12071950.80   | 0.02%             | 2031-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| KEURIG DR PEPPER INC                                                            | KEURIG DR PEPPER INC 2.25% 03/15/2031                                                               | CUSIP: 49271VAN0<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1782974.56    | 0.00%             | 2031-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                            | BOSTON PROPERTIES LP 2.55% 04/01/2032                                                               | CUSIP: 10112RBE3<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $958798.06     | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                               | PERU REPUBLIC OF 3.55% 03/10/2051                                                                   | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   14983000 | PA      | $10742811.00   | 0.02%             | 2051-03-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                      | COPT DEFENSE PROPERTIES LP 2.75% 04/15/2031                                                         | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3639698.04    | 0.01%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| BENCHMARK 2021-B24 MTG TR                                                       | BENCHMARK 2021-B24 MTG TR 2.5843% 03/15/2054                                                        | CUSIP: 08163CBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20299379 | PA      | $18338666.04   | 0.03%             | 2054-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 03/20/2051#MA7255                                                                      | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5718512 | PA      | $4967831.70    | 0.01%             | 2051-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC/MD                                                   | MARRIOTT INTERNATIONAL INC/MD 2.85% 04/15/2031                                                      | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   17100000 | PA      | $15862122.11   | 0.02%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                               | BERKSHIRE HATHAWAY ENERGY COMPANY 3.7% 07/15/2030                                                   | CUSIP: 084659AV3<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    7954000 | PA      | $7827219.36    | 0.01%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                               | BERKSHIRE HATHAWAY ENERGY COMPANY 4.25% 10/15/2050                                                  | CUSIP: 084659AX9<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    6859000 | PA      | $5595024.78    | 0.01%             | 2050-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| ENTERGY LOUISIANA LLC                                                           | ENTERGY LOUISIANA LLC 2.35% 06/15/2032                                                              | CUSIP: 29364WBH0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   18700000 | PA      | $16513041.92   | 0.02%             | 2032-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 04/01/2051#MA4305                                                                      | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     609753 | PA      | $500164.89     | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                               | EVERSOURCE ENERGY 2.55% 03/15/2031                                                                  | CUSIP: 30040WAL2<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |   12735000 | PA      | $11509046.12   | 0.02%             | 2031-03-15      | 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 2.074% 01/25/2031                                                    | CUSIP: 3137FXYV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9492376 | PA      | $8673687.05    | 0.01%             | 2031-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY HOUSTON ELECTRIC LLC                                         | CENTERPOINT ENERGY HOUSTON ELECTRIC LLC 3.35% 04/01/2051                                            | CUSIP: 15189XAW8<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    9077000 | PA      | $6506843.18    | 0.01%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 2.651%/VAR 03/11/2032                                                   | CUSIP: 06051GJP5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   14674000 | PA      | $13525710.64   | 0.02%             | 2032-03-11      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                     | PACIFIC GAS and ELECTRIC CO 4.2% 06/01/2041                                                         | CUSIP: 694308JU2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   24166000 | PA      | $20106020.89   | 0.03%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 1.658%/VAR 03/11/2027                                                   | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   15408000 | PA      | $15297233.58   | 0.02%             | 2027-03-11      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER CO                                                      | SOUTHWESTERN ELEC POWER CO 1.65% 03/15/2026                                                         | CUSIP: 845437BS0<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9927948.00    | 0.01%             | 2026-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                 | SANTANDER UK GROUP HOLDINGS PLC 2.896%/VAR 03/15/2032                                               | CUSIP: 80281LAP0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    1600000 | PA      | $1471881.30    | 0.00%             | 2032-03-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                     | PACIFIC GAS and ELECTRIC CO 3.25% 06/01/2031                                                        | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    4833000 | PA      | $4492118.99    | 0.01%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                             | ELEVANCE HEALTH INC 2.55% 03/15/2031                                                                | CUSIP: 036752AP8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1005912.31    | 0.00%             | 2031-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 08/01/2048#CA2219                                                                      | CUSIP: 3140Q9PD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523349 | PA      | $533686.22     | 0.00%             | 2048-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 09/01/2050#BQ3865                                                                    | CUSIP: 3140KPJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     677293 | PA      | $582780.76     | 0.00%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2050#MA4145                                                                      | CUSIP: 31418DTB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119846 | PA      | $115415.14     | 0.00%             | 2050-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2050#CA5385                                                                    | CUSIP: 3140QC6X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10293 | PA      | $10205.81      | 0.00%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2050#FM4459                                                                      | CUSIP: 3140X75V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1551842 | PA      | $1499806.98    | 0.00%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 2.55% 03/21/2031                                                         | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   41913000 | PA      | $38348283.00   | 0.06%             | 2031-03-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 3.55% 03/22/2051                                                         | CUSIP: 92343VGB4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    8661000 | PA      | $6287825.03    | 0.01%             | 2051-03-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF CHICAGO                                                           | UNIVERSITY OF CHICAGO 3% 10/01/2052                                                                 | CUSIP: 91412NBG4<br>LEI: 54930099Y7GU6182V326 | Long             | DBT              | CORP              | US        |    5027000 | PA      | $3469044.73    | 0.01%             | 2052-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2035#BQ3260                                                                    | CUSIP: 3140KNTS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     678448 | PA      | $646019.19     | 0.00%             | 2035-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2035#BQ6299                                                                    | CUSIP: 3140KR7M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1814719 | PA      | $1726843.90    | 0.00%             | 2035-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                  | MICROSOFT CORP 2.921% 03/17/2052                                                                    | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |   36922000 | PA      | $25099160.60   | 0.04%             | 2052-03-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                  | MICROSOFT CORP 3.041% 03/17/2062                                                                    | CUSIP: 594918CF9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    3278000 | PA      | $2124134.36    | 0.00%             | 2062-03-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 04/01/2036#SB8098                                                                      | CUSIP: 3132D57K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17243245 | PA      | $15992528.76   | 0.02%             | 2036-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 12/01/2035#SB8079                                                                      | CUSIP: 3132D56Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12970366 | PA      | $12086323.09   | 0.02%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 01/01/2036#RC1688                                                                      | CUSIP: 3133L72V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     466540 | PA      | $434740.81     | 0.00%             | 2036-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SCHWAB CHARLES CORP                                                             | SCHWAB CHARLES CORP 2% 03/20/2028                                                                   | CUSIP: 808513BP9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   16771000 | PA      | $16105498.54   | 0.02%             | 2028-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 01/01/2036#FM5585                                                                      | CUSIP: 3140X9F34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21967 | PA      | $20503.96      | 0.00%             | 2036-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 10/01/2035#BQ4965                                                                      | CUSIP: 3140KQQT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     352374 | PA      | $328356.58     | 0.00%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 03/01/2036#BR5089                                                                      | CUSIP: 3140L3UP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     426816 | PA      | $395857.21     | 0.00%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 07/20/2050#MA6768                                                                        | CUSIP: 36179VQV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55560 | PA      | $53618.29      | 0.00%             | 2050-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 01/20/2051#MA7137                                                                        | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     443255 | PA      | $400934.71     | 0.00%             | 2051-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 12/01/2035#FM6150                                                                      | CUSIP: 3140X9ZQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1390662 | PA      | $1293269.00    | 0.00%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 03/01/2036#BR7529                                                                      | CUSIP: 3140L6LK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359208 | PA      | $334051.80     | 0.00%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 01/01/2036#CB0000                                                                      | CUSIP: 3140QKAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     531775 | PA      | $494533.17     | 0.00%             | 2036-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CORP                                                               | TOYOTA MOTOR CORP 2.362% 03/25/2031                                                                 | CUSIP: 892331AN9<br>LEI: 5493006W3QUS5LMH6R84 | Long             | DBT              | CORP              | JP        |   10633000 | PA      | $9791614.75    | 0.01%             | 2031-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 08/01/2035#FM3313                                                                      | CUSIP: 3140X6VF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1347861 | PA      | $1258519.47    | 0.00%             | 2035-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 06/01/2035#SB8048                                                                      | CUSIP: 3132D55H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1003764 | PA      | $937230.64     | 0.00%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 2.875% 03/25/2031                                                                       | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   11675000 | PA      | $10586085.59   | 0.02%             | 2031-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 3.95% 03/25/2051                                                                        | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   10575000 | PA      | $7359000.90    | 0.01%             | 2051-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORP                                                     | AMERICAN HONDA FINANCE CORP 2% 03/24/2028                                                           | CUSIP: 02665WDW8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1911039.36    | 0.00%             | 2028-03-24      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| BANCO SANTANDER SA                                                              | BANCO SANTANDER SA 2.958% 03/25/2031                                                                | CUSIP: 05964HAM7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   14400000 | PA      | $13395628.37   | 0.02%             | 2031-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DTE ELEC CO                                                                     | DTE ELEC CO 1.9% 04/01/2028                                                                         | CUSIP: 23338VAN6<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    7800000 | PA      | $7460416.86    | 0.01%             | 2028-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2050#BQ2758                                                                      | CUSIP: 3140KNB49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142583 | PA      | $128450.76     | 0.00%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                    | ING GROEP NV 1.726%/VAR 04/01/2027                                                                  | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    7323000 | PA      | $7263119.83    | 0.01%             | 2027-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                    | ING GROEP NV 2.727%/VAR 04/01/2032                                                                  | CUSIP: 456837AW3<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    7404000 | PA      | $6838711.71    | 0.01%             | 2032-04-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 08/35#MA4095                                                                           | CUSIP: 31418DRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3890517 | PA      | $3632639.18    | 0.01%             | 2035-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 05/01/2035#BJ5584                                                                      | CUSIP: 3140H7F28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195336 | PA      | $182388.63     | 0.00%             | 2035-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 06/01/2035#BP8011                                                                      | CUSIP: 3140KF3V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     132489 | PA      | $123707.43     | 0.00%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2051#CB0072                                                                    | CUSIP: 3140QKCJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  122900384 | PA      | $105673535.40  | 0.16%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 04/51#MA7311                                                                             | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  189861713 | PA      | $158279849.79  | 0.23%             | 2051-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4% 03/01/2034#ZT1800                                                                      | CUSIP: 3132AD7M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13348 | PA      | $13394.80      | 0.00%             | 2034-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 05/01/2051#MA4325                                                                      | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  338538103 | PA      | $277694409.93  | 0.41%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                    | MEXICO UNITED MEXICAN STATES 4.28% 08/14/2041                                                       | CUSIP: 91087BAQ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   34799000 | PA      | $28117592.00   | 0.04%             | 2041-08-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC 2.4% 04/10/2028                                                            | CUSIP: 37045XDH6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1919138.26    | 0.00%             | 2028-04-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FIN INC                                                              | BROOKFIELD FIN INC 2.724% 04/15/2031                                                                | CUSIP: 11271LAH5<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |   19988000 | PA      | $18322637.02   | 0.03%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 03/01/2051#BR8853                                                                      | CUSIP: 3140L7ZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13720585 | PA      | $11254655.49   | 0.02%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 03/01/2051#BR8852                                                                    | CUSIP: 3140L7ZS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4897892 | PA      | $4211358.60    | 0.01%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY SOUTHN CALIF                                                         | UNIVERSITY SOUTHN CALIF 2.945% 10/01/2051                                                           | CUSIP: 914886AF3<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |    9096000 | PA      | $6049589.51    | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 04/51#CB0153                                                                           | CUSIP: 3140QKE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     345037 | PA      | $281084.63     | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NOVANT HEALTH INC                                                               | NOVANT HEALTH INC 3.168% 11/01/2051                                                                 | CUSIP: 66988AAH7<br>LEI: 549300ZUXEGFGE8EP917 | Long             | DBT              | CORP              | US        |    6588000 | PA      | $4517020.96    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 05/51#RA5155                                                                           | CUSIP: 3133KLWQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     682278 | PA      | $555817.66     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 05/01/2036#MA4329                                                                      | CUSIP: 31418DY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121139 | PA      | $112352.12     | 0.00%             | 2036-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 1.5% 03/51#MA4280                                                                         | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     528139 | PA      | $410208.07     | 0.00%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 04/01/2051#SD8140                                                                      | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   51378300 | PA      | $42144345.53   | 0.06%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2050#QB5949                                                                      | CUSIP: 3133ACTE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     934171 | PA      | $761022.19     | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 05/01/2051#SD8146                                                                      | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   68528458 | PA      | $56212194.55   | 0.08%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2048#CA1951                                                                      | CUSIP: 3140Q9EZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222451 | PA      | $215131.24     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2050#BQ2884                                                                    | CUSIP: 3140KNF29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43697 | PA      | $43313.00      | 0.00%             | 2050-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 02/051#MA7194                                                                            | CUSIP: 36179V7F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25031282 | PA      | $22625770.39   | 0.03%             | 2051-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 3.328%/VAR 04/22/2052                                                         | CUSIP: 46647PCE4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $3623286.20    | 0.01%             | 2052-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 2.615%/VAR 04/22/2032                                                 | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   24562000 | PA      | $22464243.58   | 0.03%             | 2032-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/01/2051#MA4326                                                                    | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   78544582 | PA      | $67535050.61   | 0.10%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 05/01/2051#SD8147                                                                    | CUSIP: 3132DWBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   78190548 | PA      | $67230641.73   | 0.10%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 09/01/2035#FM3755                                                                      | CUSIP: 3140X7E54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     779395 | PA      | $726272.30     | 0.00%             | 2035-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 01/01/2029#ZS8514                                                                    | CUSIP: 3132A9N78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3843 | PA      | $3816.94       | 0.00%             | 2029-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 04/01/2029#ZS8523                                                                    | CUSIP: 3132A9PG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2696 | PA      | $2677.07       | 0.00%             | 2029-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 07/01/2029#ZS8533                                                                    | CUSIP: 3132A9PS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6082 | PA      | $6037.66       | 0.00%             | 2029-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 01/01/2030#ZS8551                                                                    | CUSIP: 3132A9QC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6537 | PA      | $6487.65       | 0.00%             | 2030-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 04/01/2029#AL5241                                                                    | CUSIP: 3138EMZF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4914 | PA      | $4879.66       | 0.00%             | 2029-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 10/01/2028#AU7805                                                                    | CUSIP: 3138X7U76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2311 | PA      | $2295.49       | 0.00%             | 2028-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 06/01/2035#FM6980                                                                    | CUSIP: 3140XAXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1904513 | PA      | $1877405.40    | 0.00%             | 2035-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 3.311%/VAR 04/22/2042                                                   | CUSIP: 06051GJW0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   15200000 | PA      | $12161410.56   | 0.02%             | 2042-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 2.687%/VAR 04/22/2032                                                   | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    7115000 | PA      | $6550499.03    | 0.01%             | 2032-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 1.734%/VAR 07/22/2027                                                   | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   19987000 | PA      | $19676000.68   | 0.03%             | 2027-07-22      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 3.217%/VAR 04/22/2042                                                                | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   14442000 | PA      | $11414750.86   | 0.02%             | 2042-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 1.593%/VAR 05/04/2027                                                                | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   11397000 | PA      | $11272503.27   | 0.02%             | 2027-05-04      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| JAPAN INTERNATIONAL COOPERATION AGENCY                                          | JAPAN INTERNATL CO OPEA AGENCY 1.75% 04/28/2031                                                     | CUSIP: 47109LAE4<br>LEI: 254900XEIG78M2AJB031 | Long             | DBT              | NUSS              | JP        |    7910000 | PA      | $7083436.01    | 0.01%             | 2031-04-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 04/20/2051#MA7313                                                                        | CUSIP: 36179WDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6552748 | PA      | $5923027.85    | 0.01%             | 2051-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 01/20/2051#MA7141                                                                        | CUSIP: 36179V5A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27470 | PA      | $28074.16      | 0.00%             | 2051-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PROCTER and GAMBLE CO                                                           | PROCTER and GAMBLE CO 1.95% 04/23/2031                                                              | CUSIP: 742718FQ7<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |   14500000 | PA      | $13135339.32   | 0.02%             | 2031-04-23      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| FEDEX CORP                                                                      | FEDEX CORP 2.4% 05/15/2031                                                                          | CUSIP: 31428XCD6<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |    6900000 | PA      | $6248670.57    | 0.01%             | 2031-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| CITIGROUP INC                                                                   | CITIGROUP INC 2.561%/VAR 05/01/2032                                                                 | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   11986000 | PA      | $10906218.90   | 0.02%             | 2032-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: —       |
| INDIANA MICHIGAN POWER CO                                                       | INDIANA MICHIGAN POWER CO 3.25% 05/01/2051                                                          | CUSIP: 454889AU0<br>LEI: JHR9V15J0ZRG02MIRD06 | Long             | DBT              | CORP              | US        |    3867000 | PA      | $2636393.76    | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                                               | ITALY REPUBLIC OF 3.875% 05/06/2051                                                                 | CUSIP: 465410CC0<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    3300000 | PA      | $2488041.60    | 0.00%             | 2051-05-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2049#FM7075                                                                      | CUSIP: 3140XA2H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15146157 | PA      | $14661957.24   | 0.02%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EBAY INC                                                                        | EBAY INC 2.6% 05/10/2031                                                                            | CUSIP: 278642AY9<br>LEI: OML71K8X303XQONU6T67 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1831883.74    | 0.00%             | 2031-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| 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        |    4592216 | PA      | $3836950.58    | 0.01%             | 2050-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 03/20/2051#MA7256                                                                        | CUSIP: 36179WBZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4328926 | PA      | $3912915.58    | 0.01%             | 2051-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 12/20/2050#MA7054                                                                      | CUSIP: 36179VZT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     292653 | PA      | $272399.02     | 0.00%             | 2050-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 01/20/2051#MA7138                                                                      | CUSIP: 36179V4X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     172724 | PA      | $160770.41     | 0.00%             | 2051-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 02/20/2051#MA7195                                                                      | CUSIP: 36179V7G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6465895 | PA      | $6024459.22    | 0.01%             | 2051-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 03/20/2051#MA7257                                                                      | CUSIP: 36179WB23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     522405 | PA      | $486739.39     | 0.00%             | 2051-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 12/20/2050#MA7055                                                                        | CUSIP: 36179VZU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     768163 | PA      | $739872.96     | 0.00%             | 2050-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 01/20/2051#MA7139                                                                        | CUSIP: 36179V4Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1287054 | PA      | $1238448.04    | 0.00%             | 2051-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 03/20/2051#MA7258                                                                        | CUSIP: 36179WB31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112611 | PA      | $108463.44     | 0.00%             | 2051-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 12/20/2050#MA7056                                                                      | CUSIP: 36179VZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     698409 | PA      | $696132.59     | 0.00%             | 2050-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 01/20/2051#MA7140                                                                      | CUSIP: 36179V4Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92495 | PA      | $92454.07      | 0.00%             | 2051-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 05/20/2051#MA7367                                                                      | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   86416972 | PA      | $75045846.95   | 0.11%             | 2051-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 1.68% 10/30/2030                                                         | CUSIP: 92343VFX7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2665000 | PA      | $2362174.72    | 0.00%             | 2030-10-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 2.987% 10/30/2056                                                        | CUSIP: 92343VFW9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   69319000 | PA      | $42349820.57   | 0.06%             | 2056-10-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.375% 05/15/2051                                                       | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  188570400 | PA      | $122659152.38  | 0.18%             | 2051-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.625% 05/15/2031                                                                         | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30670000 | PA      | $27618574.53   | 0.04%             | 2031-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GE CAPITAL FUNDING LLC                                                          | GE CAPITAL FUNDING LLC 4.4% 05/15/2030                                                              | CUSIP: 36166NAJ2<br>LEI: 549300XAGH9TOLX5XM67 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5002971.40    | 0.01%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FIN CORP                                                              | BUNGE LTD FIN CORP 2.75% 05/14/2031                                                                 | CUSIP: 120568BC3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1844711.64    | 0.00%             | 2031-05-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | AMAZON.COM INC 2.1% 05/12/2031                                                                      | CUSIP: 023135BZ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    7251000 | PA      | $6563846.88    | 0.01%             | 2031-05-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | AMAZON.COM INC 3.1% 05/12/2051                                                                      | CUSIP: 023135CB0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    5251000 | PA      | $3628071.17    | 0.01%             | 2051-05-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | AMAZON.COM INC 2.875% 05/12/2041                                                                    | CUSIP: 023135CA2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   27600000 | PA      | $21327479.10   | 0.03%             | 2041-05-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 04/01/2051#BR3771                                                                      | CUSIP: 3140L2FM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5673746 | PA      | $4622118.40    | 0.01%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/01/2051#CB0455                                                                    | CUSIP: 3140QKQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29294 | PA      | $25188.11      | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#BN4428                                                                    | CUSIP: 3140JL4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25571 | PA      | $25442.38      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2050#MA4118                                                                    | CUSIP: 31418DSG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     332821 | PA      | $329899.65     | 0.00%             | 2050-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2048#ZM5865                                                                    | CUSIP: 3131Y0QS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47101 | PA      | $46952.45      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2050#MA4195                                                                    | CUSIP: 31418DUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21132 | PA      | $20946.93      | 0.00%             | 2050-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2050#FM5036                                                                      | CUSIP: 3140X8S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225204 | PA      | $217652.28     | 0.00%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2048#CA2374                                                                      | CUSIP: 3140Q9T86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86537 | PA      | $83689.09      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2050#FM5750                                                                      | CUSIP: 3140X9L86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184389 | PA      | $177745.06     | 0.00%             | 2050-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2049#BO0983                                                                      | CUSIP: 3140JVCV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187854 | PA      | $181437.93     | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2050#CA6422                                                                      | CUSIP: 3140QED41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1138485 | PA      | $1025642.09    | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                              | VORNADO REALTY LP 3.4% 06/01/2031                                                                   | CUSIP: 929043AL1<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1809130.66    | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GALLAGHER (ARTHUR J.) and CO                                                    | GALLAGHER (ARTHUR J.) and CO 3.5% 05/20/2051                                                        | CUSIP: 363576AB5<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $853302.61     | 0.00%             | 2051-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.25% 05/15/2041                                                        | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  172934300 | PA      | $129775033.14  | 0.19%             | 2041-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 05/20/2051#MA7372                                                                        | CUSIP: 36179WFM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37915 | PA      | $38843.16      | 0.00%             | 2051-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 06/36#SB8106                                                                         | CUSIP: 3132D6AF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     320675 | PA      | $290374.60     | 0.00%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 04/01/2036#MA4302                                                                    | CUSIP: 31418DX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     454485 | PA      | $411966.13     | 0.00%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 02/01/2035#SB8032                                                                      | CUSIP: 3132D54R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     851040 | PA      | $827254.19     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 2.804%/VAR 05/24/2032                                                             | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   22528000 | PA      | $20635043.80   | 0.03%             | 2032-05-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 2.3% 05/15/2031                                                              | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    2662000 | PA      | $2408295.29    | 0.00%             | 2031-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 3.05% 05/15/2041                                                             | CUSIP: 91324PEE8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   16300000 | PA      | $12540173.87   | 0.02%             | 2041-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 3.25% 05/15/2051                                                             | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    3045000 | PA      | $2101391.37    | 0.00%             | 2051-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                              | ESSEX PORTFOLIO LP 2.55% 06/15/2031                                                                 | CUSIP: 29717PAZ0<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1813602.14    | 0.00%             | 2031-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 1.5% 05/20/2051#MA7365                                                                      | CUSIP: 36179WFE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3449312 | PA      | $2754837.19    | 0.00%             | 2051-05-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 1.5% 03/20/2051#MA7253                                                                      | CUSIP: 36179WBW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     598311 | PA      | $477849.10     | 0.00%             | 2051-03-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                              | UNION PACIFIC CORP 2.375% 05/20/2031                                                                | CUSIP: 907818FU7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1839886.80    | 0.00%             | 2031-05-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| ATHENE HOLDING LTD                                                              | ATHENE HOLDING LTD 3.95% 05/25/2051                                                                 | CUSIP: 04686JAD3<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1416904.46    | 0.00%             | 2051-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| UST NOTES                                                                       | UST NOTES 1.25% 05/31/2028                                                                          | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   78200900 | PA      | $74040368.13   | 0.11%             | 2028-05-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 4.375% 04/15/2040                                                                  | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    6689000 | PA      | $6096064.97    | 0.01%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 2.05% 02/15/2028                                                                   | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   11928000 | PA      | $11428883.81   | 0.02%             | 2028-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 4.5% 04/15/2050                                                                    | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   11522000 | PA      | $9699277.67    | 0.01%             | 2050-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 3.75% 04/15/2027                                                                   | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    6689000 | PA      | $6658499.30    | 0.01%             | 2027-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 3.875% 04/15/2030                                                                  | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   14289000 | PA      | $14075198.84   | 0.02%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 3.3% 02/15/2051                                                                    | CUSIP: 87264ABN4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   11928000 | PA      | $8150102.05    | 0.01%             | 2051-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 06/20/2051#MA7417                                                                        | CUSIP: 36179WG28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   46009118 | PA      | $38355897.28   | 0.06%             | 2051-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                  | DEUTSCHE BANK AG NEW YORK BNCH 3.035%/VAR 05/28/2032                                                | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    9100000 | PA      | $8375460.37    | 0.01%             | 2032-05-28      | Variable      | 0.03%                 | No            |                  2 | On Loan: —       |
| ASTRAZENECA FINANCE LLC                                                         | ASTRAZENECA FINANCE LLC 2.25% 05/28/2031                                                            | CUSIP: 04636NAB9<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |    7008000 | PA      | $6394282.95    | 0.01%             | 2031-05-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 05/01/2051#RA5077                                                                    | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2560166 | PA      | $2225311.24    | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 1.5% 12/01/2050#CA8222                                                                    | CUSIP: 3140QGD46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33454615 | PA      | $25984376.82   | 0.04%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 05/01/2051#BT2638                                                                      | CUSIP: 3140LQ4Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11646657 | PA      | $9582580.21    | 0.01%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 06/20/2051#MA7418                                                                      | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   78441090 | PA      | $68119466.36   | 0.10%             | 2051-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 01/01/2036#QN5018                                                                      | CUSIP: 3133GBSF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     464525 | PA      | $431992.29     | 0.00%             | 2036-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                    | NEXTERA ENERGY CAP HLDGS INC 1.9% 06/15/2028                                                        | CUSIP: 65339KBW9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    9666000 | PA      | $9190944.90    | 0.01%             | 2028-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2050#BP6466                                                                      | CUSIP: 3140KEFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     284736 | PA      | $255890.63     | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLUE OWL CAPITAL CORP                                                           | BLUE OWL CAPITAL CORP 2.875% 06/11/2028                                                             | CUSIP: 69121KAG9<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |    6800000 | PA      | $6409731.54    | 0.01%             | 2028-06-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 2.087%/VAR 06/14/2029                                                   | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4543000 | PA      | $4331871.34    | 0.01%             | 2029-06-14      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 06/51#RA5373                                                                           | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3879996 | PA      | $3211764.12    | 0.00%             | 2051-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS and ELECTRIC CO                                                   | BALTIMORE GAS and ELECTRIC CO 2.25% 06/15/2031                                                      | CUSIP: 059165EN6<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1810592.32    | 0.00%             | 2031-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 05/51#MA7368                                                                             | CUSIP: 36179WFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8056366 | PA      | $7274091.22    | 0.01%             | 2051-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KAISER FNDTN HOSPS                                                              | KAISER FNDTN HOSPS 2.81% 06/01/2041                                                                 | CUSIP: 48305QAF0<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $1879160.58    | 0.00%             | 2041-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 07/51#MA4378                                                                           | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2184524 | PA      | $1791910.98    | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KAISER FNDTN HOSPS                                                              | KAISER FNDTN HOSPS 3.002% 06/01/2051                                                                | CUSIP: 48305QAG8<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1005434.99    | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/50#SD8100                                                                           | CUSIP: 3132DV7M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     997648 | PA      | $895958.85     | 0.00%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 06/50#BP5441                                                                           | CUSIP: 3140KDBK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9750 | PA      | $8762.50       | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/01/2050#SD8108                                                                      | CUSIP: 3132DWAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1212034 | PA      | $1088492.65    | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2051#FM7460                                                                      | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128364 | PA      | $124060.01     | 0.00%             | 2051-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2050#FM3663                                                                      | CUSIP: 3140X7B99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3510506 | PA      | $3388406.66    | 0.00%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2051#MA4257                                                                      | CUSIP: 31418DWT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48602 | PA      | $43617.66      | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2048#BK7355                                                                    | CUSIP: 3140HME59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20822 | PA      | $20743.63      | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2049#FM1051                                                                    | CUSIP: 3140X4EZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6421 | PA      | $6388.89       | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2048#BK7660                                                                    | CUSIP: 3140HMQN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     489385 | PA      | $487383.04     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 02/01/2050#QA6574                                                                      | CUSIP: 3133A1JT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     267876 | PA      | $242497.03     | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 06/01/2051#MA4355                                                                      | CUSIP: 31418DZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10965299 | PA      | $8994562.48    | 0.01%             | 2051-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA INC                                                      | BP CAP MARKETS AMERICA INC 3.06% 06/17/2041                                                         | CUSIP: 10373QBR0<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    6766000 | PA      | $5209329.33    | 0.01%             | 2041-06-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 07/01/2036#MA4383                                                                      | CUSIP: 31418D2R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25510 | PA      | $23635.37      | 0.00%             | 2036-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                                     | NVIDIA CORP 2% 06/15/2031                                                                           | CUSIP: 67066GAN4<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |   20182000 | PA      | $18244429.92   | 0.03%             | 2031-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| EXPEDIA GROUP INC                                                               | EXPEDIA GROUP INC 2.95% 03/15/2031                                                                  | CUSIP: 30212PBH7<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1859792.38    | 0.00%             | 2031-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                               | EXPEDIA GROUP INC 4.625% 08/01/2027                                                                 | CUSIP: 30212PBK0<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2012898.90    | 0.00%             | 2027-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| NEW YORK ST DORM AUTH ST PERSINCOME TAX REV                                     | NEW YORK ST D 2.202% 3/15/2034                                                                      | CUSIP: 64990FE42<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   16190000 | PA      | $13797017.62   | 0.02%             | 2034-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| IDAHO ENERGY RES AUTH TRANSMISSION FACS REV                                     | IDAHO ENERGY RE 2.861% 9/1/2046                                                                     | CUSIP: 451174AX4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2955000 | PA      | $2156980.38    | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.25% 06/30/2028                                                                          | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  329982900 | PA      | $311846729.63  | 0.46%             | 2028-06-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 1.5% 04/20/2051#MA7310                                                                      | CUSIP: 36179WDP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1807932 | PA      | $1443927.73    | 0.00%             | 2051-04-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2050#CA5696                                                                    | CUSIP: 3140QDKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15233 | PA      | $15103.82      | 0.00%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 04/01/2051#SD8142                                                                      | CUSIP: 3132DWBK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     180903 | PA      | $162181.25     | 0.00%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2050#MA4211                                                                      | CUSIP: 31418DVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129500 | PA      | $116219.35     | 0.00%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 8.1% 07/15/2036                                                                  | CUSIP: 24703TAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8303000 | PA      | $10124347.16   | 0.01%             | 2036-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 8.35% 07/15/2046                                                                 | CUSIP: 24703TAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9542000 | PA      | $12314421.71   | 0.02%             | 2046-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 5.3% 10/01/2029                                                                  | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   19994000 | PA      | $20650228.27   | 0.03%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 4.9% 10/01/2026                                                                  | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7506000 | PA      | $7546224.58    | 0.01%             | 2026-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXPORT IMPORT BANK KOREA                                                        | EXPORT IMPORT BANK KOREA 1.125% 12/29/2026                                                          | CUSIP: 302154DJ5<br>LEI: 549300APVP4R32PI3Y06 | Long             | DBT              | CORP              | KR        |    3300000 | PA      | $3204387.15    | 0.00%             | 2026-12-29      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                                                      | LEIDOS INC 2.3% 02/15/2031                                                                          | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1170598.94    | 0.00%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIALS INC                                                   | MARTIN MARIETTA MATERIALS INC 2.4% 07/15/2031                                                       | CUSIP: 573284AW6<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1809911.50    | 0.00%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MICHIGAN ST STRATEGIC FD LTD OBLIG REV                                          | MI STRAT FND 3.225% 9/1/2047                                                                        | CUSIP: 594698SJ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    6815000 | PA      | $5283694.03    | 0.01%             | 2047-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                      | CITIZENS FINANCIAL GRP INC 2.638% 09/30/2032                                                        | CUSIP: 174610AW5<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    3302000 | PA      | $2847231.13    | 0.00%             | 2032-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| SALESFORCE INC                                                                  | SALESFORCE INC 1.95% 07/15/2031                                                                     | CUSIP: 79466LAJ3<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |   10300000 | PA      | $9204784.42    | 0.01%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| SALESFORCE INC                                                                  | SALESFORCE INC 2.7% 07/15/2041                                                                      | CUSIP: 79466LAK0<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $8817902.52    | 0.01%             | 2041-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 07/01/2051#SD8156                                                                    | CUSIP: 3132DWBZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40911200 | PA      | $35074431.62   | 0.05%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 07/20/2051#MA7471                                                                        | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  178889650 | PA      | $149132895.25  | 0.22%             | 2051-07-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MSC 2021-L6                                                                     | MORGAN STANLEY CAPITAL I L6 A4 CSTR 06/15/2054                                                      | CUSIP: 61692CBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6181000 | PA      | $5541193.56    | 0.01%             | 2054-06-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                             | NOMURA HOLDINGS INC 2.608% 07/14/2031                                                               | CUSIP: 65535HAX7<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    1000000 | PA      | $905891.06     | 0.00%             | 2031-07-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                      | MIZUHO FINL GROUP INC 2.26%/VAR 07/09/2032                                                          | CUSIP: 60687YBT5<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    9086000 | PA      | $8113110.83    | 0.01%             | 2032-07-09      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                      | MIZUHO FINL GROUP INC 1.554%/VAR 07/09/2027                                                         | CUSIP: 60687YBS7<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    9183000 | PA      | $9040424.37    | 0.01%             | 2027-07-09      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 08/01/2051#MA4398                                                                      | CUSIP: 31418D3G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8231601 | PA      | $6752178.47    | 0.01%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 08/01/2051#                                                                            | CUSIP: 3132DWB51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39237078 | PA      | $32185202.28   | 0.05%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 08/01/2051#MA4399                                                                    | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10702701 | PA      | $9175755.06    | 0.01%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST UNIV REV                                                          | CA ST UNIV REV 2.719% 11/1/2052                                                                     | CUSIP: 13077DRW4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    6750000 | PA      | $4520489.18    | 0.01%             | 2052-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 05/51#SD7541                                                                           | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1406547 | PA      | $1170897.78    | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | MITSUBISHI UFJ FIN GRP INC 1.538%/VAR 07/20/2027                                                    | CUSIP: 606822BY9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    8941000 | PA      | $8793446.68    | 0.01%             | 2027-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | MITSUBISHI UFJ FIN GRP INC 2.309%/VAR 07/20/2032                                                    | CUSIP: 606822BX1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    8700000 | PA      | $7794101.89    | 0.01%             | 2032-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 07/01/2051#RA5561                                                                      | CUSIP: 3133KMFA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39859603 | PA      | $32932510.32   | 0.05%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 07/20/2051#MA7472                                                                      | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  101009654 | PA      | $87718359.62   | 0.13%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2049#BN6476                                                                    | CUSIP: 3140JPFS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7998 | PA      | $7955.43       | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2049#ZN4293                                                                    | CUSIP: 3131YAXW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29591 | PA      | $29433.34      | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 02/01/2049#ZN3568                                                                    | CUSIP: 3131Y96D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     145239 | PA      | $144690.49     | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2049#BN6115                                                                    | CUSIP: 3140JNYM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90853 | PA      | $89895.99      | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2049#BO0977                                                                    | CUSIP: 3140JVCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57534 | PA      | $57136.83      | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 1.5% 12/01/2050#RA4210                                                                    | CUSIP: 3133KKVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13335188 | PA      | $10357511.58   | 0.02%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 1.5% 11/01/2050#CA7695                                                                    | CUSIP: 3140QFRR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23426967 | PA      | $18254416.79   | 0.03%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 1.5% 12/01/2050#CA8090                                                                    | CUSIP: 3140QF7C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14389952 | PA      | $11176751.90   | 0.02%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 1.5% 09/01/2050#SD8081                                                                    | CUSIP: 3132DV6S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29621526 | PA      | $23081250.37   | 0.03%             | 2050-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 1.5% 11/01/2050#CA7696                                                                    | CUSIP: 3140QFRS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34876737 | PA      | $27176138.57   | 0.04%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 12/01/2049#BO6205                                                                      | CUSIP: 3140K13P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     521037 | PA      | $529375.08     | 0.00%             | 2049-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2050#SD8086                                                                      | CUSIP: 3132DV6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48814 | PA      | $47024.28      | 0.00%             | 2050-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2048#ZM7731                                                                      | CUSIP: 3131Y2SU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18653 | PA      | $18039.55      | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2048#BJ0685                                                                      | CUSIP: 3140H1XP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41435 | PA      | $40110.72      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2049#BN5381                                                                      | CUSIP: 3140JM6T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52094 | PA      | $50314.98      | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2048#BK3609                                                                      | CUSIP: 3140HHAK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73036 | PA      | $70701.17      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2045#BA7255                                                                      | CUSIP: 3140ECBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80594 | PA      | $78708.83      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2048#CA2471                                                                      | CUSIP: 3140Q9W90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198251 | PA      | $191665.21     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 08/01/2051#SD8161                                                                    | CUSIP: 3132DWB69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   66112140 | PA      | $56679973.60   | 0.08%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 08/01/2050#CA6833                                                                    | CUSIP: 3140QESX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     419243 | PA      | $361264.34     | 0.00%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 07/01/2051#BT4959                                                                    | CUSIP: 3140LTQM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8123263 | PA      | $6964323.14    | 0.01%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 07/36#SB8111                                                                           | CUSIP: 3132D6AL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62528 | PA      | $57934.25      | 0.00%             | 2036-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 08/01/2036#MA4403                                                                      | CUSIP: 31418D3M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28036 | PA      | $25967.20      | 0.00%             | 2036-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2050#FM7476                                                                    | CUSIP: 3140XBJW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     325229 | PA      | $322679.33     | 0.00%             | 2050-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 05/01/2051#FM7751                                                                      | CUSIP: 3140XBTH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2929776 | PA      | $2386742.97    | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 2.383%/VAR 07/21/2032                                                 | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   22445000 | PA      | $20182942.17   | 0.03%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY VA UNIV REVS                                                         | UNIV VA REV 2.584% 11/1/2051                                                                        | CUSIP: 915217XM0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1885000 | PA      | $1190561.66    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2050#FM7827                                                                      | CUSIP: 3140XBVV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1298707 | PA      | $1169577.20    | 0.00%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 2.299%/VAR 07/21/2032                                                   | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    7772000 | PA      | $6971786.72    | 0.01%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 2.972%/VAR 07/21/2052                                                   | CUSIP: 06051GKB4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    7772000 | PA      | $5236505.70    | 0.01%             | 2052-07-21      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 1.512%/VAR 07/20/2027                                                                | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    7810000 | PA      | $7680317.37    | 0.01%             | 2027-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 2.239%/VAR 07/21/2032                                                                | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   21895000 | PA      | $19527521.24   | 0.03%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CAPTIAL ONE MULTI-ASSET EXECUT                                                  | CAPITAL ONE MULTI-ASST EXEC TR 1.39% 07/15/2030                                                     | CUSIP: 14041NFX4<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-CBDO         | CORP              | US        |   13710000 | PA      | $12886839.26   | 0.02%             | 2030-07-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 2.5% 04/01/2030#FM7132                                                                    | CUSIP: 3140XA4S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     282755 | PA      | $277043.89     | 0.00%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                              | ROYALTY PHARMA PLC 3.35% 09/02/2051                                                                 | CUSIP: 78081BAP8<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    8800000 | PA      | $5954608.35    | 0.01%             | 2051-09-02      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2051#FM8077                                                                      | CUSIP: 3140XB6P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22385 | PA      | $20124.19      | 0.00%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2051#SD8163                                                                    | CUSIP: 3132DWB85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15287 | PA      | $14257.46      | 0.00%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 1.5% 12/20/2050#MA7050                                                                      | CUSIP: 36179VZP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     407935 | PA      | $326057.41     | 0.00%             | 2050-12-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                                                      | VMWARE LLC 1.4% 08/15/2026                                                                          | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   22344000 | PA      | $21950773.31   | 0.03%             | 2026-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK NEW YORK MELLON CORP                                                       | BANK NEW YORK MELLON CORP 1.8% 07/28/2031                                                           | CUSIP: 06406RAW7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   16619000 | PA      | $14696134.00   | 0.02%             | 2031-07-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                               | CHILE REPUBLIC OF 2.55% 07/27/2033                                                                  | CUSIP: 168863DT2<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   24746000 | PA      | $21504274.00   | 0.03%             | 2033-07-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 08/20/2051#MA7534                                                                      | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25694115 | PA      | $22313170.45   | 0.03%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                              | AUTONATION INC DEL 2.4% 08/01/2031                                                                  | CUSIP: 05329WAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1000000 | PA      | $882767.38     | 0.00%             | 2031-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2046#BM5679                                                                    | CUSIP: 3140JAJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2028047 | PA      | $1931797.90    | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 2.359%/VAR 07/29/2032                                                          | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $2884274.28    | 0.00%             | 2032-07-29      | Variable      | 0.02%                 | No            |                  2 | On Loan: —       |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 07/51#MA7473                                                                             | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     358708 | PA      | $324012.00     | 0.00%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BN35                                                                  | BANK 2021-BN35 2.285% 06/15/2064                                                                    | CUSIP: 06540CBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16432831 | PA      | $14664990.33   | 0.02%             | 2064-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 2.625% 08/01/2031                                                                      | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   14500000 | PA      | $12424490.30   | 0.02%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                      | HUMANA INC 1.35% 02/03/2027                                                                         | CUSIP: 444859BQ4<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   10039000 | PA      | $9717796.37    | 0.01%             | 2027-02-03      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DR HORTON INC                                                                   | DR HORTON INC 1.3% 10/15/2026                                                                       | CUSIP: 23331ABQ1<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1954009.16    | 0.00%             | 2026-10-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                      | HUMANA INC 2.15% 02/03/2032                                                                         | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   11863000 | PA      | $10299161.69   | 0.02%             | 2032-02-03      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| APPLE INC                                                                       | APPLE INC 1.7% 08/05/2031                                                                           | CUSIP: 037833EJ5<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    7886000 | PA      | $7016791.83    | 0.01%             | 2031-08-05      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| APPLE INC                                                                       | APPLE INC 2.85% 08/05/2061                                                                          | CUSIP: 037833EL0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    7887000 | PA      | $4821397.95    | 0.01%             | 2061-08-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 06/20/2051#MA7419                                                                        | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20875605 | PA      | $18849884.04   | 0.03%             | 2051-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 1.5% 10/01/2050#MA4157                                                                    | CUSIP: 31418DTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126133 | PA      | $98283.20      | 0.00%             | 2050-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2% 09/01/2041#                                                                            | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  165727130 | PA      | $145554342.78  | 0.21%             | 2041-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                             | CONSUMERS ENERGY CO 2.65% 08/15/2052                                                                | CUSIP: 210518DN3<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    5707000 | PA      | $3649910.37    | 0.01%             | 2052-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                         | AEP TRANSMISSION CO LLC 2.75% 08/15/2051                                                            | CUSIP: 00115AAN9<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    5703000 | PA      | $3590197.84    | 0.01%             | 2051-08-15      | 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 1.723% 06/25/2031                                                    | CUSIP: 3137H1YS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8168083 | PA      | $7265102.24    | 0.01%             | 2031-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2049#CA4424                                                                      | CUSIP: 3140QB4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1293582 | PA      | $1164961.76    | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ERP OPERATING LP                                                                | ERP OPERATING LP 1.85% 08/01/2031                                                                   | CUSIP: 26884ABN2<br>LEI: DX5HQV5MLU50FEWZ5072 | Long             | DBT              | CORP              | US        |   14500000 | PA      | $12776277.12   | 0.02%             | 2031-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| UST NOTES                                                                       | UST NOTES 1.25% 08/15/2031                                                                          | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  214724400 | PA      | $188034827.02  | 0.28%             | 2031-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2% 08/15/2051                                                           | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  272799800 | PA      | $161580600.97  | 0.24%             | 2051-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                        | RTX CORP 1.9% 09/01/2031                                                                            | CUSIP: 75513ECM1<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    9570000 | PA      | $8424314.91    | 0.01%             | 2031-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2050#BP2767                                                                      | CUSIP: 3140KACD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119207 | PA      | $107130.88     | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | AMGEN INC 1.65% 08/15/2028                                                                          | CUSIP: 031162DB3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   15418000 | PA      | $14505340.28   | 0.02%             | 2028-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| AMGEN INC                                                                       | AMGEN INC 2.8% 08/15/2041                                                                           | CUSIP: 031162DA5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   15756000 | PA      | $11681902.23   | 0.02%             | 2041-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MID AMERICA APTS LP                                                             | MID AMERICA APTS LP 1.1% 09/15/2026                                                                 | CUSIP: 59523UAT4<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1955375.90    | 0.00%             | 2026-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WESTLAKE CORP                                                                   | WESTLAKE CORP 3.125% 08/15/2051                                                                     | CUSIP: 960413AZ5<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $4008554.81    | 0.01%             | 2051-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2045#FM1067                                                                    | CUSIP: 3140X4FH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14504263 | PA      | $13667684.30   | 0.02%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2030#FM1536                                                                    | CUSIP: 3140X4V60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337770 | PA      | $333343.75     | 0.00%             | 2030-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNILEVER CAPITAL CORP                                                           | UNILEVER CAPITAL CORP 1.75% 08/12/2031                                                              | CUSIP: 904764BQ9<br>LEI: MYF1DAS6G5WY7PRWCU78 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1767260.26    | 0.00%             | 2031-08-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 08/01/2045#AS5709                                                                      | CUSIP: 3138WFKX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9105962 | PA      | $8325765.69    | 0.01%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                      | INTEL CORP 2% 08/12/2031                                                                            | CUSIP: 458140BU3<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    7124000 | PA      | $6273890.30    | 0.01%             | 2031-08-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| MOODYS CORP                                                                     | MOODYS CORP 2% 08/19/2031                                                                           | CUSIP: 615369AW5<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1243234.73    | 0.00%             | 2031-08-19      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| PNC FINANCIAL SERVICES GRP INC                                                  | PNC FINANCIAL SERVICES GRP INC 1.15% 08/13/2026                                                     | CUSIP: 693475BB0<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   10008000 | PA      | $9814965.80    | 0.01%             | 2026-08-13      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                      | INTEL CORP 3.05% 08/12/2051                                                                         | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    7124000 | PA      | $4501992.42    | 0.01%             | 2051-08-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2050#FM8397                                                                    | CUSIP: 3140XCKK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10597 | PA      | $10524.13      | 0.00%             | 2050-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/01/2049#CA3528                                                                      | CUSIP: 3140QA4N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2481 | PA      | $2525.73       | 0.00%             | 2049-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 12/01/2049#FM3155                                                                      | CUSIP: 3140X6QH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     367935 | PA      | $374742.34     | 0.00%             | 2049-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2049#FM7819                                                                      | CUSIP: 3140XBVM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38980 | PA      | $39701.26      | 0.00%             | 2049-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/01/2048#ZT2222                                                                      | CUSIP: 3132AEPF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     300506 | PA      | $290617.64     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2047#AS9994                                                                    | CUSIP: 3138WLC84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58944 | PA      | $59089.94      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2050#FM7475                                                                    | CUSIP: 3140XBJV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12308 | PA      | $12257.72      | 0.00%             | 2050-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2048#ZN1387                                                                    | CUSIP: 3131Y7RG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12998 | PA      | $12932.62      | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#BK8732                                                                    | CUSIP: 3140HNV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     252587 | PA      | $251316.61     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#BN0329                                                                    | CUSIP: 3140JGLK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1175187 | PA      | $1169277.59    | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2049#CA6449                                                                    | CUSIP: 3140QEEX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5415 | PA      | $5377.93       | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2048#BJ2751                                                                    | CUSIP: 3140H4BV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1106153 | PA      | $1101973.24    | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2049#BO2171                                                                    | CUSIP: 3140JWMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20471 | PA      | $20361.69      | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2048#ZM6088                                                                    | CUSIP: 3131Y0XR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53358 | PA      | $52897.93      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/01/2050#SD8095                                                                    | CUSIP: 3132DV7G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     307414 | PA      | $304715.33     | 0.00%             | 2050-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 12/01/2048#ZT2220                                                                      | CUSIP: 3132AEPD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76221 | PA      | $73665.25      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 09/01/2051#SD8166                                                                      | CUSIP: 3132DWCB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28007184 | PA      | $22964845.83   | 0.03%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2050#CA6444                                                                      | CUSIP: 3140QEES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118405 | PA      | $114064.84     | 0.00%             | 2050-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2049#FM1540                                                                      | CUSIP: 3140X4WA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104007 | PA      | $100455.00     | 0.00%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2051#FM8302                                                                      | CUSIP: 3140XCGL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     474333 | PA      | $457834.88     | 0.00%             | 2051-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 09/01/2051#MA4413                                                                      | CUSIP: 31418D3X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2952648 | PA      | $2421061.54    | 0.00%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                      | INTEL CORP 2.8% 08/12/2041                                                                          | CUSIP: 458140BV1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $7094826.90    | 0.01%             | 2041-08-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2049#FM8409                                                                      | CUSIP: 3140XCKX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     753490 | PA      | $728696.04     | 0.00%             | 2049-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 4% 02/01/2039#ZA6289                                                                      | CUSIP: 31329P7A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28201 | PA      | $27925.12      | 0.00%             | 2039-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2048#BJ9969                                                                      | CUSIP: 3140HCCF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1109711 | PA      | $1074235.13    | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2049#FM7972                                                                      | CUSIP: 3140XB2E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52433 | PA      | $50707.37      | 0.00%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/01/2050#SD8070                                                                      | CUSIP: 3132DV6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72478 | PA      | $69843.44      | 0.00%             | 2050-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 01/01/2049#ZA6282                                                                      | CUSIP: 31329P6T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     578436 | PA      | $559040.34     | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2047#CA0619                                                                      | CUSIP: 3140Q7VM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87223 | PA      | $84489.04      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/01/2048#ZM6818                                                                      | CUSIP: 3131Y1SF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107133 | PA      | $103607.80     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2049#CA4030                                                                      | CUSIP: 3140QBPQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     438668 | PA      | $423410.99     | 0.00%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2048#ZM6683                                                                      | CUSIP: 3131Y1M80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     704005 | PA      | $681498.88     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 09/01/2051#MA4414                                                                    | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34507323 | PA      | $29584190.92   | 0.04%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 08/01/2051#QC4951                                                                    | CUSIP: 3133APQC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     629858 | PA      | $541965.27     | 0.00%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 1.75% 08/15/2041                                                        | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  185755300 | PA      | $127830121.41  | 0.19%             | 2041-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 11/01/2050#FM4780                                                                    | CUSIP: 3140X8J24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     449079 | PA      | $386412.76     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 11/01/2050#CA7600                                                                    | CUSIP: 3140QFNS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161591 | PA      | $139042.12     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 07/01/2050#RA2959                                                                    | CUSIP: 3133KJJC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160318 | PA      | $138147.23     | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 2.5% 02/01/2031#                                                                          | CUSIP: 3140XCNU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     545912 | PA      | $537252.47     | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 04/01/2036#                                                                          | CUSIP: 3140XCNV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9690493 | PA      | $9269696.77    | 0.01%             | 2036-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 03/01/2029#FM1301                                                                    | CUSIP: 3140X4NT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143465 | PA      | $141585.44     | 0.00%             | 2029-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                            | LXP INDUSTRIAL TRUST 2.375% 10/01/2031                                                              | CUSIP: 529537AA0<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    2417000 | PA      | $2112580.64    | 0.00%             | 2031-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 1.5% 02/51#MA7191                                                                           | CUSIP: 36179V7C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     336672 | PA      | $268887.56     | 0.00%             | 2051-02-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.125% 08/31/2028                                                                         | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   64237900 | PA      | $60283254.28   | 0.09%             | 2028-08-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 09/20/2051#MA7588                                                                        | CUSIP: 36179WND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13422977 | PA      | $11190180.01   | 0.02%             | 2051-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2050#FM8356                                                                      | CUSIP: 3140XCJA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     618630 | PA      | $629689.53     | 0.00%             | 2050-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 09/20/2051#MA7589                                                                      | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11602607 | PA      | $10075884.66   | 0.01%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 3.5% 09/15/2053                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   25048000 | PA      | $17233201.34   | 0.03%             | 2053-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 3.65% 09/15/2059                                                                       | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   31190000 | PA      | $21263144.98   | 0.03%             | 2059-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | ENTERPRISE PRODS OPER LLC 3.3% 02/15/2053                                                           | CUSIP: 29379VCB7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    3026000 | PA      | $2070513.90    | 0.00%             | 2053-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC.                                                          | TEXAS INSTRUMENTS INC 1.9% 09/15/2031                                                               | CUSIP: 882508BL7<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1781301.12    | 0.00%             | 2031-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| REVVITY INC                                                                     | REVVITY INC 2.25% 09/15/2031                                                                        | CUSIP: 714046AN9<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |    5519000 | PA      | $4872268.24    | 0.01%             | 2031-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| SUZANO AUSTRIA GMBH                                                             | SUZANO AUSTRIA GMBH 2.5% 09/15/2028                                                                 | CUSIP: 86964WAL6<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |   11930000 | PA      | $11248797.00   | 0.02%             | 2028-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 10/01/2036#                                                                            | CUSIP: 3132D6AY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     510961 | PA      | $473100.91     | 0.00%             | 2036-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 3.55% 09/15/2055                                                                       | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   54468000 | PA      | $37327224.88   | 0.05%             | 2055-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                              | CENOVUS ENERGY INC 2.65% 01/15/2032                                                                 | CUSIP: 15135UAW9<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |    5664000 | PA      | $5048417.22    | 0.01%             | 2032-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVALONBAY COMMUNITIES INC                                                       | AVALONBAY COMMUNITIES INC 2.05% 01/15/2032                                                          | CUSIP: 053484AB7<br>LEI: K9G90K85RBWD2LAGQX17 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1761453.72    | 0.00%             | 2032-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PIEDMONT HEALTHCARE INC                                                         | PIEDMONT HEALTHCARE INC 2.719% 01/01/2042                                                           | CUSIP: 72014TAD1<br>LEI: 254900D1I6W7J0DSAY11 | Long             | DBT              | CORP              | US        |    1208000 | PA      | $866908.76     | 0.00%             | 2042-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 10/01/2051#SD8173                                                                    | CUSIP: 3132DWCJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   90491955 | PA      | $77553261.67   | 0.11%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 03/01/2051#BR6052                                                                      | CUSIP: 3140L4WN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3476625 | PA      | $2863740.54    | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2051#FM7837                                                                      | CUSIP: 3140XBV72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4145213 | PA      | $3725284.70    | 0.01%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2050#MA4184                                                                      | CUSIP: 31418DUJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18505 | PA      | $16619.16      | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2051#RA5299                                                                      | CUSIP: 3133KL3G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     233184 | PA      | $222887.79     | 0.00%             | 2051-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2048#BK8726                                                                    | CUSIP: 3140HNVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268298 | PA      | $267200.88     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2051#CA8996                                                                      | CUSIP: 3140QG7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155469 | PA      | $148618.46     | 0.00%             | 2051-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2050#CA8177                                                                      | CUSIP: 3140QGCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     731054 | PA      | $703799.59     | 0.00%             | 2050-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2050#FM7461                                                                      | CUSIP: 3140XBJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1312388 | PA      | $1265101.66    | 0.00%             | 2050-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2050#FM8338                                                                      | CUSIP: 3140XCHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     628315 | PA      | $607640.15     | 0.00%             | 2050-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2048#ZA5568                                                                    | CUSIP: 31329PFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     209362 | PA      | $208505.65     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2051#MA4299                                                                      | CUSIP: 31418DX56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81924 | PA      | $78843.90      | 0.00%             | 2051-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 08/01/2048#ZM7681                                                                    | CUSIP: 3131Y2RA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13366 | PA      | $13311.44      | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 10/01/2051#MA4437                                                                      | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47088234 | PA      | $38610595.69   | 0.06%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 2.484%/VAR 09/16/2036                                                                | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1408629.02    | 0.00%             | 2036-09-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 1.5% 10/01/2051#MA4436                                                                    | CUSIP: 31418D4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37060822 | PA      | $28785336.71   | 0.04%             | 2051-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2021-C11                                                           | BBCMS MTG TR 2021-C11 2.322% 09/15/2054                                                             | CUSIP: 05493MAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20927693 | PA      | $18706636.94   | 0.03%             | 2054-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PROVIDENCE ST JOSEPH HEALTH OBLIGATED GROUP                                     | PROVIDENCE ST JOSEPH HEALTH OBLIGATED GROUP 2.7% 10/01/2051                                         | CUSIP: 743820AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2136000 | PA      | $1286807.14    | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 10/01/2036#SB8122                                                                    | CUSIP: 3132D6AX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1331443 | PA      | $1202721.95    | 0.00%             | 2036-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 2.482%/VAR 09/21/2036                                                   | CUSIP: 06051GKC2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6161667.89    | 0.01%             | 2036-09-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/01/2051#                                                                            | CUSIP: 3132DWCK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157593 | PA      | $140716.89     | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2050#FM7147                                                                    | CUSIP: 3140XA5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16403412 | PA      | $15421370.72   | 0.02%             | 2050-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 1.47%/VAR 09/22/2027                                                          | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   23779000 | PA      | $23283188.11   | 0.03%             | 2027-09-22      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                                                    | NNN REIT INC 3% 04/15/2052                                                                          | CUSIP: 637417AR7<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    6766000 | PA      | $4305102.75    | 0.01%             | 2052-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 11/01/2051#MA4465                                                                      | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   91513519 | PA      | $75037672.35   | 0.11%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 09/01/2036#MA4418                                                                      | CUSIP: 31418D4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     816728 | PA      | $756466.78     | 0.00%             | 2036-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                            | SABRA HEALTH CARE LP 3.2% 12/01/2031                                                                | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1829557.70    | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 1.5% 04/20/2044#MA2636                                                                      | CUSIP: 36179Q4V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23173 | PA      | $19078.64      | 0.00%             | 2044-04-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 1.5% 10/20/2043#MA2633                                                                      | CUSIP: 36179Q4S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     293287 | PA      | $245136.61     | 0.00%             | 2043-10-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2042#Q07395                                                                    | CUSIP: 3132GSRQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112483 | PA      | $107510.43     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2044#G60727                                                                    | CUSIP: 31335AYY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     594243 | PA      | $566797.69     | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2042#AL2353                                                                    | CUSIP: 3138EJTK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16497 | PA      | $15747.38      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2044#AL9733                                                                    | CUSIP: 3138ERY79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     330641 | PA      | $315459.61     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 03/01/2046#FM2316                                                                    | CUSIP: 3140X5SE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24407829 | PA      | $23250051.36   | 0.03%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2043#FM2319                                                                    | CUSIP: 3140X5SH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11835930 | PA      | $11280764.38   | 0.02%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                | KILROY REALTY LP 2.65% 11/15/2033                                                                   | CUSIP: 49427RAR3<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1399466.44    | 0.00%             | 2033-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2047#FM8492                                                                    | CUSIP: 3140XCNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40067944 | PA      | $38165986.80   | 0.06%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                              | ANALOG DEVICES INC 2.8% 10/01/2041                                                                  | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |   11812000 | PA      | $8818054.77    | 0.01%             | 2041-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2048#FM1319                                                                    | CUSIP: 3140X4PD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3459311 | PA      | $3448401.88    | 0.01%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 3.187% 11/15/2036 144A                                                                 | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $863594.10     | 0.00%             | 2036-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDEN ST TOB SECURTZN CORP CALIF TOB SETTLEMENT REV                            | GOLDEN ST TOBAC 3.293% 6/1/2042                                                                     | CUSIP: 38122NB68<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2435000 | PA      | $2057899.34    | 0.00%             | 2042-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDEN ST TOB SECURTZN CORP CALIF TOB SETTLEMENT REV                            | GOLDEN ST TOBAC 2.746% 6/1/2034                                                                     | CUSIP: 38122NB50<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    5025000 | PA      | $4615635.86    | 0.01%             | 2034-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2045#FM1191                                                                      | CUSIP: 3140X4KD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7593301 | PA      | $7477807.70    | 0.01%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2045#ZS9711                                                                      | CUSIP: 3132AAYG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1738163 | PA      | $1707390.80    | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2045#FM5678                                                                      | CUSIP: 3140X9JY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4206715 | PA      | $4132066.20    | 0.01%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2041#ZL1693                                                                    | CUSIP: 3131XG3A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4147604 | PA      | $4176253.73    | 0.01%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2041#AI9851                                                                    | CUSIP: 3138AP5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     876165 | PA      | $881916.87     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2047#FM3371                                                                    | CUSIP: 3140X6W98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2305693 | PA      | $2322057.14    | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2051#MA4380                                                                      | CUSIP: 31418D2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     615015 | PA      | $550789.09     | 0.00%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2051#MA4481                                                                      | CUSIP: 31418D6T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213653 | PA      | $205220.11     | 0.00%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                              | UNION PACIFIC CORP 2.891% 04/06/2036                                                                | CUSIP: 907818FQ6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    7292000 | PA      | $6204528.80    | 0.01%             | 2036-04-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 10/01/2036#MA4442                                                                      | CUSIP: 31418D5C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217066 | PA      | $200982.68     | 0.00%             | 2036-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                    | WP CAREY INC 2.45% 02/01/2032                                                                       | CUSIP: 92936UAJ8<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1767839.10    | 0.00%             | 2032-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FINANCIAL GROUP INC                                                   | JEFFERIES FINANCIAL GROUP INC 2.625% 10/15/2031                                                     | CUSIP: 47233JGT9<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    1933000 | PA      | $1705607.68    | 0.00%             | 2031-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 10/20/2051#MA7649                                                                      | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7833755 | PA      | $6802955.08    | 0.01%             | 2051-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                          | MARVELL TECHNOLOGY INC 2.95% 04/15/2031                                                             | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1856018.98    | 0.00%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2051#SD8177                                                                      | CUSIP: 3132DWCN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36646955 | PA      | $30049136.39   | 0.04%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2049#BO6327                                                                      | CUSIP: 3140K2A53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70845 | PA      | $63801.07      | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 09/01/2049#FM6263                                                                      | CUSIP: 3140X95Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     432690 | PA      | $440695.80     | 0.00%             | 2049-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 03/01/2050#FM2761                                                                      | CUSIP: 3140X6B75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234608 | PA      | $238362.36     | 0.00%             | 2050-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2050#FM9177                                                                    | CUSIP: 3140XDFT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47035 | PA      | $46842.46      | 0.00%             | 2050-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2049#FM2039                                                                      | CUSIP: 3140X5HR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     716777 | PA      | $645508.67     | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 10/01/2051#CB1856                                                                      | CUSIP: 3140QMB29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     750530 | PA      | $615406.57     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2049#ZA6945                                                                      | CUSIP: 31329QWE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12026 | PA      | $11615.14      | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2049#FM5826                                                                      | CUSIP: 3140X9PL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     294162 | PA      | $284482.50     | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 1.5% 10/01/2051#SD8171                                                                    | CUSIP: 3132DWCG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   56867386 | PA      | $44169200.06   | 0.06%             | 2051-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 1.5% 10/01/2051#QC9344                                                                    | CUSIP: 3133AULZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3821854 | PA      | $2968453.88    | 0.00%             | 2051-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2048#BK9763                                                                    | CUSIP: 3140HPZ59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     858398 | PA      | $854886.35     | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2050#FM2397                                                                    | CUSIP: 3140X5UX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337983 | PA      | $335332.67     | 0.00%             | 2050-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2048#ZS4774                                                                    | CUSIP: 3132A5JT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28280 | PA      | $28172.80      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2047#ZM3563                                                                    | CUSIP: 3131XW5Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20650 | PA      | $20700.83      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2049#CA3683                                                                    | CUSIP: 3140QBCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87061 | PA      | $86459.89      | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2049#FM3083                                                                    | CUSIP: 3140X6M99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128973 | PA      | $128444.89     | 0.00%             | 2049-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2049#BN5403                                                                    | CUSIP: 3140JNAD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185735 | PA      | $184452.31     | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2049#ZA6287                                                                    | CUSIP: 31329P6Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11238 | PA      | $11170.67      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2049#BN0622                                                                    | CUSIP: 3140JGVQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20321 | PA      | $20219.29      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2050#FM2988                                                                    | CUSIP: 3140X6KA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20919 | PA      | $20768.23      | 0.00%             | 2050-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2048#BK6457                                                                    | CUSIP: 3140HLE77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17211 | PA      | $17146.06      | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2048#BK8922                                                                    | CUSIP: 3140HN4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     701517 | PA      | $698647.37     | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2050#BP7103                                                                    | CUSIP: 3140KE3M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21783 | PA      | $21612.44      | 0.00%             | 2050-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2049#FM7311                                                                    | CUSIP: 3140XBDR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24654 | PA      | $24553.23      | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2047#CA0148                                                                    | CUSIP: 3140Q7EW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22559 | PA      | $22334.48      | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2049#BN3158                                                                    | CUSIP: 3140JKQL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     403303 | PA      | $400519.05     | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2050#BP0891                                                                    | CUSIP: 3140K77D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27518 | PA      | $27310.57      | 0.00%             | 2050-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2049#FM3665                                                                      | CUSIP: 3140X7CB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5804935 | PA      | $5610289.68    | 0.01%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/01/2049#BN1088                                                                      | CUSIP: 3140JHF65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5859 | PA      | $5944.41       | 0.00%             | 2049-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 02/01/2049#ZT1823                                                                      | CUSIP: 3132AEAY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9786 | PA      | $9967.06       | 0.00%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 04/01/2048#CA1574                                                                      | CUSIP: 3140Q8XC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26074 | PA      | $26605.20      | 0.00%             | 2048-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 04/01/2048#BJ2681                                                                      | CUSIP: 3140H36T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27591 | PA      | $28152.85      | 0.00%             | 2048-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/01/2049#FM1147                                                                      | CUSIP: 3140X4HZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1804700 | PA      | $1838089.99    | 0.00%             | 2049-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 07/01/2048#BK7797                                                                      | CUSIP: 3140HMUX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98107 | PA      | $100045.18     | 0.00%             | 2048-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/01/2051#FM8354                                                                      | CUSIP: 3140XCH84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6495322 | PA      | $6611438.64    | 0.01%             | 2051-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 1.5% 11/01/2051#                                                                          | CUSIP: 3132DWCM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   69366461 | PA      | $53877297.86   | 0.08%             | 2051-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 1.5% 09/01/2051#QC8263                                                                    | CUSIP: 3133ATFC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     516250 | PA      | $400973.83     | 0.00%             | 2051-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 1.5% 11/01/2051#                                                                          | CUSIP: 31418D6A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21291164 | PA      | $16536960.08   | 0.02%             | 2051-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 1.5% 10/01/2051#QC9130                                                                    | CUSIP: 3133AUEB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1658617 | PA      | $1288256.48    | 0.00%             | 2051-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 1.5% 06/01/2051#MA4354                                                                    | CUSIP: 31418DZU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     574905 | PA      | $446531.74     | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 1.5% 10/01/2051#BQ6617                                                                    | CUSIP: 3140KSK71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     696785 | PA      | $541196.88     | 0.00%             | 2051-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 1.5% 09/01/2051#QC7582                                                                    | CUSIP: 3133ASM75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     911234 | PA      | $707760.31     | 0.00%             | 2051-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/01/2049#RA1500                                                                      | CUSIP: 3133KGUZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     285024 | PA      | $256683.94     | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/01/2050#RA3838                                                                      | CUSIP: 3133KKHP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8940309 | PA      | $8054174.03    | 0.01%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 08/01/2050#CA6742                                                                      | CUSIP: 3140QEP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2698464 | PA      | $2431001.33    | 0.00%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2050#CA6998                                                                      | CUSIP: 3140QEX49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2059187 | PA      | $1855087.19    | 0.00%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 1.5% 09/01/2051#CB1771                                                                    | CUSIP: 3140QL6H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258334 | PA      | $200649.14     | 0.00%             | 2051-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2050#FM3662                                                                      | CUSIP: 3140X7B81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27123 | PA      | $24468.32      | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2050#FM4830                                                                      | CUSIP: 3140X8LL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     273147 | PA      | $246073.67     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2051#FM6897                                                                      | CUSIP: 3140XAUX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16148 | PA      | $14501.80      | 0.00%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC 2.4% 10/15/2028                                                            | CUSIP: 37045XDP8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1620325.90    | 0.00%             | 2028-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2051#FM8396                                                                      | CUSIP: 3140XCKJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31050 | PA      | $27962.53      | 0.00%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 06/01/2050#BP5672                                                                      | CUSIP: 3140KDJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61504 | PA      | $55273.63      | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2050#CA5733                                                                      | CUSIP: 3140QDLP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148572 | PA      | $133800.02     | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2051#FM6293                                                                      | CUSIP: 3140X97F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14381 | PA      | $12797.95      | 0.00%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2050#BP0412                                                                      | CUSIP: 3140K7N66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18979 | PA      | $17092.23      | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2050#BP9158                                                                      | CUSIP: 3140KHE80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27095 | PA      | $24401.21      | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2050#BP2129                                                                      | CUSIP: 3140K9LK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26328 | PA      | $23710.54      | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 06/01/2050#BP9638                                                                      | CUSIP: 3140KHV81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34647 | PA      | $31136.79      | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2049#BO2427                                                                      | CUSIP: 3140JWVV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1141839 | PA      | $1031518.49    | 0.00%             | 2049-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 02/01/2050#SD8048                                                                      | CUSIP: 3132DV5H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     370994 | PA      | $376930.38     | 0.00%             | 2050-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2049#BO8296                                                                      | CUSIP: 3140K4GE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     493818 | PA      | $444717.74     | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2048#BN1896                                                                      | CUSIP: 3140JJDA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     240147 | PA      | $240297.26     | 0.00%             | 2048-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/01/2049#BN3050                                                                      | CUSIP: 3140JKL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1470 | PA      | $1471.21       | 0.00%             | 2049-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 09/01/2049#BO5799                                                                      | CUSIP: 3140K1NR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10554 | PA      | $10723.30      | 0.00%             | 2049-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/01/2050#CA7850                                                                      | CUSIP: 3140QFWL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     514273 | PA      | $521859.33     | 0.00%             | 2050-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 09/01/2049#QA3487                                                                      | CUSIP: 31339S2U8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10809 | PA      | $10812.05      | 0.00%             | 2049-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/01/2049#BO0182                                                                      | CUSIP: 3140JUFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12959 | PA      | $12966.73      | 0.00%             | 2049-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 06/01/2050#CA6835                                                                      | CUSIP: 3140QESZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     465312 | PA      | $418174.20     | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/01/2049#BN4471                                                                      | CUSIP: 3140JL6H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     556633 | PA      | $566931.87     | 0.00%             | 2049-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 07/01/2048#ZM7176                                                                      | CUSIP: 3131Y16M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     477947 | PA      | $478246.89     | 0.00%             | 2048-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2050#FM2416                                                                      | CUSIP: 3140X5VJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154753 | PA      | $139366.19     | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 5% 07/01/2031#ZS8960                                                                      | CUSIP: 3132A95V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3832 | PA      | $3889.04       | 0.00%             | 2031-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 12/01/2048#BN2815                                                                      | CUSIP: 3140JKDV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142675 | PA      | $142746.71     | 0.00%             | 2048-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 06/01/2050#MA4105                                                                      | CUSIP: 31418DR38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8644 | PA      | $8771.17       | 0.00%             | 2050-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 10/01/2048#ZA5778                                                                      | CUSIP: 31329PM34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3831 | PA      | $3906.35       | 0.00%             | 2048-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 09/01/2048#BM4644                                                                      | CUSIP: 3140J9ES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     440296 | PA      | $448992.28     | 0.00%             | 2048-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 09/01/2049#RA1388                                                                      | CUSIP: 3133KGRH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     266245 | PA      | $239938.78     | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/01/2048#CA1720                                                                      | CUSIP: 3140Q84E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     758019 | PA      | $765174.26     | 0.00%             | 2048-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/01/2049#BN9825                                                                      | CUSIP: 3140JS4K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11983 | PA      | $12197.29      | 0.00%             | 2049-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 06/01/2049#CA3691                                                                      | CUSIP: 3140QBC55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360250 | PA      | $366690.27     | 0.00%             | 2049-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 5% 01/01/2030#ZA4066                                                                      | CUSIP: 31329MQT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3475 | PA      | $3505.01       | 0.00%             | 2030-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 5% 09/01/2031#ZS8959                                                                      | CUSIP: 3132A95U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4996 | PA      | $5063.58       | 0.00%             | 2031-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 06/01/2048#CA1922                                                                      | CUSIP: 3140Q9D42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     711188 | PA      | $711633.83     | 0.00%             | 2048-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 08/01/2051#FM8407                                                                      | CUSIP: 3140XCKV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207041 | PA      | $186454.61     | 0.00%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2050#FM7347                                                                      | CUSIP: 3140XBEV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     364486 | PA      | $328245.86     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 10/01/2048#ZM8716                                                                      | CUSIP: 3131Y3VH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     168698 | PA      | $171819.70     | 0.00%             | 2048-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2051#FM7198                                                                      | CUSIP: 3140XA7L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221265 | PA      | $199333.56     | 0.00%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3% 10/01/2040#RB5087                                                                      | CUSIP: 3133KYUL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     324346 | PA      | $304056.30     | 0.00%             | 2040-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/01/2050#BK1183                                                                      | CUSIP: 3140HEJ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21647 | PA      | $21657.83      | 0.00%             | 2050-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 09/01/2048#CA2373                                                                      | CUSIP: 3140Q9T78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11111 | PA      | $11330.75      | 0.00%             | 2048-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 06/01/2048#BK7097                                                                      | CUSIP: 3140HL3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3200 | PA      | $3263.02       | 0.00%             | 2048-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 02/01/2050#FM3393                                                                      | CUSIP: 3140X6XX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14431 | PA      | $14716.33      | 0.00%             | 2050-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 07/01/2048#ZM7224                                                                      | CUSIP: 3131Y2AZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     406952 | PA      | $407206.93     | 0.00%             | 2048-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 04/01/2049#BN6033                                                                      | CUSIP: 3140JNV31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39840 | PA      | $40552.70      | 0.00%             | 2049-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 12/01/2048#BN2806                                                                      | CUSIP: 3140JKDL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160933 | PA      | $163910.19     | 0.00%             | 2048-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 09/01/2049#BO1460                                                                      | CUSIP: 3140JVTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56047 | PA      | $56943.75      | 0.00%             | 2049-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 01/01/2051#BR1514                                                                      | CUSIP: 3140KYVG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1864787 | PA      | $1678789.52    | 0.00%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 03/01/2050#MA4004                                                                      | CUSIP: 31418DNW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75780 | PA      | $76897.63      | 0.00%             | 2050-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 11/01/2048#ZA5932                                                                      | CUSIP: 31329PSV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17970 | PA      | $18302.01      | 0.00%             | 2048-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 12/01/2050#CA8190                                                                      | CUSIP: 3140QGC47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304750 | PA      | $304760.37     | 0.00%             | 2050-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2050#CA5670                                                                      | CUSIP: 3140QDJQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1454455 | PA      | $1310294.10    | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2050#CA5617                                                                      | CUSIP: 3140QDG32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     783642 | PA      | $705724.82     | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 3% 02/01/2050#BP1627                                                                 | CUSIP: 3140K8YZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168555 | PA      | $151795.86     | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/51#SD8187                                                                           | CUSIP: 3132DWCY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     396693 | PA      | $381036.47     | 0.00%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 11/51#MA7705                                                                           | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22544948 | PA      | $19578384.49   | 0.03%             | 2051-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 2.511%/VAR 10/20/2032                                                                | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3963000 | PA      | $3568629.03    | 0.01%             | 2032-10-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 08/01/2050#QB1802                                                                      | CUSIP: 3133A8AB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12681 | PA      | $11423.94      | 0.00%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2051#CA8642                                                                      | CUSIP: 3140QGS81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461933 | PA      | $441578.86     | 0.00%             | 2051-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2050#QA8154                                                                      | CUSIP: 3133A3BX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1990289 | PA      | $1918576.46    | 0.00%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 03/01/2029#AV7130                                                                    | CUSIP: 3138XJ4Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1432532 | PA      | $1422443.94    | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 03/01/2050#SD8052                                                                      | CUSIP: 3132DV5M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68921 | PA      | $66437.68      | 0.00%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 03/01/2034#FM8830                                                                      | CUSIP: 3140XCY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4148 | PA      | $4135.97       | 0.00%             | 2034-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 03/01/2035#FM6686                                                                      | CUSIP: 3140XANC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6729 | PA      | $6732.33       | 0.00%             | 2035-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 09/01/2036#QN7598                                                                      | CUSIP: 3133GENP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21445 | PA      | $19862.43      | 0.00%             | 2036-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 11/01/2036#MA4470                                                                      | CUSIP: 31418D6G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14055038 | PA      | $13013613.34   | 0.02%             | 2036-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 05/01/2036#BR9142                                                                      | CUSIP: 3140L8EQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27328 | PA      | $25370.99      | 0.00%             | 2036-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 01/01/2031#BM3795                                                                      | CUSIP: 3140J8GD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16967 | PA      | $16432.85      | 0.00%             | 2031-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 03/01/2036#BP3785                                                                      | CUSIP: 3140KBF33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     463238 | PA      | $430795.70     | 0.00%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 11/01/2036#SB8127                                                                    | CUSIP: 3132D6A42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19649507 | PA      | $17749831.90   | 0.03%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 11/01/2036#MA4469                                                                    | CUSIP: 31418D6F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35699443 | PA      | $32248092.42   | 0.05%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 02/01/2036#MA4260                                                                    | CUSIP: 31418DWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28775581 | PA      | $26083539.30   | 0.04%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 10/01/2036#MA4441                                                                    | CUSIP: 31418D5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     984268 | PA      | $889110.98     | 0.00%             | 2036-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 10/01/2036#BU3286                                                                    | CUSIP: 3140M4UL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392120 | PA      | $354210.31     | 0.00%             | 2036-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 02/01/2036#FM5367                                                                    | CUSIP: 3140X86D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5073400 | PA      | $4598767.98    | 0.01%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 08/01/2036#SB8114                                                                    | CUSIP: 3132D6AP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9145355 | PA      | $8281205.74    | 0.01%             | 2036-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 10/01/2036#BQ6674                                                                    | CUSIP: 3140KSMY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7120858 | PA      | $6432427.71    | 0.01%             | 2036-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 10/01/2036#BQ8171                                                                    | CUSIP: 3140KUCH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6544163 | PA      | $5911486.38    | 0.01%             | 2036-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 01/01/2036#MA4228                                                                    | CUSIP: 31418DVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4987424 | PA      | $4520835.46    | 0.01%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 03/01/2036#SB8092                                                                    | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6432666 | PA      | $5830871.07    | 0.01%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                           | MICRON TECHNOLOGY INC 2.703% 04/15/2032                                                             | CUSIP: 595112BS1<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    8400000 | PA      | $7532173.66    | 0.01%             | 2032-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 2.65%/VAR 10/21/2032                                                  | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   12566000 | PA      | $11387399.80   | 0.02%             | 2032-10-21      | Variable      | 0.03%                 | No            |                  2 | On Loan: —       |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 1.5% 08/20/2051#MA7532                                                                      | CUSIP: 36179WLM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     346594 | PA      | $276811.47     | 0.00%             | 2051-08-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 06/01/2030#AY5963                                                                      | CUSIP: 3138YKTV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20597 | PA      | $19904.76      | 0.00%             | 2030-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3.85% 10/29/2041                          | CUSIP: 00774MAZ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    7876000 | PA      | $6493392.54    | 0.01%             | 2041-10-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3.4% 10/29/2033                           | CUSIP: 00774MAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    5896000 | PA      | $5352053.73    | 0.01%             | 2033-10-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3% 10/29/2028                             | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    5800000 | PA      | $5614897.00    | 0.01%             | 2028-10-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 2.45% 10/29/2026                          | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   10778000 | PA      | $10615782.59   | 0.02%             | 2026-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 11/01/2036#SB8128                                                                      | CUSIP: 3132D6A59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11749300 | PA      | $10878721.17   | 0.02%             | 2036-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 10/01/2036#QN8039                                                                      | CUSIP: 3133GE4Y1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     418020 | PA      | $387046.03     | 0.00%             | 2036-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANNER HEALTH                                                                   | BANNER HEALTH 2.907% 01/01/2042                                                                     | CUSIP: 06654DAG2<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |    1305000 | PA      | $978904.38     | 0.00%             | 2042-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2050#BO4402                                                                      | CUSIP: 3140JY3L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     681707 | PA      | $612647.24     | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2051#FM9338                                                                      | CUSIP: 3140XDLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     521695 | PA      | $468845.21     | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 07/01/2035#SB8052                                                                      | CUSIP: 3132D55M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12443 | PA      | $11617.79      | 0.00%             | 2035-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 09/01/2036#SB8119                                                                      | CUSIP: 3132D6AU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2495988 | PA      | $2311824.46    | 0.00%             | 2036-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 10/01/2036#BU2982                                                                      | CUSIP: 3140M4J41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     475466 | PA      | $441276.25     | 0.00%             | 2036-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 10/01/2036#BU0522                                                                      | CUSIP: 3140M1SL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     167590 | PA      | $155172.67     | 0.00%             | 2036-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLS PASS THRU TR 2021-1A                                             | AMERICAN AIRLS PASS THRU TR 2021-1A 2.875% 01/11/2036                                               | CUSIP: 02379KAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5531547 | PA      | $5067452.80    | 0.01%             | 2036-01-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 05/01/2050#QA9337                                                                      | CUSIP: 3133A4LS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     624926 | PA      | $561618.75     | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 2.2% 11/02/2028                                                                       | CUSIP: 02005NBP4<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   11270000 | PA      | $10589668.42   | 0.02%             | 2028-11-02      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/01/2050#QB4695                                                                      | CUSIP: 3133ABGC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64133 | PA      | $57595.73      | 0.00%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 2.904%/VAR 11/03/2042                                                                 | CUSIP: 172967NF4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    9400000 | PA      | $7009101.92    | 0.01%             | 2042-11-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: —       |
| DALLAS FORT WORTH TX INTL ARPT                                                  | DFW ARPT 2.843% 11/1/2046                                                                           | CUSIP: 2350368N3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   11600000 | PA      | $8568433.96    | 0.01%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2050#BO8668                                                                      | CUSIP: 3140K4T26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9599 | PA      | $8644.84       | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                     | VIATRIS INC 2.7% 06/22/2030                                                                         | CUSIP: 92556VAD8<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   12760000 | PA      | $11625593.25   | 0.02%             | 2030-06-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                     | VIATRIS INC 4% 06/22/2050                                                                           | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    8750000 | PA      | $5867158.24    | 0.01%             | 2050-06-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4% 06/01/2034#SB0566                                                                      | CUSIP: 3132CWTX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119542 | PA      | $120145.71     | 0.00%             | 2034-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 2.545%/VAR 11/08/2032                                                         | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   18588000 | PA      | $16828308.43   | 0.02%             | 2032-11-08      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 1.875% 11/15/2051                                                       | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  107574100 | PA      | $61506331.83   | 0.09%             | 2051-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 11/01/2051#BQ6788                                                                      | CUSIP: 3140KSRJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   93189576 | PA      | $76411976.53   | 0.11%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                      | DCP MIDSTREAM OPER LP 3.25% 02/15/2032                                                              | CUSIP: 23311VAK3<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $921280.52     | 0.00%             | 2032-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| PUBLIC SERVICE ENTERPRISE GROUP INC                                             | PUBLIC SVC ENTERPRISE GRP INC 2.45% 11/15/2031                                                      | CUSIP: 744573AU0<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    5100000 | PA      | $4565290.86    | 0.01%             | 2031-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| LEAR CORP                                                                       | LEAR CORP 3.55% 01/15/2052                                                                          | CUSIP: 521865BD6<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $1779552.48    | 0.00%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NUCOR CORP                                                                      | NUCOR CORP 2.979% 12/15/2055                                                                        | CUSIP: 670346AU9<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |    3177000 | PA      | $2008595.89    | 0.00%             | 2055-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 07/01/2035#BK2717                                                                      | CUSIP: 3140HGAT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1892885 | PA      | $1767417.97    | 0.00%             | 2035-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP 1.953% 11/20/2028                                                              | CUSIP: 961214EW9<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    5800000 | PA      | $5499720.66    | 0.01%             | 2028-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP 3.02%/VAR 11/18/2036                                                           | CUSIP: 961214EX7<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    2000000 | PA      | $1809531.92    | 0.00%             | 2036-11-18      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#MA4493                                                                    | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     732213 | PA      | $627519.85     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 09/01/2051#QC7083                                                                    | CUSIP: 3133AR2Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1796023 | PA      | $1539785.68    | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 09/01/2051#QC6752                                                                    | CUSIP: 3133ARQD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15232819 | PA      | $13054804.73   | 0.02%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 07/01/2051#RA5604                                                                    | CUSIP: 3133KMGM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   46470894 | PA      | $39840928.34   | 0.06%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 07/01/2051#RA5605                                                                    | CUSIP: 3133KMGN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28425444 | PA      | $24370008.49   | 0.04%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 1.5% 09/01/2051#MA4412                                                                    | CUSIP: 31418D3W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24496 | PA      | $19026.13      | 0.00%             | 2051-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 1.5% 12/01/2051#                                                                          | CUSIP: 3132DWCS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36277291 | PA      | $28176764.50   | 0.04%             | 2051-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2050#FM7973                                                                      | CUSIP: 3140XB2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122316 | PA      | $118214.92     | 0.00%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 11/20/2051#MA7704                                                                        | CUSIP: 36179WRZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   85559378 | PA      | $71327311.07   | 0.10%             | 2051-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| APTIV SWISS HOLDINGS LTD                                                        | APTIV SWISS HOLDINGS LTD 3.1% 12/01/2051                                                            | CUSIP: 03835VAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    4380000 | PA      | $2855599.52    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                              | REALTY INCOME CORP 3.95% 08/15/2027                                                                 | CUSIP: 756109BG8<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $6196225.38    | 0.01%             | 2027-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DALLAS TX AREA RAP TR SALE TAX                                                  | DALLAS TX DART 2.613% 12/1/2048                                                                     | CUSIP: 235241WM4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   12565000 | PA      | $8753507.77    | 0.01%             | 2048-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                  | DEUTSCHE BANK AG NEW YORK BNCH 2.311%/VAR 11/16/2027                                                | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    4949000 | PA      | $4858095.38    | 0.01%             | 2027-11-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2% 11/15/2041                                                           | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   67944100 | PA      | $48380976.35   | 0.07%             | 2041-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 05/01/2035#FM9063                                                                      | CUSIP: 3140XDB96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     491931 | PA      | $478181.66     | 0.00%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 11/01/2031#FM7814                                                                      | CUSIP: 3140XBVG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114828 | PA      | $110908.03     | 0.00%             | 2031-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL INC                                                       | BRIGHTHOUSE FINANCIAL INC 3.85% 12/22/2051                                                          | CUSIP: 10922NAH6<br>LEI: 5493003T8SZSHOGGAW52 | Long             | DBT              | CORP              | US        |    7600000 | PA      | $4728445.18    | 0.01%             | 2051-12-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 11/01/2036#BU2287                                                                    | CUSIP: 3140M3RH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     443021 | PA      | $400190.95     | 0.00%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 2% 10/01/2026#MA2779                                                                      | CUSIP: 31418CCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7143 | PA      | $7073.31       | 0.00%             | 2026-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 09/01/2035#SB8061                                                                      | CUSIP: 3132D55W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12652 | PA      | $11789.26      | 0.00%             | 2035-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 10/01/2035#FM5428                                                                      | CUSIP: 3140X9A62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20564 | PA      | $19162.57      | 0.00%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 02/01/2035#QN1557                                                                      | CUSIP: 3133G7WS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22668 | PA      | $21236.60      | 0.00%             | 2035-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 05/01/2036#BT0101                                                                      | CUSIP: 3140LNDF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42614 | PA      | $39762.41      | 0.00%             | 2036-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 07/01/2035#BP8943                                                                      | CUSIP: 3140KG5D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1437724 | PA      | $1342426.38    | 0.00%             | 2035-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 01/01/2028#AB7707                                                                      | CUSIP: 31417ER52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18224 | PA      | $17894.17      | 0.00%             | 2028-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 02/01/2036#FM6149                                                                      | CUSIP: 3140X9ZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58043 | PA      | $54087.29      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 05/01/2035#BQ3257                                                                      | CUSIP: 3140KNTP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137633 | PA      | $128510.31     | 0.00%             | 2035-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 02/01/2035#SB8038                                                                      | CUSIP: 3132D54X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     312901 | PA      | $294214.41     | 0.00%             | 2035-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 10/01/2035#FM4517                                                                      | CUSIP: 3140X8AT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     341796 | PA      | $318499.25     | 0.00%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 04/01/2036#CB0080                                                                      | CUSIP: 3140QKCS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     435052 | PA      | $403903.68     | 0.00%             | 2036-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 08/01/2035#BP9622                                                                      | CUSIP: 3140KHVQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348636 | PA      | $324873.70     | 0.00%             | 2035-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 12/01/2035#BQ9305                                                                      | CUSIP: 3140KVKT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     405648 | PA      | $376098.12     | 0.00%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 01/01/2036#FM5376                                                                      | CUSIP: 3140X86N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     507531 | PA      | $471987.18     | 0.00%             | 2036-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 12/01/2035#FM5278                                                                      | CUSIP: 3140X82L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     471591 | PA      | $437237.13     | 0.00%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 10/01/2035#FM4601                                                                      | CUSIP: 3140X8DF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     517264 | PA      | $482008.16     | 0.00%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 12/01/2036#MA4496                                                                    | CUSIP: 31418D7J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7087563 | PA      | $6402351.72    | 0.01%             | 2036-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 11/01/2036#FM9607                                                                    | CUSIP: 3140XDU95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7554929 | PA      | $6813200.80    | 0.01%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 12/01/2036#SB8131                                                                    | CUSIP: 3132D6A83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34295424 | PA      | $30979810.95   | 0.05%             | 2036-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                                               | STATE STREET CORP 1.684%/VAR 11/18/2027                                                             | CUSIP: 857477BQ5<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   15869000 | PA      | $15523526.16   | 0.02%             | 2027-11-18      | Variable      | 0.02%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 11/01/2033#FM2153                                                                      | CUSIP: 3140X5MB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1513 | PA      | $1508.93       | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 11/01/2036#BT9452                                                                    | CUSIP: 3140LYQE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523073 | PA      | $472502.98     | 0.00%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 11/01/2036#BT9443                                                                    | CUSIP: 3140LYP56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17436991 | PA      | $15789360.73   | 0.02%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AMEREN CORP                                                                     | AMEREN CORP 1.95% 03/15/2027                                                                        | CUSIP: 023608AL6<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |    8995000 | PA      | $8756654.27    | 0.01%             | 2027-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                          | SEMPRA 4.125%/VAR 04/01/2052                                                                        | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    3250000 | PA      | $3165450.28    | 0.00%             | 2052-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: —       |
| BANCO SANTANDER SA                                                              | BANCO SANTANDER SA 3.225%/VAR 11/22/2032                                                            | CUSIP: 05971KAL3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    7800000 | PA      | $7149535.15    | 0.01%             | 2032-11-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 10/01/2036#QN8239                                                                    | CUSIP: 3133GFEL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     867600 | PA      | $786704.88     | 0.00%             | 2036-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                                                    | TAPESTRY INC 3.05% 03/15/2032                                                                       | CUSIP: 876030AA5<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |    2320000 | PA      | $2110125.89    | 0.00%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 11/01/2036#QN8518                                                                    | CUSIP: 3133GFPB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   48711442 | PA      | $44002117.20   | 0.06%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 11/01/2036#BU6759                                                                    | CUSIP: 3140M8QM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131069 | PA      | $118397.68     | 0.00%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 08/01/2036#CB2077                                                                    | CUSIP: 3140QMJX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1236658 | PA      | $1119805.47    | 0.00%             | 2036-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 1.5% 09/20/2051#MA7587                                                                      | CUSIP: 36179WNC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     235552 | PA      | $188126.98     | 0.00%             | 2051-09-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 1.5% 07/20/2051#MA7470                                                                      | CUSIP: 36179WJP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     211195 | PA      | $168673.91     | 0.00%             | 2051-07-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                             | GLOBAL PAYMENTS INC 2.15% 01/15/2027                                                                | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9766078.20    | 0.01%             | 2027-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 2.279%/VAR 11/24/2027                                                                  | CUSIP: 06738EBU8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   14500000 | PA      | $14229617.78   | 0.02%             | 2027-11-24      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC T1Y+NA 11/24/2032                                                                      | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   15080000 | PA      | $13734222.50   | 0.02%             | 2032-11-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY CO                                                     | CANADIAN PAC RY CO 3.1% 12/02/2051                                                                  | CUSIP: 13645RBH6<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    9405000 | PA      | $6347315.71    | 0.01%             | 2051-12-02      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY CO                                                     | CANADIAN PAC RY CO 2.45% 12/02/2031                                                                 | CUSIP: 13645RBF0<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |   20546000 | PA      | $18472680.95   | 0.03%             | 2031-12-02      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY CO                                                     | CANADIAN PAC RY CO 1.75% 12/02/2026                                                                 | CUSIP: 13645RBE3<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    8990000 | PA      | $8792770.91    | 0.01%             | 2026-12-02      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2021-C12                                                           | BBCMS MTG TR 2021-C12 A5 2.689% 11/15/2054                                                          | CUSIP: 05552XBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20880000 | PA      | $18811604.23   | 0.03%             | 2054-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 10/01/2036#QN8098                                                                    | CUSIP: 3133GE7K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     708013 | PA      | $641997.70     | 0.00%             | 2036-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 11/01/2036#QN8548                                                                    | CUSIP: 3133GFP90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     392291 | PA      | $353629.24     | 0.00%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 11/01/2036#QN8240                                                                    | CUSIP: 3133GFEM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     701777 | PA      | $636343.31     | 0.00%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 11/01/2036#QN8469                                                                    | CUSIP: 3133GFMS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     648824 | PA      | $588327.69     | 0.00%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 11/01/2036#QN8479                                                                    | CUSIP: 3133GFM44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     539963 | PA      | $490122.68     | 0.00%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 11/01/2036#QN8445                                                                    | CUSIP: 3133GFL29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     874746 | PA      | $790177.47     | 0.00%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 11/01/2036#QN8483                                                                    | CUSIP: 3133GFM85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     339501 | PA      | $306891.06     | 0.00%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.5% 11/30/2028                                                                           | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41895000 | PA      | $39526950.48   | 0.06%             | 2028-11-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FIN CORP                                                          | CDW LLC / CDW FIN CORP 2.67% 12/01/2026                                                             | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11406000 | PA      | $11220554.29   | 0.02%             | 2026-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AON CORP / AON GLOBAL HOLDINGS PLC                                              | AON CORP / AON GLOBAL HOLDINGS PLC 2.6% 12/02/2031                                                  | CUSIP: 03740LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15853000 | PA      | $14338113.00   | 0.02%             | 2031-12-02      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 12/01/2036#MA4497                                                                      | CUSIP: 31418D7K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1639408 | PA      | $1517422.20    | 0.00%             | 2036-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#CB2321                                                                    | CUSIP: 3140QMSK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   68070217 | PA      | $58762860.11   | 0.09%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#CB2347                                                                      | CUSIP: 3140QMTD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   57038120 | PA      | $47375161.20   | 0.07%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#CB2376                                                                    | CUSIP: 3140QMUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58724927 | PA      | $50750422.54   | 0.07%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#CB2348                                                                      | CUSIP: 3140QMTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48247062 | PA      | $39998029.89   | 0.06%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#CB2350                                                                      | CUSIP: 3140QMTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   69414847 | PA      | $57438196.57   | 0.08%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/01/2051#QD2354                                                                    | CUSIP: 3133AYTK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77087 | PA      | $71340.17      | 0.00%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2052#                                                                          | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223453 | PA      | $208119.96     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKROCK INC                                                                   | BLACKROCK INC 2.1% 02/25/2032                                                                       | CUSIP: 09247XAS0<br>LEI: 529900VBK42Y5HHRMD23 | Long             | DBT              | CORP              | US        |   11503000 | PA      | $10170231.94   | 0.01%             | 2032-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 12/01/2051#RA6496                                                                    | CUSIP: 3133KNGD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   57829419 | PA      | $49922304.45   | 0.07%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2051#RA6510                                                                      | CUSIP: 3133KNGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   67829726 | PA      | $56232552.25   | 0.08%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#MA4492                                                                      | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2323685 | PA      | $1905334.66    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | 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        |   72262174 | PA      | $62562299.25   | 0.09%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 09/01/2051#CB1549                                                                    | CUSIP: 3140QLWK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54128446 | PA      | $46896522.73   | 0.07%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 01/01/2052#MA4511                                                                      | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2559953 | PA      | $2095866.06    | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2052#MA4548                                                                    | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2246012 | PA      | $1922065.60    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 12/20/2051#MA7767                                                                      | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15047669 | PA      | $13069982.77   | 0.02%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                    | NEXTERA ENERGY CAP HLDGS INC 1.875% 01/15/2027                                                      | CUSIP: 65339KBY5<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   13726000 | PA      | $13397399.70   | 0.02%             | 2027-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                    | NEXTERA ENERGY CAP HLDGS INC 2.44% 01/15/2032                                                       | CUSIP: 65339KBZ2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   13630000 | PA      | $12143779.08   | 0.02%             | 2032-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 12/20/2051#MA7766                                                                        | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12933833 | PA      | $10786442.91   | 0.02%             | 2051-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2051#RA6191                                                                      | CUSIP: 3133KM2Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34888972 | PA      | $28738488.92   | 0.04%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2051#RA6235                                                                      | CUSIP: 3133KM4U6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31085675 | PA      | $25605664.99   | 0.04%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 09/01/2050#RA3484                                                                      | CUSIP: 3133KJ2R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1976093 | PA      | $1780228.81    | 0.00%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 10/01/2051#RA6132                                                                    | CUSIP: 3133KMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25646 | PA      | $21978.88      | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 1.5% 09/01/2051#BQ6570                                                                    | CUSIP: 3140KSJQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4958926 | PA      | $3851624.10    | 0.01%             | 2051-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2050#CA8153                                                                      | CUSIP: 3140QGBX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     590288 | PA      | $530120.05     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2051#MA4358                                                                    | CUSIP: 31418DZY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10812 | PA      | $10086.79      | 0.00%             | 2051-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ECOLAB INC                                                                      | ECOLAB INC 2.75% 08/18/2055                                                                         | CUSIP: 278865BJ8<br>LEI: 82DYEISM090VG8LTLS26 | Long             | DBT              | CORP              | US        |    8768000 | PA      | $5394691.13    | 0.01%             | 2055-08-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST WTR RES AUTH                                                   | MA WTR 2.823% 8/1/2041                                                                              | CUSIP: 576051ZT6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    4445000 | PA      | $3618332.24    | 0.01%             | 2041-08-01      | 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 2.127% 11/25/2031                                                    | CUSIP: 3137H4SH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22338983 | PA      | $20091817.58   | 0.03%             | 2031-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 12/01/2036#RC2397                                                                    | CUSIP: 3133L8UW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     555948 | PA      | $501505.42     | 0.00%             | 2036-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 01/37#MA4515                                                                         | CUSIP: 31418EAR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8071160 | PA      | $7280767.12    | 0.01%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 01/01/2037#SB8136                                                                    | CUSIP: 3132D6BD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     302491 | PA      | $272868.54     | 0.00%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 12/01/2036#QN8736                                                                    | CUSIP: 3133GFV51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78478 | PA      | $71111.85      | 0.00%             | 2036-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 02/01/2036#SB8508                                                                      | CUSIP: 3132D6NZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     495088 | PA      | $461343.78     | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 12/01/2036#QN8712                                                                      | CUSIP: 3133GFVD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1397070 | PA      | $1295298.33    | 0.00%             | 2036-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 12/01/2036#QN8758                                                                      | CUSIP: 3133GFWT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3571006 | PA      | $3310872.03    | 0.00%             | 2036-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 12/01/2036#BU6695                                                                      | CUSIP: 3140M8NM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3578705 | PA      | $3318009.95    | 0.00%             | 2036-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 12/01/2036#QN8954                                                                      | CUSIP: 3133GF5P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     527884 | PA      | $488605.26     | 0.00%             | 2036-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 11/01/2036#BU6034                                                                      | CUSIP: 3140M7V40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     328624 | PA      | $304582.68     | 0.00%             | 2036-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 12/01/2036#BU9020                                                                      | CUSIP: 3140MBAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     334855 | PA      | $310148.02     | 0.00%             | 2036-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 12/01/2036#BU6396                                                                    | CUSIP: 3140M8DA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151736 | PA      | $137066.74     | 0.00%             | 2036-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 12/01/2036#BU1377                                                                    | CUSIP: 3140M2Q70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     642377 | PA      | $579470.45     | 0.00%             | 2036-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 12/01/2036#BU8161                                                                    | CUSIP: 3140MAB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211591 | PA      | $191730.19     | 0.00%             | 2036-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 12/01/2035#FM5426                                                                    | CUSIP: 3140X9A47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     256340 | PA      | $233079.94     | 0.00%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 11/01/2036#BU7446                                                                    | CUSIP: 3140M9HY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     994395 | PA      | $901677.25     | 0.00%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 11/01/2036#QN8676                                                                    | CUSIP: 3133GFT96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1549770 | PA      | $1397035.51    | 0.00%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 11/01/2036#QN8430                                                                    | CUSIP: 3133GFLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2450100 | PA      | $2223948.61    | 0.00%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 12/01/2036#QN8711                                                                    | CUSIP: 3133GFVC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2143962 | PA      | $1936687.98    | 0.00%             | 2036-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 12/01/2036#QN8770                                                                    | CUSIP: 3133GFW76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2484396 | PA      | $2255078.79    | 0.00%             | 2036-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 11/01/2036#BQ6884                                                                    | CUSIP: 3140KSUJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3140606 | PA      | $2850718.82    | 0.00%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 11/01/2036#BQ6721                                                                    | CUSIP: 3140KSPF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3012237 | PA      | $2734198.05    | 0.00%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 11/01/2036#BQ6881                                                                    | CUSIP: 3140KSUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3441157 | PA      | $3120301.91    | 0.00%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 12/01/2036#QN8761                                                                    | CUSIP: 3133GFWW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8315692 | PA      | $7511747.75    | 0.01%             | 2036-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 11/01/2036#BT9440                                                                    | CUSIP: 3140LYP23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2761713 | PA      | $2504209.63    | 0.00%             | 2036-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 05/20/2051#MA7369                                                                      | CUSIP: 36179WFJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4976308 | PA      | $4621017.74    | 0.01%             | 2051-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                                               | GENERAL MILLS INC 3% 02/01/2051                                                                     | CUSIP: 370334CP7<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    4854000 | PA      | $3207315.84    | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.375% 12/31/2028                                                                         | CUSIP: 91282CDP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  106426700 | PA      | $99883120.34   | 0.15%             | 2028-12-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.25% 12/31/2026                                                                          | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  111103900 | PA      | $108330642.22  | 0.16%             | 2026-12-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 06/51#MA7420                                                                           | CUSIP: 36179WG51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     440800 | PA      | $409328.90     | 0.00%             | 2051-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                         | SANTANDER HLDGS USA INC 2.49%/VAR 01/06/2028                                                        | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1959226.92    | 0.00%             | 2028-01-06      | Variable      | 0.02%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2052#FS0208                                                                    | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     720463 | PA      | $625330.16     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                 | SANTANDER UK GROUP HOLDINGS PLC 2.469%/VAR 01/11/2028                                               | CUSIP: 80281LAR6<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    9666000 | PA      | $9475793.90    | 0.01%             | 2028-01-11      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                    | MEXICO UNITED MEXICAN STATES 3.5% 02/12/2034                                                        | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   32290000 | PA      | $28011575.00   | 0.04%             | 2034-02-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 01/01/2052#SD8189                                                                    | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3856634 | PA      | $3305205.77    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2052#CB2622                                                                    | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1061985 | PA      | $921756.44     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                             | SUMITOMO MITSUI FINL GRP INC 2.174% 01/14/2027                                                      | CUSIP: 86562MCM0<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   22619000 | PA      | $22172780.06   | 0.03%             | 2027-01-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                             | SUMITOMO MITSUI FINL GRP INC 3.05% 01/14/2042                                                       | CUSIP: 86562MCQ1<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   11600000 | PA      | $9032279.10    | 0.01%             | 2042-01-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 11/51#CB2079                                                                           | CUSIP: 3140QMJZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30322 | PA      | $24966.84      | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | AIR LEASE CORP 2.2% 01/15/2027                                                                      | CUSIP: 00914AAR3<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    6863000 | PA      | $6705124.99    | 0.01%             | 2027-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GENUINE PARTS CO                                                                | GENUINE PARTS CO 2.75% 02/01/2032                                                                   | CUSIP: 372460AC9<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1773081.64    | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 07/01/2051#SD0716                                                                      | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2552244 | PA      | $2130231.17    | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2048#FS0098                                                                      | CUSIP: 3140XFDC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3476484 | PA      | $3569457.64    | 0.01%             | 2048-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA INC                                                      | BP CAP MARKETS AMERICA INC 2.721% 01/12/2032                                                        | CUSIP: 10373QBT6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   28999000 | PA      | $26505871.00   | 0.04%             | 2032-01-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                        | TOYOTA MOTOR CREDIT CORP 1.9% 01/13/2027                                                            | CUSIP: 89236TJV8<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    8796000 | PA      | $8608572.46    | 0.01%             | 2027-01-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2052#SD8194                                                                    | CUSIP: 3132DWC76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  103097351 | PA      | $88227444.66   | 0.13%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 01/01/2052#QD5399                                                                    | CUSIP: 3133B27L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     601663 | PA      | $515636.12     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 02/01/2052#SD8193                                                                      | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     913033 | PA      | $747511.32     | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2052#BU9770                                                                      | CUSIP: 3140MB2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1201286 | PA      | $1076962.87    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 01/01/2052#QD5114                                                                      | CUSIP: 3133B2VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     984773 | PA      | $882857.42     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 01/01/2052#BU8174                                                                      | CUSIP: 3140MACL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     599892 | PA      | $491139.38     | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2051#QD1343                                                                      | CUSIP: 3133AXP48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     877918 | PA      | $726444.29     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#BU8202                                                                      | CUSIP: 3140MADG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18347 | PA      | $15083.73      | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 01/01/2052#QD4504                                                                      | CUSIP: 3133B2AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65205 | PA      | $53384.17      | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2051#RA6505                                                                      | CUSIP: 3133KNGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95114 | PA      | $78465.41      | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2050#QB6893                                                                      | CUSIP: 3133ADUS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     180063 | PA      | $147813.71     | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 01/01/2052#BU8175                                                                      | CUSIP: 3140MACM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     635008 | PA      | $519889.51     | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2051#QD3352                                                                      | CUSIP: 3133B0WM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     556629 | PA      | $456414.76     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 03/01/2051#QB9896                                                                      | CUSIP: 3133AG7H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     219554 | PA      | $180094.95     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2050#FM5254                                                                      | CUSIP: 3140X8ZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     568950 | PA      | $467051.07     | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#BU7107                                                                      | CUSIP: 3140M83R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     443377 | PA      | $365769.18     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 10/01/2051#CB2609                                                                      | CUSIP: 3140QM3T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1755848 | PA      | $1439729.83    | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2051#QD3657                                                                      | CUSIP: 3133B1B26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1389123 | PA      | $1144671.97    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2051#QD2139                                                                      | CUSIP: 3133AYLU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6428088 | PA      | $5270792.29    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2052#BV2082                                                                      | CUSIP: 3140MFJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254996 | PA      | $228606.31     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2051#FS0183                                                                      | CUSIP: 3140XFFZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     636512 | PA      | $569445.03     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2052#BV2080                                                                      | CUSIP: 3140MFJ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1221512 | PA      | $1095095.38    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2052#BV2079                                                                      | CUSIP: 3140MFJZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     892260 | PA      | $799918.81     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2052#BV1148                                                                      | CUSIP: 3140MEH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1065017 | PA      | $954796.13     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/01/2051#RA6747                                                                      | CUSIP: 3133KNP80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1719341 | PA      | $1537642.09    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2049#BO7516                                                                      | CUSIP: 3140K3K68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303214 | PA      | $292478.24     | 0.00%             | 2049-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 02/01/2034#BM5551                                                                      | CUSIP: 3140JAEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13221 | PA      | $13283.64      | 0.00%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 07/01/2034#FM1101                                                                      | CUSIP: 3140X4GK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6605 | PA      | $6635.96       | 0.00%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORP                                                     | AMERICAN HONDA FINANCE CORP 2.25% 01/12/2029                                                        | CUSIP: 02665WEB3<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1795502.20    | 0.00%             | 2029-01-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                                                    | VONTIER CORP 2.95% 04/01/2031                                                                       | CUSIP: 928881AF8<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3201808.47    | 0.00%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                            | ROYAL BANK OF CANADA 2.05% 01/21/2027                                                               | CUSIP: 78016EYV3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   16433000 | PA      | $16110333.77   | 0.02%             | 2027-01-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2051#FM7003                                                                      | CUSIP: 3140XAX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350179 | PA      | $337452.62     | 0.00%             | 2051-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2050#BO8460                                                                      | CUSIP: 3140K4MJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     512663 | PA      | $494031.37     | 0.00%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2052#FM9939                                                                      | CUSIP: 3140XEBH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1551791 | PA      | $1490544.45    | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2050#BP2366                                                                      | CUSIP: 3140K9TY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35106 | PA      | $33830.46      | 0.00%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2051#MA4428                                                                      | CUSIP: 31418D4N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144908 | PA      | $139233.65     | 0.00%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 12/01/2049#RA1903                                                                      | CUSIP: 3133KHDG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167634 | PA      | $161384.90     | 0.00%             | 2049-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 4% 04/01/2050#BP1490                                                                 | CUSIP: 3140K8UQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     445274 | PA      | $429230.58     | 0.00%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2051#BO9398                                                                      | CUSIP: 3140K5NQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299120 | PA      | $287594.71     | 0.00%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 01/01/2052#QD5423                                                                      | CUSIP: 3133B3AY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     308115 | PA      | $275842.18     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2051#MA4415                                                                      | CUSIP: 31418D3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190154 | PA      | $170058.56     | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2051#CB0531                                                                      | CUSIP: 3140QKSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1984167 | PA      | $1784402.45    | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 05/01/2051#RA5267                                                                      | CUSIP: 3133KLZ83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     440019 | PA      | $395718.64     | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 05/01/2051#QC2293                                                                      | CUSIP: 3133ALRN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     632960 | PA      | $569234.35     | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2051#CB1562                                                                      | CUSIP: 3140QLWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1424210 | PA      | $1277706.10    | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                           | FLORIDA PWR and LT CO 2.45% 02/03/2032                                                              | CUSIP: 341081GG6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1812072.82    | 0.00%             | 2032-02-03      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 02/01/2037#SB8140                                                                    | CUSIP: 3132D6BH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179834 | PA      | $162223.29     | 0.00%             | 2037-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 01/01/2037#BU1279                                                                    | CUSIP: 3140M2M58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     424135 | PA      | $384720.83     | 0.00%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 10/01/2036#FM9315                                                                    | CUSIP: 3140XDK54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1677904 | PA      | $1521455.00    | 0.00%             | 2036-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 01/01/2037#QN9233                                                                    | CUSIP: 3133GGHJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     810528 | PA      | $735207.29     | 0.00%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/01/2051#QC9077                                                                      | CUSIP: 3133AUCN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1778056 | PA      | $1595152.73    | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2051#CB2435                                                                      | CUSIP: 3140QMV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1225822 | PA      | $1097810.56    | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2051#BU8027                                                                      | CUSIP: 3140M94M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1340608 | PA      | $1204379.47    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2049#BN8854                                                                      | CUSIP: 3140JRZU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117909 | PA      | $114176.83     | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2051#CB2745                                                                      | CUSIP: 3140QNBP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360691 | PA      | $322573.79     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2052#BV0174                                                                      | CUSIP: 3140MDFQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1146273 | PA      | $1027642.71    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 02/01/2037#MA4535                                                                    | CUSIP: 31418EBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11381080 | PA      | $10266553.42   | 0.02%             | 2037-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 01/20/2052#MA7827                                                                      | CUSIP: 36179WVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15463924 | PA      | $13431529.45   | 0.02%             | 2052-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 01/20/2052#MA7826                                                                        | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5434217 | PA      | $4531980.27    | 0.01%             | 2052-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 1.5% 12/20/2051#MA7765                                                                      | CUSIP: 36179WTW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1286341 | PA      | $1027352.49    | 0.00%             | 2051-12-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 05/20/2051#MA7371                                                                      | CUSIP: 36179WFL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2331785 | PA      | $2324184.75    | 0.00%             | 2051-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 3.102%/VAR 02/24/2033                                                 | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4627695.35    | 0.01%             | 2033-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 3.436%/VAR 02/24/2043                                                 | CUSIP: 38141GZN7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5063000 | PA      | $4008445.30    | 0.01%             | 2043-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2050#SD7528                                                                      | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4290498 | PA      | $3571679.83    | 0.01%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 2.475%/VAR 01/21/2028                                                                | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1962926.02    | 0.00%             | 2028-01-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.75% 01/31/2029                                                                          | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  110873300 | PA      | $105052451.75  | 0.15%             | 2029-01-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2051#QC2074                                                                      | CUSIP: 3133ALJT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     237833 | PA      | $228668.63     | 0.00%             | 2051-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2051#FM9706                                                                      | CUSIP: 3140XDYC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6569486 | PA      | $5875227.19    | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2050#FM4925                                                                      | CUSIP: 3140X8PK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     353013 | PA      | $318685.19     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 08/01/2051#MA4400                                                                      | CUSIP: 31418D3J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1882864 | PA      | $1686237.65    | 0.00%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                  | US BANCORP DEL 2.677%/VAR 01/27/2033                                                                | CUSIP: 91159HJD3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    6900000 | PA      | $6237755.94    | 0.01%             | 2033-01-27      | Variable      | 0.03%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 10/01/2051#FM9157                                                                      | CUSIP: 3140XDE77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154760 | PA      | $126897.29     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 01/01/2052#SD8203                                                                      | CUSIP: 3132DWDG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     677899 | PA      | $650931.22     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 11/01/2051#SD7548                                                                    | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2452896 | PA      | $2130538.15    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PROCTER and GAMBLE CO                                                           | PROCTER and GAMBLE CO 2.3% 02/01/2032                                                               | CUSIP: 742718FW4<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1835928.10    | 0.00%             | 2032-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 03/01/2052#MA4563                                                                    | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10337035 | PA      | $8823201.27    | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 12/01/2051#RA6388                                                                    | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1364058 | PA      | $1183941.82    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2051#SD0785                                                                      | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2623542 | PA      | $2179081.40    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.25% 02/15/2052                                                        | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  109990100 | PA      | $68919968.24   | 0.10%             | 2052-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VALERO ENERGY CORP                                                              | VALERO ENERGY CORP 4% 06/01/2052                                                                    | CUSIP: 91913YBE9<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |    5100000 | PA      | $3829734.43    | 0.01%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 01/01/2052#SD7549                                                                      | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4250838 | PA      | $3534678.98    | 0.01%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FIN INC                                                              | BROOKFIELD FIN INC 3.625% 02/15/2052                                                                | CUSIP: 11271LAJ1<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    1600000 | PA      | $1138791.33    | 0.00%             | 2052-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 02/20/2052#MA7881                                                                      | CUSIP: 36179WXJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8417069 | PA      | $7311487.05    | 0.01%             | 2052-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 03/01/2037#MA4567                                                                      | CUSIP: 31418ECD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19998532 | PA      | $18497967.79   | 0.03%             | 2037-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 03/01/2052#SD8200                                                                    | CUSIP: 3132DWDD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1503029 | PA      | $1286244.62    | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                              | UNION PACIFIC CORP 2.8% 02/14/2032                                                                  | CUSIP: 907818FX1<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |   11666000 | PA      | $10744675.78   | 0.02%             | 2032-02-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                              | UNION PACIFIC CORP 3.375% 02/14/2042                                                                | CUSIP: 907818FY9<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3199413.56    | 0.00%             | 2042-02-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2052#FS0370                                                                    | CUSIP: 3140XFMU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1946628 | PA      | $1657954.39    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                                                  | STARBUCKS CORP 3% 02/14/2032                                                                        | CUSIP: 855244BC2<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4534751.50    | 0.01%             | 2032-02-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.375% 02/15/2042                                                       | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   48988400 | PA      | $36749966.05   | 0.05%             | 2042-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 11/01/2051#CB2874                                                                    | CUSIP: 3140QNFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2217289 | PA      | $1900257.01    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2052#CB2558                                                                    | CUSIP: 3140QMZY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2135876 | PA      | $1842499.51    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2052#MA4564                                                                      | CUSIP: 31418ECA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14480001 | PA      | $12936189.32   | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2052#QD5085                                                                    | CUSIP: 3133B2UJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1291541 | PA      | $1202514.59    | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2051#FM9419                                                                      | CUSIP: 3140XDPD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19153 | PA      | $17140.83      | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2052#QD6378                                                                    | CUSIP: 3133B4CP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1521359 | PA      | $1301931.10    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2052#QD6751                                                                    | CUSIP: 3133B4QC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1488867 | PA      | $1274125.08    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2052#BV3495                                                                    | CUSIP: 3140MG3D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1556687 | PA      | $1332163.41    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2052#CB2867                                                                    | CUSIP: 3140QNFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1485094 | PA      | $1278785.84    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2052#QD6684                                                                    | CUSIP: 3133B4M93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1472817 | PA      | $1260390.37    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2052#CB2809                                                                    | CUSIP: 3140QNDP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     731878 | PA      | $629519.96     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2052#CB2876                                                                    | CUSIP: 3140QNFS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     724760 | PA      | $623397.12     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2052#BV1105                                                                    | CUSIP: 3140MEGP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     750980 | PA      | $642664.69     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2052#QD6738                                                                    | CUSIP: 3133B4PX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1478443 | PA      | $1265204.55    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2052#BU8226                                                                    | CUSIP: 3140MAD84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2254682 | PA      | $1929484.97    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FANNIEMAE 30YR 2.5% 02/01/2052#BV3722                                                               | CUSIP: 3140MHD48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     914379 | PA      | $778782.18     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2052#QD7063                                                                    | CUSIP: 3133B4Z40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2239399 | PA      | $1916406.74    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2052#QD6379                                                                    | CUSIP: 3133B4CQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2385788 | PA      | $2041682.05    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 12/01/2051#RA6424                                                                    | CUSIP: 3133KND59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1455881 | PA      | $1252721.35    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2052#BV2189                                                                    | CUSIP: 3140MFNF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1423330 | PA      | $1218040.81    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2052#QD6971                                                                    | CUSIP: 3133B4W84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1537514 | PA      | $1315755.49    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 03/01/2052#MA4562                                                                      | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135024 | PA      | $110545.51     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2051#FM8276                                                                      | CUSIP: 3140XCFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60956 | PA      | $54818.54      | 0.00%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 MORTGAGE TRUST                                                      | BMO 2022-C1 MORTGAGE TRUST 3.374% 02/15/2055                                                        | CUSIP: 05609MCC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9440000 | PA      | $8838451.10    | 0.01%             | 2055-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2052#BU1319                                                                      | CUSIP: 3140M2PD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57553 | PA      | $51147.02      | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 03/01/2052#MA4565                                                                    | CUSIP: 31418ECB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69090 | PA      | $64133.42      | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                         | BRISTOL-MYERS SQUIBB CO 3.55% 03/15/2042                                                            | CUSIP: 110122DV7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   18866000 | PA      | $15426134.68   | 0.02%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 03/01/2037#SB8144                                                                    | CUSIP: 3132D6BM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     233936 | PA      | $211027.20     | 0.00%             | 2037-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                                           | NORFOLK SOUTHERN CORP 3% 03/15/2032                                                                 | CUSIP: 655844CM8<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3706958.52    | 0.01%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 03/01/2037#MA4566                                                                    | CUSIP: 31418ECC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     312220 | PA      | $281644.90     | 0.00%             | 2037-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                     | PACIFIC GAS and ELECTRIC CO 4.2% 03/01/2029                                                         | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $995755.16     | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| AMGEN INC                                                                       | AMGEN INC 3.35% 02/22/2032                                                                          | CUSIP: 031162DE7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    5640000 | PA      | $5334777.58    | 0.01%             | 2032-02-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| UST NOTES                                                                       | UST NOTES 1.875% 02/28/2027                                                                         | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  166928500 | PA      | $163472559.23  | 0.24%             | 2027-02-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                              | AUTONATION INC DEL 3.85% 03/01/2032                                                                 | CUSIP: 05329RAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6090000 | PA      | $5732536.61    | 0.01%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 3.35%/VAR 03/02/2033                                                         | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    4543000 | PA      | $4268527.93    | 0.01%             | 2033-03-02      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINL INC                                                             | PRUDENTIAL FINL INC T5Y+NA 03/01/2052                                                               | CUSIP: 744320BJ0<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    3335000 | PA      | $3306267.97    | 0.00%             | 2052-03-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ARCHER DANIELS MIDLAND CO                                                       | ARCHER DANIELS MIDLAND CO 2.9% 03/01/2032                                                           | CUSIP: 039482AD6<br>LEI: 549300LO13MQ9HYSTR83 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2121194.37    | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| BANK 2022-BNK39                                                                 | BANK 2022-BNK39 2.928% 02/15/2055                                                                   | CUSIP: 06539VAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5496850.20    | 0.01%             | 2055-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SCHWAB CHARLES CORP                                                             | SCHWAB CHARLES CORP 2.9% 03/03/2032                                                                 | CUSIP: 808513CA1<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $6617211.26    | 0.01%             | 2032-03-03      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SCHWAB CHARLES CORP                                                             | SCHWAB CHARLES CORP 2.45% 03/03/2027                                                                | CUSIP: 808513BY0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   19333000 | PA      | $18976546.46   | 0.03%             | 2027-03-03      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                       | DUKE ENERGY CAROLINAS LLC 2.85% 03/15/2032                                                          | CUSIP: 26442CBG8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    2417000 | PA      | $2220858.25    | 0.00%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CME GROUP INC                                                                   | CME GROUP INC 2.65% 03/15/2032                                                                      | CUSIP: 12572QAK1<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | DBT              | CORP              | US        |    2803000 | PA      | $2564721.17    | 0.00%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PROGRESSIVE CORP OHIO                                                           | PROGRESSIVE CORP OHIO 2.5% 03/15/2027                                                               | CUSIP: 743315AY9<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |    7346000 | PA      | $7221402.88    | 0.01%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PROGRESSIVE CORP OHIO                                                           | PROGRESSIVE CORP OHIO 3% 03/15/2032                                                                 | CUSIP: 743315AZ6<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |   13862000 | PA      | $12851975.59   | 0.02%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HONDA MOTOR CO LTD                                                              | HONDA MOTOR CO LTD 2.534% 03/10/2027                                                                | CUSIP: 438127AB8<br>LEI: 549300P7ZYCQJ36CCS16 | Long             | DBT              | CORP              | JP        |   14164000 | PA      | $13901922.94   | 0.02%             | 2027-03-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION T5Y+NA 03/08/2037                                                       | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4603000 | PA      | $4352401.91    | 0.01%             | 2037-03-08      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN CORP                                                     | BERKSHIRE HATHAWAY FIN CORP 2.875% 03/15/2032                                                       | CUSIP: 084664DA6<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1878579.06    | 0.00%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| BERKSHIRE HATHAWAY FIN CORP                                                     | BERKSHIRE HATHAWAY FIN CORP 3.85% 03/15/2052                                                        | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    3660000 | PA      | $2885110.99    | 0.00%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 1.5% 10/01/2041#RB5130                                                                    | CUSIP: 3133KYVX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11834212 | PA      | $10047433.18   | 0.01%             | 2041-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.4% 04/01/2033     | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5373605.29    | 0.01%             | 2033-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2051#                                                                          | CUSIP: 3140QMKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1951693 | PA      | $1818991.38    | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 3.785%/VAR 03/17/2033                                                                 | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    7100000 | PA      | $6801278.43    | 0.01%             | 2033-03-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: —       |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 2.25% 01/25/2032                                                     | CUSIP: 3137H6LZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2600000 | PA      | $2344125.94    | 0.00%             | 2032-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 3.75%/VAR 03/18/2028                                                       | CUSIP: 53944YAS2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $1990366.84    | 0.00%             | 2028-03-18      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                        | DUKE ENERGY PROGRESS LLC 3.4% 04/01/2032                                                            | CUSIP: 26442UAN4<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    9666000 | PA      | $9179963.65    | 0.01%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2051#                                                                          | CUSIP: 3140XBME7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70653 | PA      | $66026.06      | 0.00%             | 2051-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROWN and BROWN INC                                                             | BROWN and BROWN INC 4.2% 03/17/2032                                                                 | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    6283000 | PA      | $6082919.06    | 0.01%             | 2032-03-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 02/01/2037#FS0427                                                                      | CUSIP: 3140XFPM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11510815 | PA      | $10647116.41   | 0.02%             | 2037-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 03/01/2037#BT2213                                                                    | CUSIP: 3140LQN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     346405 | PA      | $312482.60     | 0.00%             | 2037-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 04/01/2037#                                                                          | CUSIP: 3132D6BQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     768338 | PA      | $693096.21     | 0.00%             | 2037-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 05/01/2036#                                                                            | CUSIP: 3140QKT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276097 | PA      | $256243.29     | 0.00%             | 2036-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 3.526%/VAR 03/24/2028                                                        | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4963721.75    | 0.01%             | 2028-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | BANCO SANTANDER SA 4.175%/VAR 03/24/2028                                                            | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    6000000 | PA      | $5994867.54    | 0.01%             | 2028-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2052#                                                                            | CUSIP: 3140XF4X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64139 | PA      | $57360.44      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                        | TOYOTA MOTOR CREDIT CORP 3.05% 03/22/2027                                                           | CUSIP: 89236TJZ9<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   11570000 | PA      | $11445213.04   | 0.02%             | 2027-03-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 08/20/2051#MA7535                                                                        | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     328731 | PA      | $296934.69     | 0.00%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 1.5% 03/20/2052#                                                                            | CUSIP: 36179WY77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     317269 | PA      | $253390.64     | 0.00%             | 2052-03-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 03/20/2052#                                                                            | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16692516 | PA      | $14499953.96   | 0.02%             | 2052-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                    | ING GROEP NV 4.252%/VAR 03/28/2033                                                                  | CUSIP: 456837BC6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    7800000 | PA      | $7698185.59    | 0.01%             | 2033-03-28      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 10/01/2036#QN8258                                                                      | CUSIP: 3133GFE76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     875837 | PA      | $810940.88     | 0.00%             | 2036-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 4.762%/VAR 03/29/2033                                                             | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    8100000 | PA      | $8085660.33    | 0.01%             | 2033-03-29      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 3.75% 04/01/2032                                                                      | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   32063000 | PA      | $30812942.18   | 0.05%             | 2032-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 03/20/2052#                                                                              | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     131207 | PA      | $118454.04     | 0.00%             | 2052-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                  | TARGA RES CORP 4.95% 04/15/2052                                                                     | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $5145436.92    | 0.01%             | 2052-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRUNSWICK CORP                                                                  | BRUNSWICK CORP 5.1% 04/01/2052                                                                      | CUSIP: 117043AV1<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $1704159.11    | 0.00%             | 2052-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.5% 03/31/2027                                                                           | CUSIP: 91282CEF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5000000 | PA      | $4930468.75    | 0.01%             | 2027-03-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2051#                                                                            | CUSIP: 3140QMVZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2879974 | PA      | $2559420.82    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                       | INVITATION HOMES OPERATING PARTNERSHIP LP 4.15% 04/15/2032                                          | CUSIP: 46188BAD4<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    6186000 | PA      | $6007609.12    | 0.01%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HP INC                                                                          | HP INC 4.2% 04/15/2032                                                                              | CUSIP: 40434LAL9<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |    6450000 | PA      | $6290738.92    | 0.01%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2052#FS1372                                                                      | CUSIP: 3140XGQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     995821 | PA      | $884981.84     | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                              | CANADIAN IMPERIAL BK OF COMM 3.6% 04/07/2032                                                        | CUSIP: 13607HR53<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    3614000 | PA      | $3453645.45    | 0.01%             | 2032-04-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                     | EQUINIX INC 3.9% 04/15/2032                                                                         | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    6400000 | PA      | $6170493.06    | 0.01%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 03/01/2052#QD8702                                                                      | CUSIP: 3133B6U32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4276905 | PA      | $3522940.70    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 04/01/2052#RA7138                                                                      | CUSIP: 3133KN4X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9757625 | PA      | $8037479.27    | 0.01%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 04/01/2052#RA7141                                                                      | CUSIP: 3133KN5A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5223876 | PA      | $4319297.29    | 0.01%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 03/01/2052#RA7011                                                                      | CUSIP: 3133KNYG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13735391 | PA      | $11374108.34   | 0.02%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 02/01/2052#BT2014                                                                      | CUSIP: 3140LQGY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6556455 | PA      | $5400635.41    | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2052#                                                                          | CUSIP: 31418ED72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     693681 | PA      | $643696.97     | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                         | BANK OF NOVA SCOTIA 4.588%/VAR 05/04/2037                                                           | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    2700000 | PA      | $2636126.29    | 0.00%             | 2037-05-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2052#                                                                            | CUSIP: 3140XF4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186021 | PA      | $165316.23     | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DALLAS FORT WORTH TX INTL ARPT                                                  | DFW ARPT 4.507% 11/1/2051                                                                           | CUSIP: 23503CAN7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    4485000 | PA      | $3968658.54    | 0.01%             | 2051-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                            | KEURIG DR PEPPER INC 4.5% 04/15/2052                                                                | CUSIP: 49271VAR1<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $821143.11     | 0.00%             | 2052-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                            | KEURIG DR PEPPER INC 4.05% 04/15/2032                                                               | CUSIP: 49271VAQ3<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   11200000 | PA      | $10790701.38   | 0.02%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                            | ROYAL BANK OF CANADA 3.625% 05/04/2027                                                              | CUSIP: 78016EZD2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    7900000 | PA      | $7877445.11    | 0.01%             | 2027-05-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | AMAZON.COM INC 3.6% 04/13/2032                                                                      | CUSIP: 023135CH7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1946242.82    | 0.00%             | 2032-04-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/01/2052#                                                                          | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131514 | PA      | $112504.10     | 0.00%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2052#                                                                          | CUSIP: 3140QMZV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2474751 | PA      | $2107759.91    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2048#                                                                          | CUSIP: 3140Q9VK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10253 | PA      | $10213.12      | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2052#CB3353                                                                    | CUSIP: 3140QNWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3065823 | PA      | $2611179.02    | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2052#                                                                            | CUSIP: 31418EDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38154037 | PA      | $33919251.55   | 0.05%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 01/01/2052#                                                                          | CUSIP: 3133B1QG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     377961 | PA      | $326400.04     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2052#                                                                          | CUSIP: 3133B4MU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     201094 | PA      | $173409.22     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 03/01/2052#QE0848                                                                    | CUSIP: 3133B95H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     725932 | PA      | $626220.36     | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 08/01/2051#                                                                          | CUSIP: 3140XCLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28091 | PA      | $23925.32      | 0.00%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 5.297%/VAR 04/20/2037                                                                | CUSIP: 61747YES0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7482633.08    | 0.01%             | 2037-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 4.611%/VAR 04/25/2053                                                        | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    6390000 | PA      | $5632197.12    | 0.01%             | 2053-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.586%/VAR 04/26/2033                                                         | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    9454000 | PA      | $9550440.16    | 0.01%             | 2033-04-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK41                                                                 | BANK 2022-BNK41 3.91626% 04/15/2065                                                                 | CUSIP: 06540MBH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27916479 | PA      | $26795590.49   | 0.04%             | 2065-04-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2051#FS1501                                                                      | CUSIP: 3140XGU31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     610138 | PA      | $587429.70     | 0.00%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#BQ6913                                                                      | CUSIP: 3140KSVF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139830 | PA      | $114655.39     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 04/20/2052#                                                                              | CUSIP: 36179W2T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12932222 | PA      | $10785099.65   | 0.02%             | 2052-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 04/20/2052#MA7988                                                                        | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15441157 | PA      | $13940368.79   | 0.02%             | 2052-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 04/20/2052#                                                                            | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     634001 | PA      | $550823.92     | 0.00%             | 2052-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 4.75% 02/15/2028                                                                 | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   11117000 | PA      | $11230160.50   | 0.02%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 4.95% 02/15/2030                                                                 | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1821479.58    | 0.00%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 5.125% 05/15/2032                                                                | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    5838000 | PA      | $5888294.49    | 0.01%             | 2032-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.75% 04/30/2027                                                                          | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  243000000 | PA      | $240285233.16  | 0.35%             | 2027-04-30      | 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        |   33500000 | PA      | $32799902.26   | 0.05%             | 2029-04-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                             | ELEVANCE HEALTH INC 4.1% 05/15/2032                                                                 | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    9100000 | PA      | $8886539.03    | 0.01%             | 2032-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2052#MA4600                                                                    | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15668483 | PA      | $14549273.55   | 0.02%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 2.355% 03/15/2032                                                        | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   19271000 | PA      | $17032423.79   | 0.03%             | 2032-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2052#CB3579                                                                      | CUSIP: 3140QN6R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55361247 | PA      | $49701013.44   | 0.07%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                | GEORGIA POWER CO 4.7% 05/15/2032                                                                    | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4072713.96    | 0.01%             | 2032-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                        | CONSTELLATION BRANDS INC 4.75% 05/09/2032                                                           | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5049990.95    | 0.01%             | 2032-05-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                 | XCEL ENERGY INC 4.6% 06/01/2032                                                                     | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |   11300000 | PA      | $11289759.71   | 0.02%             | 2032-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAP CORP                                                         | AMER WATER CAP CORP 4.45% 06/01/2032                                                                | CUSIP: 03040WBA2<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $12061375.92   | 0.02%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES INC/OH                                                    | HUNTINGTON BANCSHARES INC/OH 2.487%/VAR 08/15/2036                                                  | CUSIP: 446150AX2<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    1850000 | PA      | $1602530.61    | 0.00%             | 2036-08-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.875% 05/15/2032                                                                         | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   42500000 | PA      | $40381640.63   | 0.06%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.875% 05/15/2052                                                       | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  124100000 | PA      | $89439257.19   | 0.13%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON NATIONAL BANK                                                        | HUNTINGTON NATL BK COLUMBUS OH 4.552%/VAR 05/17/2028                                                | CUSIP: 44644MAF8<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10057068.10   | 0.01%             | 2028-05-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2052#RA7380                                                                    | CUSIP: 3133KPFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34255 | PA      | $31915.45      | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 06/01/2052#SD8219                                                                    | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     261714 | PA      | $223884.68     | 0.00%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/52#SD8221                                                                         | CUSIP: 3132DWD26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83767 | PA      | $77731.14      | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 06/01/2052#SD8220                                                                      | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26243583 | PA      | $23396369.03   | 0.03%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 05/01/2052#SD8211                                                                      | CUSIP: 3132DWDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     129112 | PA      | $105705.33     | 0.00%             | 2052-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 05/01/2052#QE2352                                                                    | CUSIP: 3133BBTH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     912770 | PA      | $780834.00     | 0.00%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2052#                                                                          | CUSIP: 3133KPJC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2077567 | PA      | $1780512.65    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 02/01/2052#BV2340                                                                      | CUSIP: 3140MFS61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194693 | PA      | $158607.02     | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 01/01/2052#FS0490                                                                      | CUSIP: 3140XFRL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2861406 | PA      | $2332833.49    | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 04/01/2052#MA4577                                                                      | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101621 | PA      | $83198.09      | 0.00%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE CO OF COLORADO                                                   | PUBLIC SERVICE CO OF COLORADO 4.1% 06/01/2032                                                       | CUSIP: 744448CW9<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1969119.04    | 0.00%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 09/01/2051#QC7173                                                                    | CUSIP: 3133AR6J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     443246 | PA      | $379869.86     | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | INTERCONTINENTAL EXCHANGE INC 4.95% 06/15/2052                                                      | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    2420000 | PA      | $2240680.42    | 0.00%             | 2052-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | INTERCONTINENTAL EXCHANGE INC 4.6% 03/15/2033                                                       | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4648166.14    | 0.01%             | 2033-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | INTERCONTINENTAL EXCHANGE INC 4.35% 06/15/2029                                                      | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1010494.70    | 0.00%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | INTERCONTINENTAL EXCHANGE INC 4% 09/15/2027                                                         | CUSIP: 45866FAU8<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   11200000 | PA      | $11215865.92   | 0.02%             | 2027-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                                                        | WILLIS NORTH AMERICA INC 4.65% 06/15/2027                                                           | CUSIP: 970648AL5<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |    5827000 | PA      | $5867768.08    | 0.01%             | 2027-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3.25% 05/15/2042                                                        | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  271300000 | PA      | $230615596.98  | 0.34%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                                                 | NXP B V/NXP FDG LLC/NXP USA INC 5% 01/15/2033                                                       | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    8500000 | PA      | $8648809.42    | 0.01%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 03/01/2037#MA4568                                                                    | CUSIP: 31418ECE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10024933 | PA      | $9479967.01    | 0.01%             | 2037-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 08/01/2035#QN3055                                                                    | CUSIP: 3133G9MC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     209036 | PA      | $190067.83     | 0.00%             | 2035-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 09/01/2035#MA4122                                                                    | CUSIP: 31418DSL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     574543 | PA      | $522408.55     | 0.00%             | 2035-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 01/01/2037#CB3244                                                                    | CUSIP: 3140QNTA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     667002 | PA      | $602517.26     | 0.00%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 07/01/2035#QN2804                                                                    | CUSIP: 3133G9DH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2165726 | PA      | $1969206.76    | 0.00%             | 2035-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 04/01/2037#QN9730                                                                    | CUSIP: 3133GGY31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13171438 | PA      | $11881585.08   | 0.02%             | 2037-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 05/01/2037#SB8153                                                                      | CUSIP: 3132D6BW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85161 | PA      | $78770.62      | 0.00%             | 2037-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 09/01/2036#BT3001                                                                      | CUSIP: 3140LRKP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122683 | PA      | $113745.55     | 0.00%             | 2036-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 08/01/2036#RC2251                                                                      | CUSIP: 3133L8QC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1087685 | PA      | $1007431.34    | 0.00%             | 2036-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 05/01/2037#QO0277                                                                      | CUSIP: 3133WJJW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17637 | PA      | $16313.31      | 0.00%             | 2037-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 05/01/2037#BT7829                                                                    | CUSIP: 3140LWVX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     328210 | PA      | $296069.07     | 0.00%             | 2037-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                                             | PAYPAL HOLDINGS INC 4.4% 06/01/2032                                                                 | CUSIP: 70450YAL7<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10022985.60   | 0.01%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| KEYCORP                                                                         | KEYCORP 4.789%/VAR 06/01/2033                                                                       | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7312801.57    | 0.01%             | 2033-06-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                   | AEP TEXAS INC 4.7% 05/15/2032                                                                       | CUSIP: 00108WAP5<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4026357.32    | 0.01%             | 2032-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| NXP B V/NXP FDG LLC/NXP USA INC                                                 | NXP B V/NXP FDG LLC/NXP USA INC 2.65% 02/15/2032                                                    | CUSIP: 62954HAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   17641000 | PA      | $15794429.21   | 0.02%             | 2032-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 4.95% 05/15/2062                                                             | CUSIP: 91324PEL2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4143973.32    | 0.01%             | 2062-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 05/20/2052#MA8043                                                                        | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   64599379 | PA      | $58320706.52   | 0.09%             | 2052-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 05/20/2052#MA8042                                                                      | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7711835 | PA      | $6700089.98    | 0.01%             | 2052-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.75% 05/31/2029                                                                          | CUSIP: 91282CES6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32300000 | PA      | $31476097.74   | 0.05%             | 2029-05-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.625% 05/31/2027                                                                         | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   39800000 | PA      | $39262078.32   | 0.06%             | 2027-05-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 4.755%/VAR 06/09/2028                                                             | CUSIP: 404280DF3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    7000000 | PA      | $7060380.53    | 0.01%             | 2028-06-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2.5% 04/01/2042#RB5154                                                                    | CUSIP: 3133KYWP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20879864 | PA      | $18813168.49   | 0.03%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                       | TORONTO DOMINION BANK 4.108% 06/08/2027                                                             | CUSIP: 89115A2C5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    9800000 | PA      | $9814649.92    | 0.01%             | 2027-06-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                  | PNC FINANCIAL SERVICES GRP INC 4.626%/VAR 06/06/2033                                                | CUSIP: 693475BE4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4975574.60    | 0.01%             | 2033-06-06      | 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 2.58% 05/25/2032                                                     | CUSIP: 3137H7QH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6900000 | PA      | $6308587.20    | 0.01%             | 2032-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                           | JACKSON FINANCIAL INC 5.17% 06/08/2027                                                              | CUSIP: 46817MAR8<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |    9500000 | PA      | $9606374.83    | 0.01%             | 2027-06-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OREILLY AUTOMOTIVE INC                                                          | OREILLY AUTOMOTIVE INC 4.7% 06/15/2032                                                              | CUSIP: 67103HAL1<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    8100000 | PA      | $8194486.99    | 0.01%             | 2032-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP                                                            | PARKER-HANNIFIN CORP 4.5% 09/15/2029                                                                | CUSIP: 701094AS3<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2032186.66    | 0.00%             | 2029-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2052#MA4626                                                                      | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     717321 | PA      | $686925.13     | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                     | PACIFIC GAS and ELECTRIC CO 5.45% 06/15/2027                                                        | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1116213.19    | 0.00%             | 2027-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HP INC                                                                          | HP INC 5.5% 01/15/2033                                                                              | CUSIP: 40434LAN5<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2073956.28    | 0.00%             | 2033-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| COMCAST CORP                                                                    | COMCAST CORP 2.937% 11/01/2056                                                                      | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   57662000 | PA      | $33467480.33   | 0.05%             | 2056-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | COMCAST CORP 2.887% 11/01/2051                                                                      | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   15309000 | PA      | $9262534.55    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES CORP                                                     | CENTERPOINT ENERGY RES CORP 4.4% 07/01/2032                                                         | CUSIP: 15189WAP5<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1987119.36    | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 07/01/2052#SD8233                                                                      | CUSIP: 3132DWEE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     993735 | PA      | $999699.30     | 0.00%             | 2052-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/01/2051#CB0517                                                                    | CUSIP: 3140QKSF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300268 | PA      | $255739.79     | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 11/01/2051#QC9944                                                                    | CUSIP: 3133AVBM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29109 | PA      | $24792.38      | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2052#SD8226                                                                    | CUSIP: 3132DWD75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35161287 | PA      | $32627719.53   | 0.05%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2052#MA4656                                                                    | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22911 | PA      | $22566.69      | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC.                                                       | BAXTER INTERNATIONAL INC 2.539% 02/01/2032                                                          | CUSIP: 071813CS6<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |   12914000 | PA      | $11289099.95   | 0.02%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC.                                                       | BAXTER INTERNATIONAL INC 1.915% 02/01/2027                                                          | CUSIP: 071813CL1<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |   11725000 | PA      | $11423567.72   | 0.02%             | 2027-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 06/20/2052#MA8098                                                                        | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28111047 | PA      | $25396391.05   | 0.04%             | 2052-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 06/20/2052#MA8099                                                                      | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37991316 | PA      | $35284810.65   | 0.05%             | 2052-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                    | NEXTERA ENERGY CAP HLDGS INC 5% 07/15/2032                                                          | CUSIP: 65339KCJ7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    8800000 | PA      | $9050392.12    | 0.01%             | 2032-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| UST NOTES                                                                       | UST NOTES 3.25% 06/30/2027                                                                          | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   72000000 | PA      | $71682187.68   | 0.11%             | 2027-06-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                               | NATWEST GROUP PLC 5.516%/VAR 09/30/2028                                                             | CUSIP: 639057AF5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    9700000 | PA      | $9942393.79    | 0.01%             | 2028-09-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 04/01/2052#FS1598                                                                      | CUSIP: 3140XGX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182139 | PA      | $149119.33     | 0.00%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                        | TOYOTA MOTOR CREDIT CORP 4.45% 06/29/2029                                                           | CUSIP: 89236TKD6<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2028164.70    | 0.00%             | 2029-06-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                             | NOMURA HOLDINGS INC 5.605% 07/06/2029                                                               | CUSIP: 65535HBC2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    7500000 | PA      | $7829871.30    | 0.01%             | 2029-07-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2052#FS2258                                                                    | CUSIP: 3140XHQL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   52055474 | PA      | $48304585.21   | 0.07%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 06/20/2052#MA8100                                                                        | CUSIP: 36179W7M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13195843 | PA      | $12665541.45   | 0.02%             | 2052-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4.5% 07/20/2052#MA8151                                                                      | CUSIP: 36179XBU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15980441 | PA      | $15749819.72   | 0.02%             | 2052-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2022-3                                                     | CARMAX AUTO OWNER TR 2022-3 3.97% 04/15/2027                                                        | CUSIP: 14318MAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3107185 | PA      | $3106360.13    | 0.00%             | 2027-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2052#BW0000                                                                      | CUSIP: 3140MRAA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21214589 | PA      | $20357392.36   | 0.03%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2052#SD8237                                                                      | CUSIP: 3132DWEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1284719 | PA      | $1231604.31    | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2052#MA4700                                                                      | CUSIP: 31418EGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8130196 | PA      | $7794065.48    | 0.01%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2052#BU8845                                                                    | CUSIP: 3140MAZK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     606361 | PA      | $563048.30     | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2052#BV8117                                                                      | CUSIP: 3140MNAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1099567 | PA      | $980616.23     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2052#QE4278                                                                    | CUSIP: 3133BDXF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5579466 | PA      | $5193126.73    | 0.01%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/01/2052#                                                                            | CUSIP: 3133BFH45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     530619 | PA      | $509179.01     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2052#BW3435                                                                      | CUSIP: 3140MUY95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22792 | PA      | $21871.35      | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2049#QA5428                                                                    | CUSIP: 3133A0A53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8977 | PA      | $8425.30       | 0.00%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2052#QE5952                                                                    | CUSIP: 3133BFTH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     556152 | PA      | $517642.27     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2052#BV8235                                                                    | CUSIP: 3140MNEH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1595718 | PA      | $1480737.26    | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2052#BT8117                                                                    | CUSIP: 3140LXAT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132600 | PA      | $123128.32     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2052#SD8214                                                                    | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7531245 | PA      | $6993283.54    | 0.01%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2049#BO4176                                                                    | CUSIP: 3140JYUA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90431 | PA      | $84621.40      | 0.00%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2052#BW5579                                                                    | CUSIP: 3140MXFV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     927080 | PA      | $860278.57     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2052#MA4701                                                                    | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32434429 | PA      | $31855766.04   | 0.05%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 08/01/2052#SD8238                                                                    | CUSIP: 3132DWEK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23533209 | PA      | $23179540.33   | 0.03%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 10/01/2051#BT6823                                                                    | CUSIP: 3140LVSM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   74999059 | PA      | $64122320.68   | 0.09%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PG and E WILDFIRE RECOVERY                                                      | PG and E WILDFIRE RECOVERY 5.212% 12/01/2049                                                        | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11120000 | PA      | $10898956.97   | 0.02%             | 2049-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PG and E WILDFIRE RECOVERY                                                      | PG and E WILDFIRE RECOVERY 5.099% 06/01/2054                                                        | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5100000 | PA      | $4859961.56    | 0.01%             | 2054-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PG and E WILDFIRE RECOVERY                                                      | PG and E WILDFIRE RECOVERY 5.081% 06/01/2043                                                        | CUSIP: 693342AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1000000 | PA      | $998075.67     | 0.00%             | 2043-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 03/01/2037#SB0627                                                                    | CUSIP: 3132CWVU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     471946 | PA      | $448355.39     | 0.00%             | 2037-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 04/01/2037#FS1308                                                                    | CUSIP: 3140XGN21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     525811 | PA      | $497719.97     | 0.00%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 03/01/2037#CB3210                                                                    | CUSIP: 3140QNR87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3624483 | PA      | $3427452.20    | 0.01%             | 2037-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2037#BV7888                                                                    | CUSIP: 3140MMXS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199410 | PA      | $188570.09     | 0.00%             | 2037-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2037#                                                                          | CUSIP: 3140QPVQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1055237 | PA      | $1002160.19    | 0.00%             | 2037-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2036#CB2248                                                                    | CUSIP: 3140QMQA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1564614 | PA      | $1479071.24    | 0.00%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 4.808%/VAR 07/25/2028                                                        | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   16500000 | PA      | $16677677.12   | 0.02%             | 2028-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 4.897%/VAR 07/25/2033                                                        | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   19800000 | PA      | $20254186.26   | 0.03%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.912%/VAR 07/25/2033                                                         | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   20900000 | PA      | $21459389.55   | 0.03%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.948%/VAR 07/22/2028                                                   | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5070326.95    | 0.01%             | 2028-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 5.015%/VAR 07/22/2033                                                   | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    8900000 | PA      | $9157126.70    | 0.01%             | 2033-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4% 07/20/2052#MA8150                                                                        | CUSIP: 36179XBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3217715 | PA      | $3087398.83    | 0.00%             | 2052-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3% 07/20/2052#MA8148                                                                        | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5712286 | PA      | $5160656.44    | 0.01%             | 2052-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| IBM CORPORATION                                                                 | IBM CORPORATION 4.4% 07/27/2032                                                                     | CUSIP: 459200KU4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    8100000 | PA      | $8132215.89    | 0.01%             | 2032-07-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| UST NOTES                                                                       | UST NOTES 2.75% 07/31/2027                                                                          | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   73600000 | PA      | $72662749.63   | 0.11%             | 2027-07-31      | 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        |  603100000 | PA      | $584229567.91  | 0.86%             | 2029-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                        | CSX CORP 4.1% 11/15/2032                                                                            | CUSIP: 126408HU0<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |   13500000 | PA      | $13326557.00   | 0.02%             | 2032-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 5.247%/VAR 07/26/2030                                                          | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    5600000 | PA      | $5771002.78    | 0.01%             | 2030-07-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: —       |
| TRUIST FINANCIAL CORP                                                           | TRUIST FINANCIAL CORP 4.916%/VAR 07/28/2033                                                         | CUSIP: 89788NAA8<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    4850000 | PA      | $4858756.19    | 0.01%             | 2033-07-28      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC DEL                                                           | KINDER MORGAN INC DEL 4.8% 02/01/2033                                                               | CUSIP: 49456BAV3<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2016828.50    | 0.00%             | 2033-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                                             | FIFTH THIRD BANCORP 4.772%/VAR 07/28/2030                                                           | CUSIP: 316773DG2<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    6100000 | PA      | $6183299.65    | 0.01%             | 2030-07-28      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                               | GENERAL MOTORS CO 5.6% 10/15/2032                                                                   | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $5140762.19    | 0.01%             | 2032-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2052#CB4020                                                                      | CUSIP: 3140QPPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17230447 | PA      | $16534233.73   | 0.02%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2052#CB3899                                                                    | CUSIP: 3140QPKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10652049 | PA      | $9914468.50    | 0.01%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | APPLE INC 3.35% 08/08/2032                                                                          | CUSIP: 037833EP1<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6743885.47    | 0.01%             | 2032-08-08      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| HUNTINGTON BANCSHARES INC/OH                                                    | HUNTINGTON BANCSHARES INC/OH 4.443%/VAR 08/04/2028                                                  | CUSIP: 446150BB9<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3115460.48    | 0.00%             | 2028-08-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COLGATE-PALMOLIVE CO                                                            | COLGATE-PALMOLIVE CO 3.25% 08/15/2032                                                               | CUSIP: 194162AP8<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1897835.40    | 0.00%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: —       |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 5.501%/VAR 08/09/2028                                                                  | CUSIP: 06738EBY0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    4980000 | PA      | $5082653.09    | 0.01%             | 2028-08-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                      | INTEL CORP 4% 08/05/2029                                                                            | CUSIP: 458140BZ2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1981665.64    | 0.00%             | 2029-08-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                      | INTEL CORP 4.15% 08/05/2032                                                                         | CUSIP: 458140CA6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1942641.38    | 0.00%             | 2032-08-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP 5.405%/VAR 08/10/2033                                                          | CUSIP: 961214FG3<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    2000000 | PA      | $2075975.48    | 0.00%             | 2033-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATIONAL RAILWAY CO                                                    | CANADIAN NATIONAL RAILWAY CO 3.85% 08/05/2032                                                       | CUSIP: 136375DC3<br>LEI: 3SU7BEP7TH9YEQOZCS77 | Long             | DBT              | CORP              | CA        |    2000000 | PA      | $1942579.30    | 0.00%             | 2032-08-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                     | MOODYS CORP 4.25% 08/08/2032                                                                        | CUSIP: 615369AZ8<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $989492.38     | 0.00%             | 2032-08-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3% 08/15/2052                                                           | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  353800000 | PA      | $261369750.00  | 0.38%             | 2052-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.75% 08/15/2032                                                                          | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  648086000 | PA      | $609074262.32  | 0.90%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 4.976%/VAR 08/11/2033                                                      | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $2042080.28    | 0.00%             | 2033-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 5.21%/VAR 08/11/2028                                                              | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $2032177.06    | 0.00%             | 2028-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 03/01/2052#RA7091                                                                    | CUSIP: 3133KN2Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40477 | PA      | $34639.04      | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2051#FM5561                                                                    | CUSIP: 3140X9FB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22883724 | PA      | $19690432.81   | 0.03%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINL INC                                                             | PRUDENTIAL FINL INC T5Y+NA 09/01/2052                                                               | CUSIP: 744320BK7<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    7060000 | PA      | $7316616.88    | 0.01%             | 2052-09-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: —       |
| DUKE ENERGY CORP NEW                                                            | DUKE ENERGY CORP NEW 5% 08/15/2052                                                                  | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1443642.29    | 0.00%             | 2052-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                            | DUKE ENERGY CORP NEW 4.5% 08/15/2032                                                                | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1000678.54    | 0.00%             | 2032-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KEYBANK NATL ASSN                                                               | KEYBANK NATL ASSN 4.9% 08/08/2032                                                                   | CUSIP: 49327V2C7<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1996544.16    | 0.00%             | 2032-08-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                             | GLOBAL PAYMENTS INC 5.95% 08/15/2052                                                                | CUSIP: 37940XAR3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $5284584.25    | 0.01%             | 2052-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2052#                                                                            | CUSIP: 3133BHGB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     806929 | PA      | $773567.76     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2052#CB4380                                                                      | CUSIP: 3140QP2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27065490 | PA      | $25946508.30   | 0.04%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 08/01/2052#MA4698                                                                      | CUSIP: 31418EGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59764 | PA      | $53279.65      | 0.00%             | 2052-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2052#CB4276                                                                      | CUSIP: 3140QPXE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3557812 | PA      | $3414055.45    | 0.01%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 03/01/2052#CB3095                                                                      | CUSIP: 3140QNNM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     989538 | PA      | $806127.16     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2042#ZS4485                                                                      | CUSIP: 3132A46W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2127 | PA      | $2088.49       | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2040#ZJ0437                                                                      | CUSIP: 3131WQPW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4269 | PA      | $4204.94       | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2052#FS1448                                                                      | CUSIP: 3140XGTE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196999 | PA      | $189100.62     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2042#ZL3401                                                                      | CUSIP: 3131XJX64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28802 | PA      | $28293.28      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2042#ZL4046                                                                      | CUSIP: 3131XKP78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30303 | PA      | $29736.42      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2035#ZI4747                                                                      | CUSIP: 3131WHHY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3662 | PA      | $3630.52       | 0.00%             | 2035-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2041#ZL2233                                                                      | CUSIP: 3131XHPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12671 | PA      | $12472.79      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 09/01/2052#SD8246                                                                      | CUSIP: 3132DWET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29733068 | PA      | $29892939.60   | 0.04%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                             | DOMINION ENERGY INC 4.85% 08/15/2052                                                                | CUSIP: 25746UDQ9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4375701.55    | 0.01%             | 2052-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| TEXAS INSTRUMENTS INC.                                                          | TEXAS INSTRUMENTS INC 3.65% 08/16/2032                                                              | CUSIP: 882508BP8<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1929040.70    | 0.00%             | 2032-08-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORP                               | NATIONAL RURAL UTL COOP FIN 4.15% 12/15/2032                                                        | CUSIP: 637432NZ4<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |   14810000 | PA      | $14569604.38   | 0.02%             | 2032-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4% 08/20/2052#MA8200                                                                        | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18378006 | PA      | $17622219.40   | 0.03%             | 2052-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/01/2052#SD8245                                                                    | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   71646369 | PA      | $70547242.15   | 0.10%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                             | DOMINION ENERGY INC 4.35% 08/15/2032                                                                | CUSIP: 25746UDP1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1969624.26    | 0.00%             | 2032-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | BANCO SANTANDER SA 5.294% 08/18/2027                                                                | CUSIP: 05964HAS4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    2000000 | PA      | $2035742.18    | 0.00%             | 2027-08-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3.375% 08/15/2042                                                       | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  273700000 | PA      | $235916568.94  | 0.35%             | 2042-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 10YR 1.5% 08/01/2031#MA4409                                                                    | CUSIP: 31418D3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25428 | PA      | $24121.56      | 0.00%             | 2031-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | AMGEN INC 4.875% 03/01/2053                                                                         | CUSIP: 031162DK3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    8280000 | PA      | $7444164.80    | 0.01%             | 2053-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                                                   | FORD MOTOR CO 6.1% 08/19/2032                                                                       | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |   17360000 | PA      | $17890326.65   | 0.03%             | 2032-08-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| EATON CORP                                                                      | EATON CORP 4.7% 08/23/2052                                                                          | CUSIP: 278062AJ3<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |    5800000 | PA      | $5285454.22    | 0.01%             | 2052-08-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 08/20/2052#MA8199                                                                      | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23990959 | PA      | $22281840.96   | 0.03%             | 2052-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 09/01/2037#MA4725                                                                    | CUSIP: 31418EHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39930 | PA      | $38975.03      | 0.00%             | 2037-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 07/01/2037#BW4149                                                                    | CUSIP: 3140MVTF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141254 | PA      | $137962.95     | 0.00%             | 2037-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.125% 08/31/2029                                                                         | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   59600000 | PA      | $58717640.48   | 0.09%             | 2029-08-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4.5% 09/01/2037#SB8186                                                                    | CUSIP: 3132D6CX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43695 | PA      | $43865.85      | 0.00%             | 2037-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMERICA BANK DALLAS TEXAS                                                      | COMERICA BK DALLAS TEX 5.332%/VAR 08/25/2033                                                        | CUSIP: 200339EX3<br>LEI: 70WY0ID1N53Q4254VH70 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1515392.57    | 0.00%             | 2033-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: —       |
| EASTERN GAS TRANSMISSION and STORAGE INC                                        | EASTERN GAS TRANSMISSION and STORAGE INC 3.9% 11/15/2049                                            | CUSIP: 276480AB6<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |    9666000 | PA      | $7121122.37    | 0.01%             | 2049-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2052#MA4733                                                                    | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22025756 | PA      | $21687859.25   | 0.03%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4% 09/20/2052#MA8267                                                                        | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21919318 | PA      | $20990498.13   | 0.03%             | 2052-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 5.625% 04/15/2053                                                                     | CUSIP: 548661EM5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   13800000 | PA      | $13652914.91   | 0.02%             | 2053-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| BANCO BILBAO VIZCAYA ARGENTARIA S.A                                             | BANCO BILBAO VIZ ARGENTARIA SA 6.138%/VAR 09/14/2028                                                | CUSIP: 05946KAL5<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    2000000 | PA      | $2068820.88    | 0.00%             | 2028-09-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DOLLAR GEN CORP NEW                                                             | DOLLAR GEN CORP NEW 5% 11/01/2032                                                                   | CUSIP: 256677AL9<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | DBT              | CORP              | US        |    9230000 | PA      | $9355897.66    | 0.01%             | 2032-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JOHNSON CONTROLS/TYCO FI                                                        | JOHNSON CONTROLS/TYCO FI 4.9% 12/01/2032                                                            | CUSIP: 47837RAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   11850000 | PA      | $12139427.36   | 0.02%             | 2032-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 09/01/2052#SD1572                                                                      | CUSIP: 3132DNW90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2849397 | PA      | $2881636.18    | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL QUE                                                            | BANK OF MONTREAL QUE 4.7% 09/14/2027                                                                | CUSIP: 06368LAQ9<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    9700000 | PA      | $9823720.20    | 0.01%             | 2027-09-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                       | TORONTO DOMINION BANK 4.693% 09/15/2027                                                             | CUSIP: 89115A2H4<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   10000000 | PA      | $10121713.50   | 0.01%             | 2027-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 5.65% 01/15/2053                                                                   | CUSIP: 87264ACW3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   10210000 | PA      | $10105387.32   | 0.01%             | 2053-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 5.2% 01/15/2033                                                                    | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    7265000 | PA      | $7536286.07    | 0.01%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| NSTAR ELEC CO                                                                   | NSTAR ELEC CO 4.95% 09/15/2052                                                                      | CUSIP: 67021CAT4<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |    3710000 | PA      | $3409234.68    | 0.01%             | 2052-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2052#SD8257                                                                    | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20796479 | PA      | $20477439.90   | 0.03%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 08/01/2052#QE7659                                                                      | CUSIP: 3133BHQL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23430 | PA      | $23483.49      | 0.00%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2052#BV7702                                                                    | CUSIP: 3140MMRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27048 | PA      | $23037.28      | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2052#MA4784                                                                    | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20581471 | PA      | $20265730.30   | 0.03%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2052#BW3873                                                                    | CUSIP: 3140MVJT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1977536 | PA      | $1837515.10    | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2052#BV8024                                                                      | CUSIP: 3140MM4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9290243 | PA      | $8906152.21    | 0.01%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2052#BW1135                                                                      | CUSIP: 3140MSHM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7711296 | PA      | $7387664.06    | 0.01%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2052#BW6148                                                                    | CUSIP: 3140MXZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4705847 | PA      | $4635124.85    | 0.01%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 10/01/2051#QC8778                                                                    | CUSIP: 3133ATXF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2450835 | PA      | $2087390.63    | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 6.8% 06/01/2038                                                                   | CUSIP: 404280DN6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    4833000 | PA      | $5432987.28    | 0.01%             | 2038-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 6.5% 09/15/2037                                                                   | CUSIP: 404280DM8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    8340000 | PA      | $9080120.87    | 0.01%             | 2037-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 11/01/2035#BQ4668                                                                      | CUSIP: 3140KQFJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23979 | PA      | $22345.04      | 0.00%             | 2035-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 10/01/2036#FM8955                                                                      | CUSIP: 3140XC5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46925 | PA      | $43389.75      | 0.00%             | 2036-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4.5% 09/20/2052#MA8268                                                                      | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23586292 | PA      | $23245906.19   | 0.03%             | 2052-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 2% 08/20/2052#MA8196                                                                        | CUSIP: 36179XC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2062873 | PA      | $1730368.11    | 0.00%             | 2052-08-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5% 09/20/2052#MA8269                                                                        | CUSIP: 36179XFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5868321 | PA      | $5907510.16    | 0.01%             | 2052-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4.5% 08/20/2052#MA8201                                                                      | CUSIP: 36179XDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3800822 | PA      | $3745970.07    | 0.01%             | 2052-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                        | EQT CORP 5.7% 04/01/2028                                                                            | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    6471000 | PA      | $6681874.23    | 0.01%             | 2028-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2051#FM7740                                                                    | CUSIP: 3140XBS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     898964 | PA      | $766214.56     | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 09/30/2027                                                                         | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  157400000 | PA      | $159072375.00  | 0.23%             | 2027-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 09/30/2029                                                                         | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   73200000 | PA      | $74037796.69   | 0.11%             | 2029-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                                               | ATMOS ENERGY CORP 5.45% 10/15/2032                                                                  | CUSIP: 049560AX3<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |   13820000 | PA      | $14683229.54   | 0.02%             | 2032-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 09/01/2052#FS2805                                                                    | CUSIP: 3140XJDK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     474121 | PA      | $405738.14     | 0.00%             | 2052-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                         | PHILIPPINES REPUBLIC OF 5.17% 10/13/2027                                                            | CUSIP: 718286CV7<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    6800000 | PA      | $6941168.00    | 0.01%             | 2027-10-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                     | PROLOGIS LP 1.75% 02/01/2031                                                                        | CUSIP: 74340XCA7<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |   23383000 | PA      | $20679096.04   | 0.03%             | 2031-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 10/52#QF0904                                                                           | CUSIP: 3133BNAD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     371348 | PA      | $373344.24     | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2052#MA4785                                                                      | CUSIP: 31418EJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1482826 | PA      | $1490799.30    | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 04/01/2052#SD1658                                                                    | CUSIP: 3132DNZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     442918 | PA      | $379589.22     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2052#MA4806                                                                      | CUSIP: 31418EKU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32406960 | PA      | $32581209.15   | 0.05%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 10/01/2052#QF1432                                                                      | CUSIP: 3133BNSV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1251680 | PA      | $1257628.17    | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2052#BW8982                                                                      | CUSIP: 3140N16U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1467585 | PA      | $1474558.78    | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2052#BW7752                                                                      | CUSIP: 3140N0TJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1178680 | PA      | $1184281.02    | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 11/01/2052#SD8267                                                                      | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24618093 | PA      | $24735076.02   | 0.04%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 08/01/2052#QF0658                                                                      | CUSIP: 3133BMWT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     181302 | PA      | $182254.52     | 0.00%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 08/01/2052#QE8695                                                                      | CUSIP: 3133BJUU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1517808 | PA      | $1523882.27    | 0.00%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 09/01/2052#QF0615                                                                      | CUSIP: 3133BMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1732726 | PA      | $1742042.85    | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 10/01/2052#QF1293                                                                      | CUSIP: 3133BNNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2588050 | PA      | $2601966.17    | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 10/01/2051#RA6107                                                                    | CUSIP: 3133KMYC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     659132 | PA      | $561386.23     | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 10/01/2052#QF2008                                                                      | CUSIP: 3133BPGR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1716439 | PA      | $1724595.43    | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/52#MA4805                                                                         | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11454717 | PA      | $11278990.16   | 0.02%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/52#CB3665                                                                         | CUSIP: 3140QPCB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53226 | PA      | $45333.00      | 0.00%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/52#FS1995                                                                         | CUSIP: 3140XHGD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2372042 | PA      | $2020281.88    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2052#QF1038                                                                      | CUSIP: 3133BNEK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2063918 | PA      | $1977298.48    | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 6.296%/VAR 10/18/2028                                                                | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   24000000 | PA      | $24943594.80   | 0.04%             | 2028-10-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 11/01/2036#BQ7451                                                                      | CUSIP: 3140KTH57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69685 | PA      | $64434.71      | 0.00%             | 2036-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 05/01/2037#FS1708                                                                      | CUSIP: 3140XG3S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28783 | PA      | $26622.95      | 0.00%             | 2037-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 03/01/2037#QN9765                                                                      | CUSIP: 3133GGZ63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     418170 | PA      | $387577.37     | 0.00%             | 2037-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                          | DIAMONDBACK ENERGY INC 6.25% 03/15/2033                                                             | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   11200000 | PA      | $12123946.24   | 0.02%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4.5% 10/20/2052#MA8347                                                                      | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15355961 | PA      | $15134351.59   | 0.02%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5% 10/20/2052#MA8348                                                                        | CUSIP: 36179XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28096585 | PA      | $28284217.04   | 0.04%             | 2052-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4% 10/20/2052#MA8346                                                                        | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24800887 | PA      | $23749962.13   | 0.03%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5% 08/20/2052#MA8202                                                                        | CUSIP: 36179XDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     596861 | PA      | $600846.64     | 0.00%             | 2052-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5% 07/20/2052#MA8152                                                                        | CUSIP: 36179XBV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     251597 | PA      | $253277.47     | 0.00%             | 2052-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                                           | HALEON US CAPITAL LLC 3.375% 03/24/2027                                                             | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   14422000 | PA      | $14291426.67   | 0.02%             | 2027-03-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                            | LOCKHEED MARTIN CORP 5.25% 01/15/2033                                                               | CUSIP: 539830BW8<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10566395.80   | 0.02%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| LOCKHEED MARTIN CORP                                                            | LOCKHEED MARTIN CORP 5.7% 11/15/2054                                                                | CUSIP: 539830BX6<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5156971.30    | 0.01%             | 2054-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                            | ROYAL BANK OF CANADA 6% 11/01/2027                                                                  | CUSIP: 78016FZU1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   10000000 | PA      | $10385662.90   | 0.02%             | 2027-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 10/31/2029                                                                             | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  138800000 | PA      | $141028390.97  | 0.21%             | 2029-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 10/31/2027                                                                         | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  396200000 | PA      | $400672725.57  | 0.59%             | 2027-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORP                               | NATIONAL RURAL UTL COOP FIN 5.8% 01/15/2033                                                         | CUSIP: 637432PA7<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $5918158.46    | 0.01%             | 2033-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 10/01/2052#MA4786                                                                    | CUSIP: 31418EJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4925684 | PA      | $5025138.72    | 0.01%             | 2052-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 5.875% 02/15/2053                                                            | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    7600000 | PA      | $7836996.27    | 0.01%             | 2053-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 5.35% 02/15/2033                                                             | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    7610000 | PA      | $7978544.61    | 0.01%             | 2033-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 5.25% 02/15/2028                                                             | CUSIP: 91324PEP3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    8360000 | PA      | $8593216.33    | 0.01%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051 #FM9672                                                                   | CUSIP: 3140XDXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21659 | PA      | $18446.88      | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                                           | HALEON US CAPITAL LLC 3.625% 03/24/2032                                                             | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   14451000 | PA      | $13779185.15   | 0.02%             | 2032-03-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 11/01/2052#SD8268                                                                    | CUSIP: 3132DWFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6147201 | PA      | $6271319.34    | 0.01%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2022-C                                           | HYUNDAI AUTO RECEIVABLES TRUST 2022-C A3 5.39% 06/15/2027                                           | CUSIP: 44933DAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2334173 | PA      | $2340080.55    | 0.00%             | 2027-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4% 11/15/2052                                                           | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  310100000 | PA      | $276849043.74  | 0.41%             | 2052-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 08/01/2037#QO0734                                                                    | CUSIP: 3133WJY78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64803 | PA      | $63435.08      | 0.00%             | 2037-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 06/01/2037#CB3716                                                                    | CUSIP: 3140QPDW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38225 | PA      | $37334.14      | 0.00%             | 2037-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 08/01/2037#QO0737                                                                    | CUSIP: 3133WJZA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     289728 | PA      | $283250.13     | 0.00%             | 2037-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE CO                                                       | ARIZONA PUBLIC SERVICE CO 6.35% 12/15/2032                                                          | CUSIP: 040555DE1<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4390124.00    | 0.01%             | 2032-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 6.204%/VAR 11/10/2028                                                   | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $8007590.90    | 0.01%             | 2028-11-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                   | SOUTHERN CALIFORNIA EDISON CO 5.85% 11/01/2027                                                      | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    9900000 | PA      | $10165112.40   | 0.01%             | 2027-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                                                    | QUALCOMM INC 5.4% 05/20/2033                                                                        | CUSIP: 747525BS1<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |   18000000 | PA      | $19182239.28   | 0.03%             | 2033-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| SOUTHERN CALIFORNIA GAS CO                                                      | SOUTHERN CALIFORNIA GAS CO 6.35% 11/15/2052                                                         | CUSIP: 842434CX8<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4617104.90    | 0.01%             | 2052-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 04/01/2052#SD7554                                                                    | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2702434 | PA      | $2345593.63    | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2052#CB2550                                                                    | CUSIP: 3140QMZQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1341350 | PA      | $1164232.89    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP 5.457% 11/18/2027                                                              | CUSIP: 961214FK4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   10000000 | PA      | $10314207.60   | 0.02%             | 2027-11-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2052#SD8275                                                                    | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17786767 | PA      | $17513900.04   | 0.03%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2052#MA4840                                                                    | CUSIP: 31418ELW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6816799 | PA      | $6712222.95    | 0.01%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 12/01/2052#MA4841                                                                      | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19974216 | PA      | $20069131.32   | 0.03%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2052#SD1298                                                                    | CUSIP: 3132DNNP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     604521 | PA      | $559450.71     | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2052#CB3504                                                                    | CUSIP: 3140QN3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1408739 | PA      | $1312073.83    | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2052#SD1164                                                                    | CUSIP: 3132DNJH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     866780 | PA      | $802156.63     | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/01/2052#BV7521                                                                    | CUSIP: 3140MMLB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13320663 | PA      | $11416051.57   | 0.02%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 12/01/2052#SD8278                                                                      | CUSIP: 3132DWFT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18489858 | PA      | $19025747.45   | 0.03%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 12/01/2052#                                                                            | CUSIP: 31418EM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39090740 | PA      | $40223703.01   | 0.06%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 10/01/2052#MA4818                                                                      | CUSIP: 31418EK82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     244229 | PA      | $251307.54     | 0.00%             | 2052-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 12/01/2052#CB5211                                                                      | CUSIP: 3140QQYH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2069828 | PA      | $2129817.88    | 0.00%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 11/01/2052#QF2499                                                                    | CUSIP: 3133BPX45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5452971 | PA      | $5563071.50    | 0.01%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 11/01/2052#BX2454                                                                    | CUSIP: 3140N6WQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1979237 | PA      | $2024766.78    | 0.00%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 11/01/2052#BX1040                                                                    | CUSIP: 3140N5EN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3733089 | PA      | $3808463.60    | 0.01%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 12/01/2052#SD8277                                                                    | CUSIP: 3132DWFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26870894 | PA      | $27413443.72   | 0.04%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 11/01/2052#QF3238                                                                    | CUSIP: 3133BQS31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1786577 | PA      | $1827674.58    | 0.00%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EBAY INC                                                                        | EBAY INC 5.95% 11/22/2027                                                                           | CUSIP: 278642BA0<br>LEI: OML71K8X303XQONU6T67 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $8289187.76    | 0.01%             | 2027-11-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4% 11/15/2042                                                           | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  245800000 | PA      | $229717382.20  | 0.34%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 12/01/2052#MA4842                                                                    | CUSIP: 31418ELY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150353 | PA      | $153388.35     | 0.00%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2052#QF1637                                                                      | CUSIP: 3133BNZA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82399 | PA      | $78915.36      | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2052#BW1241                                                                      | CUSIP: 3140MSLX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     855667 | PA      | $819488.14     | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2052#BW8449                                                                      | CUSIP: 3140N1L76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     636764 | PA      | $610637.16     | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2052#QE9573                                                                      | CUSIP: 3133BKT66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1305918 | PA      | $1252334.70    | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2052#QE9200                                                                      | CUSIP: 3133BKGH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1974798 | PA      | $1893769.99    | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2052#BX1661                                                                      | CUSIP: 3140N5Z31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2009728 | PA      | $1925382.91    | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2052#SD1577                                                                      | CUSIP: 3132DNXE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1793452 | PA      | $1722667.02    | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2052#BW8710                                                                      | CUSIP: 3140N1VC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2482810 | PA      | $2378610.34    | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2052#QF2377                                                                      | CUSIP: 3133BPUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2082787 | PA      | $1995375.24    | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2052#BX1202                                                                      | CUSIP: 3140N5KQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     675868 | PA      | $647502.88     | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2052#QF2376                                                                      | CUSIP: 3133BPT99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1365050 | PA      | $1311173.37    | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2052#BW8486                                                                      | CUSIP: 3140N1NC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1320913 | PA      | $1266714.74    | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2052#QF2374                                                                      | CUSIP: 3133BPT73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1657471 | PA      | $1589981.22    | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2052#CB4826                                                                      | CUSIP: 3140QQLG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1600064 | PA      | $1534912.22    | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2052#QF0666                                                                      | CUSIP: 3133BMW35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1976796 | PA      | $1893833.27    | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2052#BX1658                                                                      | CUSIP: 3140N5ZY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2108173 | PA      | $2019695.94    | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2052#BW8091                                                                      | CUSIP: 3140N07D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2410075 | PA      | $2314952.65    | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2052#BV7370                                                                      | CUSIP: 3140MMFL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     791881 | PA      | $759388.96     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2052#BV0951                                                                      | CUSIP: 3140MEBV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     391369 | PA      | $374943.92     | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2052#QE9495                                                                      | CUSIP: 3133BKRQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     461055 | PA      | $441705.18     | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2052#QF0617                                                                      | CUSIP: 3133BMVJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1077375 | PA      | $1032159.15    | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                              | PANAMA REPUBLIC OF 6.4% 02/14/2035                                                                  | CUSIP: 698299BT0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   16340000 | PA      | $17039515.40   | 0.03%             | 2035-02-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4% 12/01/2037#SB8197                                                                      | CUSIP: 3132D6DA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4626272 | PA      | $4587488.66    | 0.01%             | 2037-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 05/01/2037#QO0171                                                                    | CUSIP: 3133WJFL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52382 | PA      | $51197.39      | 0.00%             | 2037-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 05/01/2037#BV6739                                                                    | CUSIP: 3140MLPZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     311433 | PA      | $304391.60     | 0.00%             | 2037-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 06/01/2037#QO0465                                                                    | CUSIP: 3133WJQS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     173276 | PA      | $169239.17     | 0.00%             | 2037-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 06/01/2037#BV2463                                                                    | CUSIP: 3140MFWZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     711401 | PA      | $694605.56     | 0.00%             | 2037-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 06/01/2037#BV2470                                                                    | CUSIP: 3140MFW82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180774 | PA      | $176958.34     | 0.00%             | 2037-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 04/01/2037#QO0006                                                                    | CUSIP: 3133WJAF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     451664 | PA      | $441050.18     | 0.00%             | 2037-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 07/01/2037#SB0729                                                                    | CUSIP: 3132CWY24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     268839 | PA      | $262576.52     | 0.00%             | 2037-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 06/01/2036#QN6644                                                                    | CUSIP: 3133GDLZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208418 | PA      | $204083.33     | 0.00%             | 2036-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 07/01/2037#QO0584                                                                    | CUSIP: 3133WJUH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     379834 | PA      | $370985.37     | 0.00%             | 2037-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 06/01/2037#QO0436                                                                    | CUSIP: 3133WJPV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185574 | PA      | $181656.53     | 0.00%             | 2037-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 05/01/2037#BV6703                                                                    | CUSIP: 3140MLNV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     633896 | PA      | $619564.54     | 0.00%             | 2037-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 06/01/2037#QO0442                                                                    | CUSIP: 3133WJP37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     709483 | PA      | $693620.34     | 0.00%             | 2037-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 05/01/2037#QO0244                                                                    | CUSIP: 3133WJHV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     680231 | PA      | $664383.98     | 0.00%             | 2037-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 09/01/2036#CB1735                                                                    | CUSIP: 3140QL4V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     415419 | PA      | $406520.27     | 0.00%             | 2036-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 06/01/2037#QO0457                                                                    | CUSIP: 3133WJQJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     149792 | PA      | $146181.04     | 0.00%             | 2037-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 09/01/2037#BW9828                                                                    | CUSIP: 3140N24N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217234 | PA      | $212037.58     | 0.00%             | 2037-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 05/01/2037#QO0174                                                                    | CUSIP: 3133WJFP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     225098 | PA      | $219741.16     | 0.00%             | 2037-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 06/01/2037#BV2469                                                                    | CUSIP: 3140MFW74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     724325 | PA      | $708130.08     | 0.00%             | 2037-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 06/01/2037#BW3374                                                                    | CUSIP: 3140MUXC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23946 | PA      | $23380.56      | 0.00%             | 2037-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 12/01/2037#MA4833                                                                      | CUSIP: 31418ELP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2915325 | PA      | $2890885.22    | 0.00%             | 2037-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 10/01/2037#CB4987                                                                      | CUSIP: 3140QQRH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378335 | PA      | $375163.69     | 0.00%             | 2037-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4% 10/01/2037#QO0952                                                                      | CUSIP: 3133WKBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     353339 | PA      | $350487.60     | 0.00%             | 2037-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 05/01/2037#QO0299                                                                      | CUSIP: 3133WJKL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42423 | PA      | $39239.59      | 0.00%             | 2037-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 6.1% 11/15/2032                                                                           | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    8780000 | PA      | $9421296.20    | 0.01%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                 | PHILIP MORRIS INTL INC 5.75% 11/17/2032                                                             | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    5880000 | PA      | $6317550.26    | 0.01%             | 2032-11-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                 | PHILIP MORRIS INTL INC 5.125% 11/17/2027                                                            | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    8330000 | PA      | $8504432.87    | 0.01%             | 2027-11-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4% 09/01/2037#QO0803                                                                      | CUSIP: 3133WJ3L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     397905 | PA      | $394693.73     | 0.00%             | 2037-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 03/01/2052#SD0931                                                                    | CUSIP: 3132DNA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73111 | PA      | $63183.32      | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 11/30/2027                                                                         | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   55100000 | PA      | $55487421.88   | 0.08%             | 2027-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 11/30/2029                                                                         | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   51600000 | PA      | $52198640.50   | 0.08%             | 2029-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4.5% 11/20/2052#MA8427                                                                      | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   49997767 | PA      | $49276224.43   | 0.07%             | 2052-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 02/01/2052#BU2630                                                                      | CUSIP: 3140M34Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     765825 | PA      | $623879.68     | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 10/01/2037#MA4776                                                                      | CUSIP: 31418EJW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38626 | PA      | $38302.22      | 0.00%             | 2037-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4% 10/01/2037#QO0949                                                                      | CUSIP: 3133WKBS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     409055 | PA      | $405427.89     | 0.00%             | 2037-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5% 11/20/2052#MA8428                                                                        | CUSIP: 36179XLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26873 | PA      | $27052.11      | 0.00%             | 2052-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC.                                                          | TEXAS INSTRUMENTS INC 4.6% 02/15/2028                                                               | CUSIP: 882508BV5<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10161451.10   | 0.01%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL SA LUXEMBOURG                                                     | ARCELORMITTAL SA LUXEMBOURG 6.8% 11/29/2032                                                         | CUSIP: 03938LBF0<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |    9000000 | PA      | $10059297.93   | 0.01%             | 2032-11-29      | 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 3.8% 10/25/2032                                                      | CUSIP: 3137H9JG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3912635.60    | 0.01%             | 2032-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVALONBAY COMMUNITIES INC                                                       | AVALONBAY COMMUNITIES INC 5% 02/15/2033                                                             | CUSIP: 053484AD3<br>LEI: K9G90K85RBWD2LAGQX17 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3908379.31    | 0.01%             | 2033-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | AMAZON.COM INC 4.7% 12/01/2032                                                                      | CUSIP: 023135CR5<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   28300000 | PA      | $29175661.71   | 0.04%             | 2032-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| AMAZON.COM INC                                                                  | AMAZON.COM INC 4.55% 12/01/2027                                                                     | CUSIP: 023135CP9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10153946.20   | 0.01%             | 2027-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                  | PNC FINANCIAL SERVICES GRP INC 5.354%/VAR 12/02/2028                                                | CUSIP: 693475BK0<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   11710000 | PA      | $12000032.34   | 0.02%             | 2028-12-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/51#QD2129                                                                           | CUSIP: 3133AYLJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     797756 | PA      | $654130.19     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 3.78% 11/25/2032                                                     | CUSIP: 3137H9M89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30500000 | PA      | $29851640.15   | 0.04%             | 2032-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 04/01/2052#SD8204                                                                      | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     920640 | PA      | $753739.70     | 0.00%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 03/01/2052#CB3155                                                                      | CUSIP: 3140QNQH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90940 | PA      | $74454.01      | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2052#CB5380                                                                      | CUSIP: 3140QQ6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11857506 | PA      | $11913851.25   | 0.02%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 01/01/2053#SD8289                                                                    | CUSIP: 3132DWF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     127341 | PA      | $129793.01     | 0.00%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2052#BV7920                                                                    | CUSIP: 3140MMYS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     702671 | PA      | $650283.02     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2051#FM9902                                                                      | CUSIP: 3140XEAC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29843 | PA      | $26726.84      | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2051#CB1810                                                                      | CUSIP: 3140QMAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4774524 | PA      | $4243099.33    | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 09/01/2052#MA4768                                                                    | CUSIP: 31418EJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     697528 | PA      | $596704.21     | 0.00%             | 2052-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 08/01/2052#SD8234                                                                    | CUSIP: 3132DWEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25139 | PA      | $21504.90      | 0.00%             | 2052-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2052#FS1230                                                                    | CUSIP: 3140XGLL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150919 | PA      | $139761.29     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 07/01/2051#QC4415                                                                      | CUSIP: 3133AN3Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     533525 | PA      | $474141.27     | 0.00%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#CB2405                                                                    | CUSIP: 3140QMU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25293 | PA      | $21541.78      | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#FM9855                                                                    | CUSIP: 3140XD5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     979567 | PA      | $834302.97     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#BU3058                                                                    | CUSIP: 3140M4MG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2191314 | PA      | $1866354.81    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/01/2053#MA4868                                                                      | CUSIP: 31418EMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9250002 | PA      | $9293957.41    | 0.01%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 05/01/2052#QE3984                                                                      | CUSIP: 3133BDM93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     365869 | PA      | $326289.58     | 0.00%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 12/01/2052#QF4662                                                                      | CUSIP: 3133BSFB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     159572 | PA      | $164084.83     | 0.00%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 12/01/2052#                                                                            | CUSIP: 3140N5FS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5425535 | PA      | $5451316.64    | 0.01%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 01/01/2053#SD8288                                                                      | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1623640 | PA      | $1631355.76    | 0.00%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2052#BW9483                                                                      | CUSIP: 3140N2RD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3890769 | PA      | $3909257.23    | 0.01%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 08/01/2052#QE7768                                                                      | CUSIP: 3133BHTZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79994 | PA      | $80313.81      | 0.00%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 08/01/2051#QC5631                                                                      | CUSIP: 3133AQHG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5420301 | PA      | $4816998.09    | 0.01%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2052#CB3120                                                                      | CUSIP: 3140QNPE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3308988 | PA      | $2940683.01    | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2052#SD1188                                                                    | CUSIP: 3132DNJ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     581328 | PA      | $537986.33     | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2052#QE6008                                                                    | CUSIP: 3133BFU99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     460399 | PA      | $426073.43     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 04/01/2037#BT4446                                                                    | CUSIP: 3140LS5G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279848 | PA      | $252442.81     | 0.00%             | 2037-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 03/01/2037#FS0755                                                                      | CUSIP: 3140XFZV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159329 | PA      | $147722.87     | 0.00%             | 2037-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 03/01/2037#RC2527                                                                    | CUSIP: 3133L8YY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     613259 | PA      | $579921.10     | 0.00%             | 2037-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2037#MA4897                                                                    | CUSIP: 31418ENP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126948 | PA      | $120047.17     | 0.00%             | 2037-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 01/01/2053#SD8290                                                                      | CUSIP: 3132DWF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15777554 | PA      | $16223738.99   | 0.02%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 01/01/2038#                                                                          | CUSIP: 3132D6DG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32447 | PA      | $31671.21      | 0.00%             | 2038-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 11/01/2037#BW1354                                                                    | CUSIP: 3140MSQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1431710 | PA      | $1397461.76    | 0.00%             | 2037-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 11/01/2037#QO1015                                                                    | CUSIP: 3133WKDU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18624 | PA      | $18178.10      | 0.00%             | 2037-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 06/01/2037#QO0388                                                                    | CUSIP: 3133WJND7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     435305 | PA      | $426116.67     | 0.00%             | 2037-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 05/01/2037#QO0194                                                                    | CUSIP: 3133WJGB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     339108 | PA      | $331525.76     | 0.00%             | 2037-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 08/01/2037#FS3271                                                                      | CUSIP: 3140XJT52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3102848 | PA      | $2991884.74    | 0.00%             | 2037-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 1.5% 05/01/2051#QC2239                                                                    | CUSIP: 3133ALPY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1051331 | PA      | $816574.49     | 0.00%             | 2051-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5.5% 12/20/2052#MA8491                                                                      | CUSIP: 36179XNG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26045792 | PA      | $26496115.55   | 0.04%             | 2052-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5% 12/20/2052#MA8490                                                                        | CUSIP: 36179XNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30198251 | PA      | $30381043.79   | 0.04%             | 2052-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 11/20/2052#MA8425                                                                      | CUSIP: 36179XLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6711490 | PA      | $6218156.20    | 0.01%             | 2052-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 12/31/2029                                                                         | CUSIP: 91282CGB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36600000 | PA      | $37024617.10   | 0.05%             | 2029-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SERVICES INC                                                   | UNIVERSAL HEALTH SERVICES INC 2.65% 10/15/2030                                                      | CUSIP: 913903AW0<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3648366.84    | 0.01%             | 2030-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 11/01/2037#BW1355                                                                      | CUSIP: 3140MSQH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1034748 | PA      | $1026396.95    | 0.00%             | 2037-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 11/01/2037#BW1356                                                                      | CUSIP: 3140MSQJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262072 | PA      | $259957.20     | 0.00%             | 2037-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 10/01/2037#BX1115                                                                      | CUSIP: 3140N5GZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     766503 | PA      | $760316.81     | 0.00%             | 2037-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4% 10/01/2037#QO1004                                                                      | CUSIP: 3133WKDH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172965 | PA      | $171568.84     | 0.00%             | 2037-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4% 11/01/2037#QO1025                                                                      | CUSIP: 3133WKD60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54185 | PA      | $53748.11      | 0.00%             | 2037-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4% 10/01/2037#QO0931                                                                      | CUSIP: 3133WKA89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100674 | PA      | $99754.85      | 0.00%             | 2037-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4% 09/01/2037#SB8178                                                                      | CUSIP: 3132D6CP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106822 | PA      | $105926.31     | 0.00%             | 2037-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 08/01/2037#CB4506                                                                      | CUSIP: 3140QQAG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     582943 | PA      | $578055.62     | 0.00%             | 2037-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | META PLATFORMS INC 3.5% 08/15/2027                                                                  | CUSIP: 30303M8G0<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    6820000 | PA      | $6797821.97    | 0.01%             | 2027-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | META PLATFORMS INC 3.85% 08/15/2032                                                                 | CUSIP: 30303M8H8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    7620000 | PA      | $7437672.15    | 0.01%             | 2032-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| META PLATFORMS INC                                                              | META PLATFORMS INC 4.45% 08/15/2052                                                                 | CUSIP: 30303M8J4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $10107444.60   | 0.01%             | 2052-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | META PLATFORMS INC 4.65% 08/15/2062                                                                 | CUSIP: 30303M8K1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1510952.35    | 0.00%             | 2062-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                             | SUMITOMO MITSUI FINL GRP INC 5.52% 01/13/2028                                                       | CUSIP: 86562MCR9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   26700000 | PA      | $27549378.53   | 0.04%             | 2028-01-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                             | SUMITOMO MITSUI FINL GRP INC 5.766% 01/13/2033                                                      | CUSIP: 86562MCS7<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    7800000 | PA      | $8364614.00    | 0.01%             | 2033-01-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DEERE JOHN CAPITAL CORP                                                         | DEERE JOHN CAPITAL CORP 4.75% 01/20/2028                                                            | CUSIP: 24422EWR6<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5099790.70    | 0.01%             | 2028-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                    | MEXICO UNITED MEXICAN STATES 6.35% 02/09/2035                                                       | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   18700000 | PA      | $19702320.00   | 0.03%             | 2035-02-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | ENTERPRISE PRODS OPER LLC 5.35% 01/31/2033                                                          | CUSIP: 29379VCD3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    7800000 | PA      | $8203458.28    | 0.01%             | 2033-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                                     | METLIFE INC 5.25% 01/15/2054                                                                        | CUSIP: 59156RCD8<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2512647.64    | 0.00%             | 2054-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| SANTANDER UK GROUP HOLDINGS PLC                                                 | SANTANDER UK GROUP HOLDINGS PLC 6.534%/VAR 01/10/2029                                               | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    8050000 | PA      | $8421017.09    | 0.01%             | 2029-01-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                       | TORONTO DOMINION BANK 5.156% 01/10/2028                                                             | CUSIP: 89115A2M3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   22920000 | PA      | $23434936.53   | 0.03%             | 2028-01-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                  | TARGA RES CORP 6.125% 03/15/2033                                                                    | CUSIP: 87612GAC5<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    9100000 | PA      | $9755817.80    | 0.01%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                                            | ENTERGY ARKANSAS LLC 5.15% 01/15/2033                                                               | CUSIP: 29366MAD0<br>LEI: KYX6QEFGFXUFFAWLGG05 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3219750.86    | 0.00%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT LIGHT AND POWER CO(THE)                                             | CONNECTICUT LT and PWR CO 5.25% 01/15/2053                                                          | CUSIP: 207597EP6<br>LEI: 549300O45IUXEDS1VZ32 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4040554.27    | 0.01%             | 2053-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                       | DUKE ENERGY CAROLINAS LLC 4.95% 01/15/2033                                                          | CUSIP: 26442CBJ2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $8284683.52    | 0.01%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC 6.4% 01/09/2033                                                            | CUSIP: 37045XED4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10826156.30   | 0.02%             | 2033-01-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| EQUITABLE HOLDINGS INC                                                          | EQUITABLE HOLDINGS INC 5.594% 01/11/2033                                                            | CUSIP: 29452EAC5<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2827136.93    | 0.00%             | 2033-01-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| REALTY INCOME CORP                                                              | REALTY INCOME CORP 4.85% 03/15/2030                                                                 | CUSIP: 756109BR4<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $15427448.55   | 0.02%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| HEALTHPEAK OP LLC                                                               | HEALTHPEAK OP LLC 5.25% 12/15/2032                                                                  | CUSIP: 42250PAE3<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3097749.60    | 0.00%             | 2032-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 02/01/2053#                                                                            | CUSIP: 3132DWGG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14870171 | PA      | $14903193.01   | 0.02%             | 2053-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 02/01/2053#                                                                          | CUSIP: 3132DWGH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26810618 | PA      | $27276546.00   | 0.04%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 01/01/2053#QF6127                                                                    | CUSIP: 3133BTYY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     365269 | PA      | $372301.33     | 0.00%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 01/01/2053#QF5680                                                                    | CUSIP: 3133BTJZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4163969 | PA      | $4229826.48    | 0.01%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 12/01/2052#BX2469                                                                    | CUSIP: 3140N6W73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     291684 | PA      | $296297.54     | 0.00%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 01/01/2053#BX5674                                                                    | CUSIP: 3140NAJU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     382864 | PA      | $389636.94     | 0.00%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 02/01/2053#MA4919                                                                    | CUSIP: 31418EPD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9904280 | PA      | $10094972.02   | 0.01%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 01/01/2053#QF6551                                                                    | CUSIP: 3133BUH42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8176465 | PA      | $8333890.68    | 0.01%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TARGET CORP                                                                     | TARGET CORP 4.4% 01/15/2033                                                                         | CUSIP: 87612EBQ8<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |    8300000 | PA      | $8318909.23    | 0.01%             | 2033-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 5.08%/VAR 01/20/2027                                                    | CUSIP: 06051GLE7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   22900000 | PA      | $22922389.33   | 0.03%             | 2027-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 5.123%/VAR 02/01/2029                                                                | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   14400000 | PA      | $14707338.77   | 0.02%             | 2029-02-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 5.948%/VAR 01/19/2038                                                                | CUSIP: 61747YFB6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    8870000 | PA      | $9374570.93    | 0.01%             | 2038-01-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 01/01/2053#MA4894                                                                      | CUSIP: 31418ENL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     673228 | PA      | $692267.07     | 0.00%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.5% 01/31/2030                                                                           | CUSIP: 91282CGJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  125900000 | PA      | $125570495.78  | 0.18%             | 2030-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.5% 01/31/2028                                                                           | CUSIP: 91282CGH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  414100000 | PA      | $414100000.00  | 0.61%             | 2028-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5.5% 01/20/2053#MA8570                                                                      | CUSIP: 36179XQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115967 | PA      | $117926.60     | 0.00%             | 2053-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                           | TRUIST FINANCIAL CORP 5.122%/VAR 01/26/2034                                                         | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $8067919.48    | 0.01%             | 2034-01-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                                               | STATE STREET CORP 4.821%/VAR 01/26/2034                                                             | CUSIP: 857477CA9<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    5200000 | PA      | $5303390.09    | 0.01%             | 2034-01-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                         | BANK OF NOVA SCOTIA 4.75% 02/02/2026                                                                | CUSIP: 06417XAN1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    3500000 | PA      | $3502370.62    | 0.01%             | 2026-02-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                         | BANK OF NOVA SCOTIA 4.85% 02/01/2030                                                                | CUSIP: 06417XAP6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   12240000 | PA      | $12551003.96   | 0.02%             | 2030-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK NEW YORK MELLON CORP                                                       | BANK NEW YORK MELLON CORP 4.543%/VAR 02/01/2029                                                     | CUSIP: 06406RBN6<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $7286178.38    | 0.01%             | 2029-02-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| M and T BANK CORP                                                               | M and T BANK CORP 5.053%/VAR 01/27/2034                                                             | CUSIP: 55261FAR5<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5045284.35    | 0.01%             | 2034-01-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 5.817%/VAR 02/01/2034                                                    | CUSIP: 14040HCY9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    3450000 | PA      | $3632061.30    | 0.01%             | 2034-02-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC DEL                                                           | KINDER MORGAN INC DEL 5.2% 06/01/2033                                                               | CUSIP: 49456BAX9<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    5970000 | PA      | $6163949.72    | 0.01%             | 2033-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                                           | NORFOLK SOUTHERN CORP 4.45% 03/01/2033                                                              | CUSIP: 655844CQ9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |   22050000 | PA      | $22099936.41   | 0.03%             | 2033-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                  | US BANCORP DEL 4.653%/VAR 02/01/2029                                                                | CUSIP: 91159HJK7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   11310000 | PA      | $11450465.68   | 0.02%             | 2029-02-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                  | US BANCORP DEL 4.839%/VAR 02/01/2034                                                                | CUSIP: 91159HJL5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $12155687.88   | 0.02%             | 2034-02-01      | 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 3.82% 12/25/2032                                                     | CUSIP: 3137H9PB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15000000 | PA      | $14697381.00   | 0.02%             | 2032-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/01/2053#BX5664                                                                      | CUSIP: 3140NAJJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     308536 | PA      | $310002.46     | 0.00%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                             | ELEVANCE HEALTH INC 4.75% 02/15/2033                                                                | CUSIP: 28622HAB7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10079945.60   | 0.01%             | 2033-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3.625% 02/15/2053                                                       | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   87850000 | PA      | $73289548.61   | 0.11%             | 2053-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.5% 02/15/2033                                                                           | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  115200000 | PA      | $112936499.71  | 0.17%             | 2033-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 4.9% 02/06/2033                                                                         | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $14667690.30   | 0.02%             | 2033-02-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                  | DEUTSCHE BANK AG NEW YORK BNCH 7.079%/VAR 02/10/2034                                                | CUSIP: 251526CT4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    3050000 | PA      | $3354508.95    | 0.00%             | 2034-02-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: —       |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 4.95% 03/15/2028                                                                   | CUSIP: 87264ACZ6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   14700000 | PA      | $14982525.03   | 0.02%             | 2028-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 5.05% 07/15/2033                                                                   | CUSIP: 87264ACY9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   30475000 | PA      | $31289018.03   | 0.05%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                    | NEXTERA ENERGY CAP HLDGS INC 5.05% 02/28/2033                                                       | CUSIP: 65339KCP3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    9100000 | PA      | $9350714.65    | 0.01%             | 2033-02-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                      | INTEL CORP 4.875% 02/10/2028                                                                        | CUSIP: 458140CE8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   10180000 | PA      | $10335905.07   | 0.02%             | 2028-02-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| INTEL CORP                                                                      | INTEL CORP 5.625% 02/10/2043                                                                        | CUSIP: 458140CH1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4918359.85    | 0.01%             | 2043-02-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| INTEL CORP                                                                      | INTEL CORP 5.7% 02/10/2053                                                                          | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $7668809.12    | 0.01%             | 2053-02-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                      | INTEL CORP 5.9% 02/10/2063                                                                          | CUSIP: 458140CK4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1545867.98    | 0.00%             | 2063-02-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA INC                                                      | BP CAP MARKETS AMERICA INC 4.812% 02/13/2033                                                        | CUSIP: 10373QBU3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    5950000 | PA      | $6054514.31    | 0.01%             | 2033-02-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3.875% 02/15/2043                                                       | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   54200000 | PA      | $49736968.75   | 0.07%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 11/01/2051#FM9481                                                                    | CUSIP: 3140XDRB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2162446 | PA      | $1841768.08    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 11/01/2051#FM9646                                                                      | CUSIP: 3140XDWG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64899 | PA      | $52910.49      | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 11/01/2050#FM4870                                                                      | CUSIP: 3140X8MU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     910714 | PA      | $741913.67     | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 03/01/2053#SD8308                                                                    | CUSIP: 3132DWGR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8601076 | PA      | $8766676.48    | 0.01%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2052#QE2363                                                                    | CUSIP: 3133BBTU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39672 | PA      | $36837.88      | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 02/01/2052#QD6646                                                                      | CUSIP: 3133B4L37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49301 | PA      | $40363.28      | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 06/01/2051#FM8114                                                                      | CUSIP: 3140XCAQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2830008 | PA      | $2305466.79    | 0.00%             | 2051-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 02/01/2053#MA4928                                                                    | CUSIP: 31418EPN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     693863 | PA      | $721325.59     | 0.00%             | 2053-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2052#BV0919                                                                      | CUSIP: 3140MEAV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72091 | PA      | $64292.42      | 0.00%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2050#FS3237                                                                      | CUSIP: 3140XJS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3652695 | PA      | $3540489.24    | 0.01%             | 2050-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 03/01/2053#SD8307                                                                      | CUSIP: 3132DWGQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16550973 | PA      | $16570140.79   | 0.02%             | 2053-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2023-BNK45                                                                 | BANK 2023-BNK45 5.203% 02/15/2056                                                                   | CUSIP: 06541BBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $5150625.00    | 0.01%             | 2056-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE PRIME AUTO RECEIVABLES TRUST 2023-1                                 | CAPITAL ONE PRIME AUTO RECEIVABLES TRUST 2023-1 4.87% 02/15/2028                                    | CUSIP: 14043KAH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2203339 | PA      | $2211045.27    | 0.00%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 03/01/2052#BT2317                                                                      | CUSIP: 3140LQSF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     967954 | PA      | $792475.87     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                 | PHILIP MORRIS INTL INC 5.375% 02/15/2033                                                            | CUSIP: 718172DB2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    6430000 | PA      | $6739760.62    | 0.01%             | 2033-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                 | PHILIP MORRIS INTL INC 4.875% 02/15/2028                                                            | CUSIP: 718172CZ0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    6100000 | PA      | $6216439.55    | 0.01%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                              | UNION PACIFIC CORP 4.95% 05/15/2053                                                                 | CUSIP: 907818GF9<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    3730000 | PA      | $3480603.88    | 0.01%             | 2053-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 5.625% 02/21/2053                                                                   | CUSIP: 126650DV9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $2959923.87    | 0.00%             | 2053-02-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 03/01/2037#QN9700                                                                    | CUSIP: 3133GGX57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     203286 | PA      | $183378.34     | 0.00%             | 2037-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | MITSUBISHI UFJ FIN GRP INC 5.441%/VAR 02/22/2034                                                    | CUSIP: 606822CX0<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    6660000 | PA      | $7014333.51    | 0.01%             | 2034-02-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | MITSUBISHI UFJ FIN GRP INC 5.422%/VAR 02/22/2029                                                    | CUSIP: 606822CS1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   12500000 | PA      | $12865759.25   | 0.02%             | 2029-02-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | AMGEN INC 5.65% 03/02/2053                                                                          | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   11643000 | PA      | $11697358.61   | 0.02%             | 2053-03-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | AMGEN INC 5.6% 03/02/2043                                                                           | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10217318.90   | 0.02%             | 2043-03-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | AMGEN INC 5.25% 03/02/2033                                                                          | CUSIP: 031162DR8<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   10530000 | PA      | $10974959.68   | 0.02%             | 2033-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| AMGEN INC                                                                       | AMGEN INC 5.15% 03/02/2028                                                                          | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   12880000 | PA      | $13183355.56   | 0.02%             | 2028-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 02/01/2052#QD6139                                                                      | CUSIP: 3133B3ZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     574955 | PA      | $468386.99     | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 02/28/2030                                                                             | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  140000000 | PA      | $142335156.60  | 0.21%             | 2030-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 02/29/2028                                                                             | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  111400000 | PA      | $112601031.25  | 0.17%             | 2028-02-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                     | EXELON CORP 5.3% 03/15/2033                                                                         | CUSIP: 30161NBK6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   12280000 | PA      | $12811399.19   | 0.02%             | 2033-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5.5% 09/20/2052#MA8270                                                                      | CUSIP: 36179XFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8928064 | PA      | $9094285.09    | 0.01%             | 2052-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5.5% 10/20/2052#MA8349                                                                      | CUSIP: 36179XH25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     177687 | PA      | $180995.16     | 0.00%             | 2052-10-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4.5% 01/20/2053#MA8568                                                                      | CUSIP: 36179XQV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     151494 | PA      | $149118.64     | 0.00%             | 2053-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5% 01/20/2053#MA8569                                                                        | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4529719 | PA      | $4557138.34    | 0.01%             | 2053-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 11/01/2051#BT9193                                                                      | CUSIP: 3140LYGB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42461 | PA      | $34816.36      | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4% 02/20/2053#MA8645                                                                        | CUSIP: 36179XTA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25900105 | PA      | $24778320.08   | 0.04%             | 2053-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                          | CONSOLIDATED EDISON CO OF NY 5.2% 03/01/2033                                                        | CUSIP: 209111GE7<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |   30000000 | PA      | $31439611.20   | 0.05%             | 2033-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4.5% 02/20/2053#MA8646                                                                      | CUSIP: 36179XTB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     650917 | PA      | $640709.37     | 0.00%             | 2053-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES CORP                                                     | CENTERPOINT ENERGY RES CORP 5.25% 03/01/2028                                                        | CUSIP: 15189YAG1<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2461207.61    | 0.00%             | 2028-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINL INC                                                             | PRUDENTIAL FINL INC T5Y+NA 03/01/2053                                                               | CUSIP: 744320BL5<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1915376.40    | 0.00%             | 2053-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: —       |
| ELI LILLY and CO                                                                | ELI LILLY and CO 4.875% 02/27/2053                                                                  | CUSIP: 532457CG1<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    4640000 | PA      | $4353993.09    | 0.01%             | 2053-02-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELI LILLY and CO                                                                | ELI LILLY and CO 4.95% 02/27/2063                                                                   | CUSIP: 532457CH9<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3072685.67    | 0.00%             | 2063-02-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                        | BHP BILLITON FIN USA LTD 4.75% 02/28/2028                                                           | CUSIP: 055451AZ1<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |    7460000 | PA      | $7585238.26    | 0.01%             | 2028-02-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                        | BHP BILLITON FIN USA LTD 4.9% 02/28/2033                                                            | CUSIP: 055451BA5<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |    8000000 | PA      | $8195687.28    | 0.01%             | 2033-02-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                        | RTX CORP 5.15% 02/27/2033                                                                           | CUSIP: 75513ECR0<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    9600000 | PA      | $10016268.48   | 0.01%             | 2033-02-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DTE ELEC CO                                                                     | DTE ELEC CO 5.4% 04/01/2053                                                                         | CUSIP: 23338VAT3<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    4690000 | PA      | $4661138.16    | 0.01%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 5.4% 03/02/2026                                                                    | CUSIP: 969457CH1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3612540.89    | 0.01%             | 2026-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 5.65% 03/15/2033                                                                   | CUSIP: 969457CJ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    2610000 | PA      | $2759609.87    | 0.00%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                   | SOUTHERN CALIFORNIA EDISON CO 5.7% 03/01/2053                                                       | CUSIP: 842400HV8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3125572.99    | 0.00%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 5.871%/VAR 03/06/2029                                                      | CUSIP: 539439AX7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   10800000 | PA      | $11209633.85   | 0.02%             | 2029-03-06      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GALLAGHER (ARTHUR J.) and CO                                                    | GALLAGHER (ARTHUR J.) and CO 5.75% 03/02/2053                                                       | CUSIP: 04316JAE9<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    4060000 | PA      | $4047652.44    | 0.01%             | 2053-03-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                                               | UNION ELECTRIC CO 5.45% 03/15/2053                                                                  | CUSIP: 906548CW0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    7400000 | PA      | $7256730.08    | 0.01%             | 2053-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                           | FLORIDA PWR and LT CO 5.1% 04/01/2033                                                               | CUSIP: 341081GL5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    7400000 | PA      | $7702326.93    | 0.01%             | 2033-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| ASTRAZENECA FINANCE LLC                                                         | ASTRAZENECA FINANCE LLC 4.875% 03/03/2033                                                           | CUSIP: 04636NAH6<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |    4110000 | PA      | $4267220.65    | 0.01%             | 2033-03-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 08/01/2051#FM8415                                                                      | CUSIP: 3140XCK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2000002 | PA      | $1629301.79    | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| S and P GLOBAL INC                                                              | S and P GLOBAL INC 2.9% 03/01/2032                                                                  | CUSIP: 78409VBK9<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |   34219000 | PA      | $31686759.78   | 0.05%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 6.254%/VAR 03/09/2034                                                             | CUSIP: 404280DV8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   16000000 | PA      | $17534822.88   | 0.03%             | 2034-03-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 6.332%/VAR 03/09/2044                                                             | CUSIP: 404280DW6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    5100000 | PA      | $5638810.36    | 0.01%             | 2044-03-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 04/01/2036#RC1932                                                                      | CUSIP: 3133L8ED3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     444995 | PA      | $411883.73     | 0.00%             | 2036-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 02/01/2036#FM6186                                                                      | CUSIP: 3140X92U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143905 | PA      | $133781.66     | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 02/01/2036#FM6342                                                                      | CUSIP: 3140XABL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29815 | PA      | $27643.34      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                        | DUKE ENERGY PROGRESS LLC 5.35% 03/15/2053                                                           | CUSIP: 26442UAR5<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6833406.72    | 0.01%             | 2053-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                                                           | RIO TINTO FIN USA PLC 5.125% 03/09/2053                                                             | CUSIP: 76720AAP1<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |    5600000 | PA      | $5316271.58    | 0.01%             | 2053-03-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | ENBRIDGE INC 5.7% 03/08/2033                                                                        | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    3480000 | PA      | $3685810.85    | 0.01%             | 2033-03-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS and ELECTRIC CO                                                   | SAN DIEGO GAS and ELECTRIC CO 5.35% 04/01/2053                                                      | CUSIP: 797440CD4<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1250212.57    | 0.00%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERIPRISE FINL INC                                                             | AMERIPRISE FINL INC 5.15% 05/15/2033                                                                | CUSIP: 03076CAM8<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $3021963.65    | 0.00%             | 2033-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GROUP INC                                                   | PRINCIPAL FINL GROUP INC 5.375% 03/15/2033                                                          | CUSIP: 74251VAT9<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1248367.34    | 0.00%             | 2033-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 03/01/2053#RA8755                                                                    | CUSIP: 3133KQWQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     138640 | PA      | $141308.88     | 0.00%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                         | AEP TRANSMISSION CO LLC 5.4% 03/15/2053                                                             | CUSIP: 00115AAQ2<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    3440000 | PA      | $3409622.36    | 0.01%             | 2053-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2052#SD2467                                                                    | CUSIP: 3132DPW46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     425868 | PA      | $419334.82     | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 11/01/2052#BW9490                                                                    | CUSIP: 3140N2RL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     812600 | PA      | $829007.40     | 0.00%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 12/01/2052#BX4610                                                                    | CUSIP: 3140N9DQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     519656 | PA      | $531610.39     | 0.00%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 04/01/2053#MA4978                                                                      | CUSIP: 31418EQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36756516 | PA      | $36873747.06   | 0.05%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 03/01/2053#                                                                            | CUSIP: 3133BXLE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     319691 | PA      | $320145.90     | 0.00%             | 2053-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 02/01/2053#FS3864                                                                      | CUSIP: 3140XKJJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1155086 | PA      | $1156730.68    | 0.00%             | 2053-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 04/01/2053#SD8315                                                                      | CUSIP: 3132DWGY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4887067 | PA      | $4905708.24    | 0.01%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 03/01/2053#                                                                            | CUSIP: 3133BXCL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     888370 | PA      | $889634.99     | 0.00%             | 2053-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2052#BX1473                                                                      | CUSIP: 3140N5T79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65146 | PA      | $65679.70      | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2052#BX2559                                                                      | CUSIP: 3140N6ZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53061 | PA      | $53346.12      | 0.00%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 03/01/2053#BX7581                                                                      | CUSIP: 3140NCM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362425 | PA      | $363807.07     | 0.00%             | 2053-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2052#RA7922                                                                      | CUSIP: 3133KPYT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     460242 | PA      | $440926.31     | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 05/01/2037#FS2035                                                                      | CUSIP: 3140XHHM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     795176 | PA      | $735510.67     | 0.00%             | 2037-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 07/01/2036#FM7857                                                                      | CUSIP: 3140XBWT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2156268 | PA      | $1993801.83    | 0.00%             | 2036-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 11/01/2036#FS2990                                                                      | CUSIP: 3140XJKC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113273 | PA      | $104915.21     | 0.00%             | 2036-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 04/01/2036#QN6119                                                                      | CUSIP: 3133GCYQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62567 | PA      | $57871.92      | 0.00%             | 2036-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 10/01/2036#BT9772                                                                      | CUSIP: 3140LY2E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109980 | PA      | $101831.24     | 0.00%             | 2036-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 10/01/2036#QN8177                                                                      | CUSIP: 3133GFCN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1410926 | PA      | $1306382.16    | 0.00%             | 2036-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 03/01/2036#FM6619                                                                      | CUSIP: 3140XAK92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40535 | PA      | $37822.44      | 0.00%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 06/01/2036#RC2045                                                                      | CUSIP: 3133L8HW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13421 | PA      | $12447.52      | 0.00%             | 2036-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5% 03/20/2053#MA8725                                                                        | CUSIP: 36179XVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2153309 | PA      | $2164324.22    | 0.00%             | 2053-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 02/20/2051#MA7198                                                                        | CUSIP: 36179V7K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21274 | PA      | $21795.34      | 0.00%             | 2051-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 06/20/2051#MA7423                                                                        | CUSIP: 36179WG85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24608 | PA      | $25211.11      | 0.00%             | 2051-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 12/20/2050#MA7057                                                                        | CUSIP: 36179VZW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25026 | PA      | $25600.16      | 0.00%             | 2050-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5% 02/20/2053#MA8647                                                                        | CUSIP: 36179XTC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     609758 | PA      | $613067.36     | 0.00%             | 2053-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 6% 12/20/2052#MA8492                                                                        | CUSIP: 36179XNH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18694622 | PA      | $19207232.33   | 0.03%             | 2052-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY HOUSTON ELECTRIC LLC                                         | CENTERPOINT ENERGY HOUSTON ELECTRIC LLC 4.95% 04/01/2033                                            | CUSIP: 15189XBB3<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4610598.98    | 0.01%             | 2033-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                                              | SOUTHWEST GAS CORP 5.45% 03/23/2028                                                                 | CUSIP: 845011AH8<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |    6606000 | PA      | $6785805.87    | 0.01%             | 2028-03-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                     | PROLOGIS LP 5.25% 06/15/2053                                                                        | CUSIP: 74340XCF6<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3187021.33    | 0.00%             | 2053-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| UST NOTES                                                                       | UST NOTES 3.625% 03/31/2028                                                                         | CUSIP: 91282CGT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  152800000 | PA      | $153259593.37  | 0.23%             | 2028-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.625% 03/31/2030                                                                         | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  119300000 | PA      | $119523687.50  | 0.18%             | 2030-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 6% 11/20/2052#MA8430                                                                        | CUSIP: 36179XLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9976115 | PA      | $10255897.32   | 0.02%             | 2052-11-20      | 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 4.35% 01/25/2033                                                     | CUSIP: 3137H9UD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15000000 | PA      | $15140904.00   | 0.02%             | 2033-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2023-A                                             | FORD CREDIT AUTO OWNER TRUST 2023-A 4.65% 02/15/2028                                                | CUSIP: 344928AD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5798729 | PA      | $5811014.44    | 0.01%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                                               | GENERAL MILLS INC 4.95% 03/29/2033                                                                  | CUSIP: 370334CT9<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    3670000 | PA      | $3742610.11    | 0.01%             | 2033-03-29      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| POLAND REPUBLIC OF                                                              | POLAND REPUBLIC OF 5.5% 04/04/2053                                                                  | CUSIP: 731011AW2<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    8010000 | PA      | $7769459.70    | 0.01%             | 2053-04-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 5.75% 07/01/2053                                                                      | CUSIP: 548661ER4<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    4623000 | PA      | $4637472.67    | 0.01%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| LOWES COS INC                                                                   | LOWES COS INC 4.8% 04/01/2026                                                                       | CUSIP: 548661EP8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    8100000 | PA      | $8113984.16    | 0.01%             | 2026-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                     | PACIFIC GAS and ELECTRIC CO 6.7% 04/01/2053                                                         | CUSIP: 694308KK2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5910000 | PA      | $6346941.78    | 0.01%             | 2053-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER CO                                                      | SOUTHWESTERN ELEC POWER CO 5.3% 04/01/2033                                                          | CUSIP: 845437BU5<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |    5310000 | PA      | $5464966.88    | 0.01%             | 2033-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| ARCHER DANIELS MIDLAND CO                                                       | ARCHER DANIELS MIDLAND CO 4.5% 08/15/2033                                                           | CUSIP: 039482AE4<br>LEI: 549300LO13MQ9HYSTR83 | Long             | DBT              | CORP              | US        |   16900000 | PA      | $16998107.71   | 0.02%             | 2033-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-2                               | GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-2 4.47% 02/16/2028                                  | CUSIP: 362583AD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8789415 | PA      | $8801942.89    | 0.01%             | 2028-02-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2023-A                                           | HYUNDAI AUTO RECEIVABLES TRUST 2023-A 4.58% 04/15/2027                                              | CUSIP: 448979AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4454230 | PA      | $4458047.56    | 0.01%             | 2027-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | FORD MOTOR CREDIT CO LLC 6.8% 05/12/2028                                                            | CUSIP: 345397C92<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   23835000 | PA      | $24825957.05   | 0.04%             | 2028-05-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 04/01/2053#RA8728                                                                      | CUSIP: 3133KQVV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37190885 | PA      | $37507078.45   | 0.06%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 04/01/2053#RA8883                                                                    | CUSIP: 3133KQ2Q8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   48190577 | PA      | $49028056.96   | 0.07%             | 2053-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                              | REALTY INCOME CORP 4.9% 07/15/2033                                                                  | CUSIP: 756109BT0<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    6450000 | PA      | $6568229.15    | 0.01%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                              | REALTY INCOME CORP 4.7% 12/15/2028                                                                  | CUSIP: 756109BS2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4583945.88    | 0.01%             | 2028-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 05/01/2053#                                                                            | CUSIP: 31418ER93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     788836 | PA      | $811144.17     | 0.00%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2053#RA8693                                                                    | CUSIP: 3133KQUS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10097163 | PA      | $9929640.99    | 0.01%             | 2053-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | MITSUBISHI UFJ FIN GRP INC 5.242%/VAR 04/19/2029                                                    | CUSIP: 606822CY8<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   17500000 | PA      | $17976860.65   | 0.03%             | 2029-04-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 02/01/2053#SD2430                                                                    | CUSIP: 3132DPVX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7199307 | PA      | $7118109.88    | 0.01%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 01/01/2053#BT8052                                                                      | CUSIP: 3140LW5N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     252672 | PA      | $259816.98     | 0.00%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 05/01/2053#SD8325                                                                      | CUSIP: 3132DWHA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4818416 | PA      | $4948565.97    | 0.01%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 05/01/2053#                                                                          | CUSIP: 31418ESA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     991750 | PA      | $1030073.65    | 0.00%             | 2053-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 04/01/2053#SD8317                                                                      | CUSIP: 3132DWG23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     948596 | PA      | $975421.74     | 0.00%             | 2053-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 02/01/2053#BX6217                                                                      | CUSIP: 3140NA4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276060 | PA      | $283866.42     | 0.00%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 02/01/2053#MA4920                                                                      | CUSIP: 31418EPE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14962307 | PA      | $15385436.21   | 0.02%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4.5% 03/20/2053#MA8724                                                                      | CUSIP: 36179XVR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     810537 | PA      | $797826.94     | 0.00%             | 2053-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                     | WALMART INC 3.9% 04/15/2028                                                                         | CUSIP: 931142FB4<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7345947.00    | 0.01%             | 2028-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                     | WALMART INC 4.1% 04/15/2033                                                                         | CUSIP: 931142FD0<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7326820.78    | 0.01%             | 2033-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 03/01/2051#FM6558                                                                      | CUSIP: 3140XAJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     657933 | PA      | $535985.64     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 03/01/2053#CB6168                                                                    | CUSIP: 3140QR2A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2035885 | PA      | $2114556.03    | 0.00%             | 2053-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 12/01/2052#CB5778                                                                      | CUSIP: 3140QRM42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21111 | PA      | $21707.62      | 0.00%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 03/01/2053#MA4943                                                                    | CUSIP: 31418EP53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75019 | PA      | $77988.40      | 0.00%             | 2053-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 6.5% 01/01/2043#MA4909                                                                    | CUSIP: 31418EN30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41019 | PA      | $42619.86      | 0.00%             | 2043-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 05/01/2053#SD8334                                                                    | CUSIP: 3132DWHK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     830763 | PA      | $862865.04     | 0.00%             | 2053-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 04/01/2053#MA4981                                                                    | CUSIP: 31418ERB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13098491 | PA      | $13604643.30   | 0.02%             | 2053-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 01/01/2053#CB5991                                                                    | CUSIP: 3140QRUR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25008 | PA      | $25489.19      | 0.00%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2023-2                                                     | CARMAX AUTO OWNER TR 2023-2 5.05% 01/18/2028                                                        | CUSIP: 142921AD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10268445 | PA      | $10311856.17   | 0.02%             | 2028-01-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 5.389%/VAR 04/24/2034                                                        | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   25070000 | PA      | $26281088.33   | 0.04%             | 2034-04-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 03/01/2053#SD8310                                                                    | CUSIP: 3132DWGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     504651 | PA      | $524624.37     | 0.00%             | 2053-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5.5% 04/20/2053#MA8801                                                                      | CUSIP: 36179XX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22310542 | PA      | $22659681.85   | 0.03%             | 2053-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4.5% 04/20/2053#MA8799                                                                      | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18307538 | PA      | $18019018.44   | 0.03%             | 2053-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5% 04/20/2053#MA8800                                                                        | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26465882 | PA      | $26593000.07   | 0.04%             | 2053-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 5.288%/VAR 04/25/2034                                                   | CUSIP: 06051GLH0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6160000 | PA      | $6418342.95    | 0.01%             | 2034-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.5% 04/30/2028                                                                           | CUSIP: 91282CHA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  312800000 | PA      | $312841227.04  | 0.46%             | 2028-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                            | ROYAL BANK OF CANADA 5% 05/02/2033                                                                  | CUSIP: 78016HZQ6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    4070000 | PA      | $4206242.27    | 0.01%             | 2033-05-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                | CROWN CASTLE INC 5.1% 05/01/2033                                                                    | CUSIP: 22822VBC4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   12860000 | PA      | $13037535.39   | 0.02%             | 2033-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | META PLATFORMS INC 4.6% 05/15/2028                                                                  | CUSIP: 30303M8L9<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    4630000 | PA      | $4720387.05    | 0.01%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| META PLATFORMS INC                                                              | META PLATFORMS INC 4.95% 05/15/2033                                                                 | CUSIP: 30303M8N5<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    6700000 | PA      | $6939756.95    | 0.01%             | 2033-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| META PLATFORMS INC                                                              | META PLATFORMS INC 5.6% 05/15/2053                                                                  | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    6190000 | PA      | $6166037.83    | 0.01%             | 2053-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                | GEORGIA POWER CO 4.95% 05/17/2033                                                                   | CUSIP: 373334KT7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |   10160000 | PA      | $10402725.04   | 0.02%             | 2033-05-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                | GEORGIA POWER CO 4.65% 05/16/2028                                                                   | CUSIP: 373334KS9<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    4830000 | PA      | $4906745.71    | 0.01%             | 2028-05-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 3.9% 04/05/2032                                                            | CUSIP: 21871XAH2<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    4549000 | PA      | $4324217.81    | 0.01%             | 2032-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 6.224%/VAR 05/09/2034                                                                  | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    6500000 | PA      | $7030406.44    | 0.01%             | 2034-05-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.375% 05/15/2033                                                                         | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  160450000 | PA      | $155736781.25  | 0.23%             | 2033-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3.625% 05/15/2053                                                       | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  108800000 | PA      | $90665249.73   | 0.13%             | 2053-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GATX CORP                                                                       | GATX CORP 5.45% 09/15/2033                                                                          | CUSIP: 361448BL6<br>LEI: 549300IHYHCQP2PIR591 | Long             | DBT              | CORP              | US        |    6450000 | PA      | $6720282.28    | 0.01%             | 2033-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 1.5% 07/01/2041#RB5117                                                                    | CUSIP: 3133KYVJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30604533 | PA      | $26056356.23   | 0.04%             | 2041-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2052#QE0777                                                                    | CUSIP: 3133B92J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1017046 | PA      | $941219.49     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2052#FS3955                                                                    | CUSIP: 3140XKMD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33028 | PA      | $30565.97      | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MERCK and CO INC                                                                | MERCK and CO INC 5% 05/17/2053                                                                      | CUSIP: 58933YBM6<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   11000000 | PA      | $10410649.37   | 0.02%             | 2053-05-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| MERCK and CO INC                                                                | MERCK and CO INC 4.5% 05/17/2033                                                                    | CUSIP: 58933YBK0<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   11325000 | PA      | $11506486.52   | 0.02%             | 2033-05-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| MERCK and CO INC                                                                | MERCK and CO INC 4.05% 05/17/2028                                                                   | CUSIP: 58933YBH7<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7553428.95    | 0.01%             | 2028-05-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 4.8% 07/15/2028                                                                    | CUSIP: 87264ADA0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    6375000 | PA      | $6489884.96    | 0.01%             | 2028-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS and ELECTRIC CO                                                   | BALTIMORE GAS and ELECTRIC CO 5.4% 06/01/2053                                                       | CUSIP: 059165EQ9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2254097.34    | 0.00%             | 2053-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | APPLE INC 4% 05/10/2028                                                                             | CUSIP: 037833ET3<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3325993.61    | 0.00%             | 2028-05-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| APPLE INC                                                                       | APPLE INC 4.3% 05/10/2033                                                                           | CUSIP: 037833EV8<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3364464.77    | 0.00%             | 2033-05-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| LAUDER ESTEE COS INC                                                            | LAUDER ESTEE COS INC 5.15% 05/15/2053                                                               | CUSIP: 29736RAU4<br>LEI: 549300VFZ8XJ9NUPU221 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3764075.20    | 0.01%             | 2053-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2052#QD5095                                                                    | CUSIP: 3133B2UU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60475 | PA      | $56079.47      | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2052#QD7325                                                                    | CUSIP: 3133B5D66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     369743 | PA      | $342176.71     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2052#QD8514                                                                    | CUSIP: 3133B6N71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     272951 | PA      | $252600.98     | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2052#QD8601                                                                    | CUSIP: 3133B6RW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     838283 | PA      | $775784.16     | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/01/2051#QD3290                                                                    | CUSIP: 3133B0UP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     463353 | PA      | $430545.39     | 0.00%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2052#BV9195                                                                    | CUSIP: 3140MPGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     909044 | PA      | $841269.46     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2051#BU7749                                                                    | CUSIP: 3140M9TF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     729397 | PA      | $677751.45     | 0.00%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2052#BV7064                                                                    | CUSIP: 3140MLZ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254228 | PA      | $235273.54     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2052#QE0436                                                                    | CUSIP: 3133B9PV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     139338 | PA      | $128949.23     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2052#BW2231                                                                    | CUSIP: 3140MTPR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49492 | PA      | $45987.79      | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 06/01/2053#                                                                            | CUSIP: 3132DWHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12120229 | PA      | $12442154.01   | 0.02%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2051#FS1373                                                                      | CUSIP: 3140XGQ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6445239 | PA      | $5727856.16    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                                                        | WILLIS NORTH AMERICA INC 5.35% 05/15/2033                                                           | CUSIP: 970648AM3<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6230498.16    | 0.01%             | 2033-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 5.5% 04/01/2053#BW5286                                                               | CUSIP: 3140MW2U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     918001 | PA      | $932950.35     | 0.00%             | 2053-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 11/01/2052#BX1767                                                                    | CUSIP: 3140N56D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     422005 | PA      | $430525.81     | 0.00%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE PWR CORP                                                             | OGLETHORPE PWR CORP 4.5% 04/01/2047                                                                 | CUSIP: 677050AS5<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2117711.80    | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3.875% 05/15/2043                                                       | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   57550000 | PA      | $52692739.72   | 0.08%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 01/01/2053#BX5931                                                                      | CUSIP: 3140NASV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     925174 | PA      | $951337.23     | 0.00%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.5% 06/01/2038#MA5042                                                                    | CUSIP: 31418ES84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41304 | PA      | $41413.95      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC.                                                          | TEXAS INSTRUMENTS INC 5.05% 05/18/2063                                                              | CUSIP: 882926AA6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6437200.35    | 0.01%             | 2063-05-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 1.5% 11/01/2040#RB5084                                                                    | CUSIP: 3133KYUH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8440998 | PA      | $7235685.86    | 0.01%             | 2040-11-01      | 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 4.412% 03/25/2030                                                    | CUSIP: 3137HA4B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12675000 | PA      | $12888239.13   | 0.02%             | 2030-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTERPRISES PTE LTD                                           | PFIZER INVESTMENT ENTERPRISES PTE LTD 5.34% 05/19/2063                                              | CUSIP: 716973AH5<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |   17600000 | PA      | $16701692.66   | 0.02%             | 2063-05-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTERPRISES PTE LTD                                           | PFIZER INVESTMENT ENTERPRISES PTE LTD 5.11% 05/19/2043                                              | CUSIP: 716973AF9<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |   10390000 | PA      | $10128021.03   | 0.01%             | 2043-05-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTERPRISES PTE LTD                                           | PFIZER INVESTMENT ENTERPRISES PTE LTD 4.75% 05/19/2033                                              | CUSIP: 716973AE2<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |    6140000 | PA      | $6260085.20    | 0.01%             | 2033-05-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTERPRISES PTE LTD                                           | PFIZER INVESTMENT ENTERPRISES PTE LTD 4.65% 05/19/2030                                              | CUSIP: 716973AD4<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |    9923000 | PA      | $10160201.97   | 0.01%             | 2030-05-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTERPRISES PTE LTD                                           | PFIZER INVESTMENT ENTERPRISES PTE LTD 4.45% 05/19/2028                                              | CUSIP: 716973AC6<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |   20080000 | PA      | $20321878.66   | 0.03%             | 2028-05-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4.5% 05/20/2053#MA8877                                                                      | CUSIP: 36179X2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13505083 | PA      | $13283807.88   | 0.02%             | 2053-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5% 05/20/2053#MA8878                                                                        | CUSIP: 36179X2K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     408892 | PA      | $410855.89     | 0.00%             | 2053-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CNA FINANCIAL CORP                                                              | CNA FINANCIAL CORP 5.5% 06/15/2033                                                                  | CUSIP: 126117AX8<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3223059.09    | 0.00%             | 2033-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.75% 05/31/2030                                                                          | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  175600000 | PA      | $176793532.13  | 0.26%             | 2030-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.625% 05/31/2028                                                                         | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  199900000 | PA      | $200548113.78  | 0.29%             | 2028-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                  | FAIRFAX FINANCIAL HLDGS LTD 5.625% 08/16/2032                                                       | CUSIP: 303901BL5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    1900000 | PA      | $1986548.17    | 0.00%             | 2032-08-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRAVELERS COS INC                                                               | TRAVELERS COS INC 5.45% 05/25/2053                                                                  | CUSIP: 89417EAS8<br>LEI: 549300Y650407RU8B149 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2308205.73    | 0.00%             | 2053-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMEREN ILL CO                                                                   | AMEREN ILL CO 4.95% 06/01/2033                                                                      | CUSIP: 02361DBA7<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4733997.22    | 0.01%             | 2033-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| LOCKHEED MARTIN CORP                                                            | LOCKHEED MARTIN CORP 5.2% 02/15/2055                                                                | CUSIP: 539830CB3<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    8200000 | PA      | $7870132.04    | 0.01%             | 2055-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 5.35%/VAR 06/01/2034                                                          | CUSIP: 46647PDR4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    8400000 | PA      | $8818225.16    | 0.01%             | 2034-06-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC T5Y+NA 12/15/2052                                                          | CUSIP: 21871XAP4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    5300000 | PA      | $5414438.61    | 0.01%             | 2052-12-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: —       |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 4.35% 04/05/2042                                                           | CUSIP: 21871XAK5<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4133730.34    | 0.01%             | 2042-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 06/01/2053#MA5040                                                                      | CUSIP: 31418ES68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3155049 | PA      | $3238850.23    | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 6% 06/01/2063                                                                       | CUSIP: 126650EA4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3847698.86    | 0.01%             | 2063-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 5.3% 06/01/2033                                                                     | CUSIP: 126650DY3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   15530000 | PA      | $16069582.55   | 0.02%             | 2033-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 5% 01/30/2029                                                                       | CUSIP: 126650DW7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   19800000 | PA      | $20257825.90   | 0.03%             | 2029-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2050#FS4993                                                                      | CUSIP: 3140XLRP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42395371 | PA      | $38484745.47   | 0.06%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                           | TRUIST FINANCIAL CORP 5.867%/VAR 06/08/2034                                                         | CUSIP: 89788MAP7<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    3770000 | PA      | $4020592.84    | 0.01%             | 2034-06-08      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 6.377%/VAR 06/08/2034                                                          | CUSIP: 14040HDA0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    3470000 | PA      | $3771130.66    | 0.01%             | 2034-06-08      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                  | BURLINGTON NORTHN SANTA FE LLC 5.2% 04/15/2054                                                      | CUSIP: 12189LBK6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2311044.07    | 0.00%             | 2054-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                         | BANK OF NOVA SCOTIA 5.25% 06/12/2028                                                                | CUSIP: 06418GAD9<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    3450000 | PA      | $3557457.01    | 0.01%             | 2028-06-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                     | PACIFIC GAS and ELECTRIC CO 6.4% 06/15/2033                                                         | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $16278455.85   | 0.02%             | 2033-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| PNC FINANCIAL SERVICES GRP INC                                                  | PNC FINANCIAL SERVICES GRP INC 5.582%/VAR 06/12/2029                                                | CUSIP: 693475BR5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    9650000 | PA      | $10004780.13   | 0.01%             | 2029-06-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                  | US BANCORP DEL 5.775%/VAR 06/12/2029                                                                | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    8900000 | PA      | $9261281.88    | 0.01%             | 2029-06-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LTD                                                               | VALE OVERSEAS LTD 6.125% 06/12/2033                                                                 | CUSIP: 91911TAR4<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |    2150000 | PA      | $2301338.50    | 0.00%             | 2033-06-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECHNOLOGIES INC                                                  | GE HEALTHCARE TECHNOLOGIES INC 5.905% 11/22/2032                                                    | CUSIP: 36267VAK9<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   10170000 | PA      | $10987168.35   | 0.02%             | 2032-11-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECHNOLOGIES INC                                                  | GE HEALTHCARE TECHNOLOGIES INC 5.65% 11/15/2027                                                     | CUSIP: 36267VAF0<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    5180000 | PA      | $5329412.90    | 0.01%             | 2027-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 6.992%/VAR 06/13/2029                                                                 | CUSIP: 02005NBT6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    2870000 | PA      | $3022576.17    | 0.00%             | 2029-06-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                         | SANTANDER HLDGS USA INC 6.565%/VAR 06/12/2029                                                       | CUSIP: 80282KBG0<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $3034227.49    | 0.00%             | 2029-06-12      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                               | NATWEST GROUP PLC 5.808%/VAR 09/13/2029                                                             | CUSIP: 639057AK4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    5200000 | PA      | $5420987.83    | 0.01%             | 2029-09-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/01/2053#BY0545                                                                      | CUSIP: 3140NGTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     744654 | PA      | $745585.79     | 0.00%             | 2053-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2023-1 CLASS A PASS THROUGH TRUST                               | UNITED AIRLINES 2023-1 CLASS A PASS THROUGH TRUST 5.8% 07/15/2037                                   | CUSIP: 90932LAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7277174 | PA      | $7680599.34    | 0.01%             | 2037-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                       | DUKE ENERGY CAROLINAS LLC 5.4% 01/15/2054                                                           | CUSIP: 26442CBL7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4766993.86    | 0.01%             | 2054-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 12/01/2037#RC2790                                                                    | CUSIP: 3133L9C35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     880431 | PA      | $832570.13     | 0.00%             | 2037-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2052#SD2988                                                                    | CUSIP: 3132DQJ98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21078 | PA      | $19572.73      | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 06/01/2051#BT0136                                                                      | CUSIP: 3140LNEJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     994583 | PA      | $810237.31     | 0.00%             | 2051-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 07/01/2033#BK0935                                                                      | CUSIP: 3140HEBD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     396908 | PA      | $398913.80     | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 04/01/2053#MA4980                                                                      | CUSIP: 31418ERA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350510 | PA      | $360422.17     | 0.00%             | 2053-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5% 06/20/2053#MA8947                                                                        | CUSIP: 36179X5G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2845125 | PA      | $2858790.87    | 0.00%             | 2053-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5.5% 06/20/2053#MA8948                                                                      | CUSIP: 36179X5H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21484692 | PA      | $21836013.74   | 0.03%             | 2053-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5.5% 05/20/2053#MA8879                                                                      | CUSIP: 36179X2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3905262 | PA      | $3966376.16    | 0.01%             | 2053-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                                               | CBRE SERVICES INC 5.95% 08/15/2034                                                                  | CUSIP: 12505BAG5<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    4070000 | PA      | $4384988.00    | 0.01%             | 2034-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 7.119%/VAR 06/27/2034                                                                  | CUSIP: 06738ECH6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    6000000 | PA      | $6743862.36    | 0.01%             | 2034-06-27      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 4.2% 05/25/2033                                                      | CUSIP: 3137HAAG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10300000 | PA      | $10291018.40   | 0.02%             | 2033-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                                                      | NASDAQ INC 6.1% 06/28/2063                                                                          | CUSIP: 63111XAL5<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4837051.66    | 0.01%             | 2063-06-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                                                      | NASDAQ INC 5.95% 08/15/2053                                                                         | CUSIP: 63111XAK7<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    1232000 | PA      | $1287059.58    | 0.00%             | 2053-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| NASDAQ INC                                                                      | NASDAQ INC 5.55% 02/15/2034                                                                         | CUSIP: 63111XAJ0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    3920000 | PA      | $4142420.37    | 0.01%             | 2034-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                                                      | NASDAQ INC 5.35% 06/28/2028                                                                         | CUSIP: 63111XAH4<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    4280000 | PA      | $4414826.08    | 0.01%             | 2028-06-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 06/30/2028                                                                             | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   54700000 | PA      | $55394433.46   | 0.08%             | 2028-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.75% 06/30/2030                                                                          | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41700000 | PA      | $41981800.68   | 0.06%             | 2030-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2034#FS4276                                                                      | CUSIP: 3140XKXE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12298938 | PA      | $12001284.91   | 0.02%             | 2034-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2053#MA5039                                                                    | CUSIP: 31418ES50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     321498 | PA      | $327084.65     | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2040#ZT2295                                                                    | CUSIP: 3132AERQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12548620 | PA      | $12637680.82   | 0.02%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                     | PROLOGIS LP 4.875% 06/15/2028                                                                       | CUSIP: 74340XCG4<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2764039.14    | 0.00%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                               | CHILE REPUBLIC OF 5.33% 01/05/2054                                                                  | CUSIP: 168863EA2<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    8800000 | PA      | $8703200.00    | 0.01%             | 2054-01-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                               | CHILE REPUBLIC OF 4.95% 01/05/2036                                                                  | CUSIP: 168863DZ8<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    9000000 | PA      | $9126000.00    | 0.01%             | 2036-01-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE CO                                                       | ARIZONA PUBLIC SERVICE CO 5.55% 08/01/2033                                                          | CUSIP: 040555DG6<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    8900000 | PA      | $9353692.63    | 0.01%             | 2033-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROVINCE CDA                                                   | BRITISH COLUMBIA PROVINCE CDA 4.2% 07/06/2033                                                       | CUSIP: 11070TAM0<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |    7700000 | PA      | $7723112.24    | 0.01%             | 2033-07-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.5% 12/01/2028#FM2672                                                                    | CUSIP: 3140X56J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        304 | PA      | $304.04        | 0.00%             | 2028-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 01/01/2051#RA4352                                                                      | CUSIP: 3133KKZR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29888090 | PA      | $24619199.25   | 0.04%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2050#CA8108                                                                      | CUSIP: 3140QGAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16092420 | PA      | $13255530.76   | 0.02%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 02/01/2051#CA8820                                                                      | CUSIP: 3140QGYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33599093 | PA      | $27675999.66   | 0.04%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2023-B39 C MTG TR                                                     | BENCHMARK 2023-B39 A5 MTG TR 5.75359% 07/15/2056                                                    | CUSIP: 081925AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3733605.40    | 0.01%             | 2056-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                      | MIZUHO FINL GROUP INC 5.778%/VAR 07/06/2029                                                         | CUSIP: 60687YCZ0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    5120000 | PA      | $5334834.48    | 0.01%             | 2029-07-06      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                      | MIZUHO FINL GROUP INC 5.748%/VAR 07/06/2034                                                         | CUSIP: 60687YDB2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    4000000 | PA      | $4270208.00    | 0.01%             | 2034-07-06      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 04/01/2052#SD3209                                                                    | CUSIP: 3132DQR65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12506506 | PA      | $10718304.60   | 0.02%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 09/01/2050#FP0045                                                                      | CUSIP: 3140XTBP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37970668 | PA      | $31276921.09   | 0.05%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                             | NOMURA HOLDINGS INC 6.07% 07/12/2028                                                                | CUSIP: 65535HBM0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    5700000 | PA      | $5957286.43    | 0.01%             | 2028-07-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORP                                                     | AMERICAN HONDA FINANCE CORP 5.125% 07/07/2028                                                       | CUSIP: 02665WEM9<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    4550000 | PA      | $4670397.73    | 0.01%             | 2028-07-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2042#AQ1820                                                                      | CUSIP: 3138MHAW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     377961 | PA      | $349397.98     | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2042#AQ1869                                                                      | CUSIP: 3138MHCF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     753945 | PA      | $697388.71     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2042#AQ7688                                                                      | CUSIP: 3138MPRJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245846 | PA      | $227252.78     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2047#BM4896                                                                      | CUSIP: 3140J9NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     622068 | PA      | $575115.71     | 0.00%             | 2047-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2047#FM4941                                                                      | CUSIP: 3140X8P35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4364143 | PA      | $4034870.42    | 0.01%             | 2047-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2048#FM8096                                                                      | CUSIP: 3140XB7J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5520492 | PA      | $5115087.30    | 0.01%             | 2048-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2044#FM7604                                                                      | CUSIP: 3140XBNW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1760982 | PA      | $1629169.42    | 0.00%             | 2044-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2047#FM8484                                                                      | CUSIP: 3140XCNA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4166986 | PA      | $3850008.92    | 0.01%             | 2047-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2046#FM8575                                                                      | CUSIP: 3140XCQ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2578109 | PA      | $2384503.00    | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2046#FM8611                                                                      | CUSIP: 3140XCR91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2621753 | PA      | $2421950.75    | 0.00%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2046#FM8703                                                                      | CUSIP: 3140XCU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     792216 | PA      | $733665.27     | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2047#FM9305                                                                      | CUSIP: 3140XDKT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1210436 | PA      | $1117099.59    | 0.00%             | 2047-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2048#FM9750                                                                      | CUSIP: 3140XDZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5920416 | PA      | $5477588.55    | 0.01%             | 2048-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CORP                                                               | TOYOTA MOTOR CORP 5.118% 07/13/2028                                                                 | CUSIP: 892331AQ2<br>LEI: 5493006W3QUS5LMH6R84 | Long             | DBT              | CORP              | JP        |    2000000 | PA      | $2062733.50    | 0.00%             | 2028-07-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                             | SUMITOMO MITSUI FINL GRP INC 5.776% 07/13/2033                                                      | CUSIP: 86562MDD9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    5600000 | PA      | $6017908.68    | 0.01%             | 2033-07-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                                     | METLIFE INC 5.375% 07/15/2033                                                                       | CUSIP: 59156RCE6<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    5845000 | PA      | $6172394.82    | 0.01%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 01/01/2053#BX5040                                                                      | CUSIP: 3140N9S64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1538017 | PA      | $1581512.17    | 0.00%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 07/01/2053#SD8343                                                                      | CUSIP: 3132DWHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     166526 | PA      | $170949.06     | 0.00%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 03/01/2053#SD8309                                                                      | CUSIP: 3132DWGS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17786 | PA      | $18289.20      | 0.00%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 08/01/2053#                                                                          | CUSIP: 3132DWH48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21335021 | PA      | $22129445.57   | 0.03%             | 2053-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 01/01/2053#QF5699                                                                      | CUSIP: 3133BTKL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1697688 | PA      | $1745697.85    | 0.00%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 6.5% 05/01/2053#BW5305                                                               | CUSIP: 3140MW3P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24312 | PA      | $25231.41      | 0.00%             | 2053-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 01/01/2053#BX5666                                                                      | CUSIP: 3140NAJL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227207 | PA      | $232936.04     | 0.00%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 06/01/2053#BY2683                                                                    | CUSIP: 3140NJ6V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     587033 | PA      | $609496.68     | 0.00%             | 2053-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 05/01/2053#BY2702                                                                      | CUSIP: 3140NKAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2425844 | PA      | $2492929.55    | 0.00%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 07/01/2053#                                                                          | CUSIP: 3140NP4N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207397 | PA      | $215119.65     | 0.00%             | 2053-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 01/01/2053#CB5993                                                                      | CUSIP: 3140QRUT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178223 | PA      | $183263.34     | 0.00%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 03/01/2053#MA4942                                                                      | CUSIP: 31418EP46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     662250 | PA      | $680978.16     | 0.00%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 07/01/2053#SD8342                                                                    | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12185780 | PA      | $12378510.52   | 0.02%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 08/01/2053#SD8349                                                                    | CUSIP: 3132DWH22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24508877 | PA      | $24896509.88   | 0.04%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 02/01/2053#QF7085                                                                    | CUSIP: 3133BU2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42854344 | PA      | $43712917.92   | 0.06%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#CB2404                                                                    | CUSIP: 3140QMU69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1158414 | PA      | $986628.19     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL BANK FOR RECONSTRUCTION AND DEVELOPMENT                           | INTERNATIONAL BK RECON and DEVEL 4% 07/25/2030                                                      | CUSIP: 459058KU6<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | CORP              | US        |   26650000 | PA      | $27038677.19   | 0.04%             | 2030-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 5.557%/VAR 07/25/2034                                                        | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9532692.90    | 0.01%             | 2034-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 5.574%/VAR 07/25/2029                                                        | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $12436894.08   | 0.02%             | 2029-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                               | PIEDMONT OPERATING PARTNERSHIP LP 9.25% 07/20/2028                                                  | CUSIP: 720198AG5<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |    3850000 | PA      | $4264035.31    | 0.01%             | 2028-07-20      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 07/20/2053#MA9016                                                                        | CUSIP: 36179YAR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37899770 | PA      | $38081806.42   | 0.06%             | 2053-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.5% 07/20/2053#MA9019                                                                      | CUSIP: 36179YAU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13378708 | PA      | $13826916.52   | 0.02%             | 2053-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 6.5% 06/20/2053#MA8950                                                                      | CUSIP: 36179X5K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1201526 | PA      | $1241778.57    | 0.00%             | 2053-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 07/20/2053#MA9015                                                                      | CUSIP: 36179YAQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11688139 | PA      | $11485675.92   | 0.02%             | 2053-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 07/31/2028                                                                         | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   52950000 | PA      | $53800095.84   | 0.08%             | 2028-07-31      | 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        |   35300000 | PA      | $35909476.39   | 0.05%             | 2030-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 08/01/2053#MA5107                                                                    | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36047246 | PA      | $36617369.23   | 0.05%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                             | AMERICAN EXPRESS CO 5.282%/VAR 07/27/2029                                                           | CUSIP: 025816DH9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $12377583.96   | 0.02%             | 2029-07-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                       | ROGERS COMMUNICATIONS INC 3.8% 03/15/2032                                                           | CUSIP: 775109CH2<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |   23199000 | PA      | $21945037.44   | 0.03%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                       | ROGERS COMMUNICATIONS INC 4.55% 03/15/2052                                                          | CUSIP: 775109CK5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    4570000 | PA      | $3712545.30    | 0.01%             | 2052-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECHNOLOGIES INC                                                       | L3HARRIS TECHNOLOGIES INC 5.4% 07/31/2033                                                           | CUSIP: 502431AQ2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7355130.72    | 0.01%             | 2033-07-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 08/01/2053#MA5108                                                                      | CUSIP: 31418EVA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1647512 | PA      | $1691271.43    | 0.00%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                | BAT CAPITAL CORP 6.421% 08/02/2033                                                                  | CUSIP: 054989AB4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5538762.00    | 0.01%             | 2033-08-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                                   | BAT INTL FINANCE PLC 5.931% 02/02/2029                                                              | CUSIP: 05530QAQ3<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    3000000 | PA      | $3153550.62    | 0.00%             | 2029-02-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | BANCO SANTANDER SA 6.921% 08/08/2033                                                                | CUSIP: 05964HAV7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    2600000 | PA      | $2898664.13    | 0.00%             | 2033-08-08      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 08/15/2033                                                                         | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  444400000 | PA      | $445233250.00  | 0.65%             | 2033-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.125% 08/15/2053                                                       | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  119400000 | PA      | $108882538.76  | 0.16%             | 2053-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC AND GAS CO                                              | PUBLIC SERVICE ELECTRIC AND GAS CO 5.2% 08/01/2033                                                  | CUSIP: 74456QCN4<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3443758.82    | 0.01%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS and ELECTRIC CO                                                   | SAN DIEGO GAS and ELECTRIC CO 4.95% 08/15/2028                                                      | CUSIP: 797440CE2<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2969742.27    | 0.00%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC INC                                                    | THERMO FISHER SCIENTIFIC INC 5.086% 08/10/2033                                                      | CUSIP: 883556CX8<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    2820000 | PA      | $2943926.42    | 0.00%             | 2033-08-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 5.887%/VAR 08/14/2027                                                             | CUSIP: 404280DZ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    5500000 | PA      | $5564372.06    | 0.01%             | 2027-08-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 3.625% 03/15/2032                                                                           | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1897122.78    | 0.00%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| HCA INC                                                                         | HCA INC 4.375% 03/15/2042                                                                           | CUSIP: 404119CS6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $8686579.00    | 0.01%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                                          | CONOCOPHILLIPS CO 5.55% 03/15/2054                                                                  | CUSIP: 20826FBG0<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    9450000 | PA      | $9278389.51    | 0.01%             | 2054-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| CONOCOPHILLIPS COMPANY                                                          | CONOCOPHILLIPS CO 5.05% 09/15/2033                                                                  | CUSIP: 20826FBF2<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    9450000 | PA      | $9797554.65    | 0.01%             | 2033-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 08/01/2053#SD8350                                                                      | CUSIP: 3132DWH30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3668008 | PA      | $3765434.23    | 0.01%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 1.5% 12/01/2041#MA4500                                                                    | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7731342 | PA      | $6555075.64    | 0.01%             | 2041-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 5.65% 11/01/2028                                                                          | CUSIP: 682680BJ1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    3550000 | PA      | $3687454.94    | 0.01%             | 2028-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 6.625% 09/01/2053                                                                         | CUSIP: 682680BN2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    6710000 | PA      | $7092355.80    | 0.01%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2053#SD8336                                                                    | CUSIP: 3132DWHM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21922 | PA      | $20301.29      | 0.00%             | 2053-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 03/01/2053#BX6752                                                                      | CUSIP: 3140NBQE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28389666 | PA      | $28497955.44   | 0.04%             | 2053-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 03/01/2053#FS4238                                                                      | CUSIP: 3140XKV80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41572674 | PA      | $41631865.41   | 0.06%             | 2053-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2053#QG2357                                                                    | CUSIP: 3133C2TN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144192 | PA      | $146350.60     | 0.00%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 02/01/2053#BX5097                                                                    | CUSIP: 3140N9UX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406521 | PA      | $414348.22     | 0.00%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 5.5% 08/01/2053#RA9573                                                                    | CUSIP: 3133KRT61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     477431 | PA      | $485579.12     | 0.00%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 04/01/2053#QG1023                                                                    | CUSIP: 3133C1D49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     578660 | PA      | $587323.80     | 0.00%             | 2053-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2052#BV4919                                                                    | CUSIP: 3140MJPD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1122716 | PA      | $1039011.43    | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 08/01/2053#QG9022                                                                      | CUSIP: 3133CAAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     382941 | PA      | $395313.96     | 0.00%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 04/01/2053#BY1039                                                                      | CUSIP: 3140NHEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65258 | PA      | $67103.00      | 0.00%             | 2053-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 08/01/2053#BY6067                                                                      | CUSIP: 3140NNW50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     589680 | PA      | $606816.99     | 0.00%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 08/01/2053#BY4531                                                                      | CUSIP: 3140NMA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     449158 | PA      | $461790.38     | 0.00%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 6% 06/01/2053#BW5303                                                                 | CUSIP: 3140MW3M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1690141 | PA      | $1733607.01    | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 08/01/2053#                                                                            | CUSIP: 3140NR7A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1785749 | PA      | $1833180.10    | 0.00%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 08/01/2053#                                                                            | CUSIP: 3133C93R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2588131 | PA      | $2660918.63    | 0.00%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 07/01/2053#QG7046                                                                      | CUSIP: 3133C7ZK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2244727 | PA      | $2302104.70    | 0.00%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 08/01/2053#BY2598                                                                      | CUSIP: 3140NJ3G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3235429 | PA      | $3326420.91    | 0.00%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BMO 2023-C6 MTG TR                                                              | BMO 2023-C6 A5 MTG TR 5.9562% 09/15/2056                                                            | CUSIP: 055985AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3320000 | PA      | $3550822.00    | 0.01%             | 2056-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES INC/OH                                                    | HUNTINGTON BANCSHARES INC/OH 6.208%/VAR 08/21/2029                                                  | CUSIP: 446150BC7<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    7490000 | PA      | $7866142.33    | 0.01%             | 2029-08-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: —       |
| ENTERGY ARKANSAS LLC                                                            | ENTERGY ARKANSAS LLC 5.3% 09/15/2033                                                                | CUSIP: 29366MAE8<br>LEI: KYX6QEFGFXUFFAWLGG05 | Long             | DBT              | CORP              | US        |    5730000 | PA      | $5994429.07    | 0.01%             | 2033-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 08/20/2053#MA9107                                                                        | CUSIP: 36179YDL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120474 | PA      | $123580.06     | 0.00%             | 2053-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 08/20/2053#MA9106                                                                      | CUSIP: 36179YDK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31092230 | PA      | $31559363.12   | 0.05%             | 2053-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                  | PNC FINANCIAL SERVICES GRP INC 5.939%/VAR 08/18/2034                                                | CUSIP: 693475BS3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   10750000 | PA      | $11609295.23   | 0.02%             | 2034-08-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 11/01/2037#SB0908                                                                    | CUSIP: 3132CXAH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1573215 | PA      | $1419153.07    | 0.00%             | 2037-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 11/01/2037#QO1063                                                                    | CUSIP: 3133WKFC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     280858 | PA      | $265590.32     | 0.00%             | 2037-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 01/01/2041#G06229                                                                      | CUSIP: 3128M8HE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     732793 | PA      | $722853.03     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2042#G07155                                                                      | CUSIP: 3128M9H88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161490 | PA      | $158690.32     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2042#G07242                                                                      | CUSIP: 3128M9LX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     291640 | PA      | $287545.43     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2042#AJ4894                                                                      | CUSIP: 3138AWNL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     669064 | PA      | $658043.90     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2039#AS1772                                                                      | CUSIP: 3138WA6J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1188354 | PA      | $1172785.12    | 0.00%             | 2039-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 01/01/2044#Q24018                                                                      | CUSIP: 3132M4DX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     452239 | PA      | $442844.03     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2040#AE1789                                                                      | CUSIP: 31419B7B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133570 | PA      | $131543.45     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2044#AV7092                                                                      | CUSIP: 3138XJ3A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     636397 | PA      | $623097.81     | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 11/01/2036#Q04319                                                                      | CUSIP: 3132GKPC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     837001 | PA      | $829373.84     | 0.00%             | 2036-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/01/2041#A97259                                                                      | CUSIP: 312946B47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     479315 | PA      | $472933.82     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2043#AL9571                                                                      | CUSIP: 3138ERT59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     790896 | PA      | $776393.05     | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/01/2045#G61180                                                                      | CUSIP: 31335BJZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     615002 | PA      | $606081.42     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2043#AU9992                                                                      | CUSIP: 3138XAC61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     384180 | PA      | $376188.76     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2043#AV0681                                                                      | CUSIP: 3138XBXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     401093 | PA      | $392248.53     | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/01/2043#Q15942                                                                      | CUSIP: 3132J7BL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     660358 | PA      | $647484.78     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2043#AU6988                                                                      | CUSIP: 3138X6XS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     471538 | PA      | $461179.34     | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2044#AV5019                                                                      | CUSIP: 3138XGSH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     365986 | PA      | $357805.03     | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2040#AE9160                                                                      | CUSIP: 31419LFA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     563516 | PA      | $554645.67     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.375% 08/15/2043                                                       | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  185800000 | PA      | $181118711.40  | 0.27%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2050#FS5284                                                                    | CUSIP: 3140XL2S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34447344 | PA      | $32234339.81   | 0.05%             | 2050-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SCHWAB CHARLES CORP                                                             | SCHWAB CHARLES CORP 6.136%/VAR 08/24/2034                                                           | CUSIP: 808513CH6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    7950000 | PA      | $8701512.31    | 0.01%             | 2034-08-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL                           | JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL 5.75% 04/01/2033                              | CUSIP: 46590XAY2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   19650000 | PA      | $20593101.75   | 0.03%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL                           | JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL 3% 05/15/2032                                 | CUSIP: 46590XAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    8000000 | PA      | $7235155.20    | 0.01%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 08/31/2030                                                                         | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  258800000 | PA      | $264643217.46  | 0.39%             | 2030-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                                                          | FEDERAL HOME LOAN BANKS 4.375% 09/08/2028                                                           | CUSIP: 3130AWTR1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    5990000 | PA      | $6121771.19    | 0.01%             | 2028-09-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QUEBEC PROVINCE CDA                                                             | QUEBEC PROVINCE CDA 4.5% 09/08/2033                                                                 | CUSIP: 748148SE4<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    7800000 | PA      | $7995889.20    | 0.01%             | 2033-09-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHASE ISSUANCE TR                                                               | CHASE ISSUANCE TR 5.08% 09/15/2030                                                                  | CUSIP: 161571HU1<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-CBDO         | CORP              | US        |   18550000 | PA      | $19192798.31   | 0.03%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXPORT IMPORT BANK KOREA                                                        | EXPORT IMPORT BANK KOREA 5.125% 09/18/2033                                                          | CUSIP: 302154DZ9<br>LEI: 549300APVP4R32PI3Y06 | Long             | DBT              | CORP              | KR        |   10400000 | PA      | $11038474.30   | 0.02%             | 2033-09-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 5.872%/VAR 09/15/2034                                                   | CUSIP: 06051GLU1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1240000 | PA      | $1336641.99    | 0.00%             | 2034-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                      | INTUIT INC 5.2% 09/15/2033                                                                          | CUSIP: 46124HAG1<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3360793.31    | 0.00%             | 2033-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                      | INTUIT INC 5.5% 09/15/2053                                                                          | CUSIP: 46124HAH9<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |    2950000 | PA      | $2965956.58    | 0.00%             | 2053-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 09/01/2053#BY2578                                                                    | CUSIP: 3140NJ2L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319026 | PA      | $324071.35     | 0.00%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 11/01/2051#BU1027                                                                      | CUSIP: 3140M2D90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2000716 | PA      | $1631133.82    | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 09/01/2051#BT0240                                                                      | CUSIP: 3140LNHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154755 | PA      | $126892.99     | 0.00%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 09/01/2053#FS5749                                                                    | CUSIP: 3140XML79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41443406 | PA      | $42986579.91   | 0.06%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 06/01/2051#QC2901                                                                      | CUSIP: 3133AMGJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     290108 | PA      | $236336.78     | 0.00%             | 2051-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 05/01/2051#CB0381                                                                      | CUSIP: 3140QKM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     995854 | PA      | $811272.87     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 03/01/2051#FM6556                                                                      | CUSIP: 3140XAJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198937 | PA      | $162063.79     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 12/01/2051#QD3619                                                                    | CUSIP: 3133B1AU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2483238 | PA      | $2114988.17    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 09/01/2053#MA5138                                                                    | CUSIP: 31418EV80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278128 | PA      | $282526.96     | 0.00%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 10/01/2053#SD8367                                                                    | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10113726 | PA      | $10267363.59   | 0.02%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 07/01/2053#MA5072                                                                    | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198066 | PA      | $201198.58     | 0.00%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 06/01/2053#SD8331                                                                    | CUSIP: 3132DWHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52761 | PA      | $53678.38      | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 09/01/2053#DA1022                                                                    | CUSIP: 3140A1D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     457244 | PA      | $463704.33     | 0.00%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 10/01/2053#MA5165                                                                    | CUSIP: 31418EW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17737952 | PA      | $18007409.07   | 0.03%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 10/01/2053#SD8369                                                                    | CUSIP: 3132DWJN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23441227 | PA      | $24292101.78   | 0.04%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 09/01/2053#DA0866                                                                    | CUSIP: 3140A06C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3992656 | PA      | $4053308.20    | 0.01%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 09/01/2053#SD8362                                                                    | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4643114 | PA      | $4716549.56    | 0.01%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 06/01/2053#QG5124                                                                      | CUSIP: 3133C5VR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     791512 | PA      | $703413.69     | 0.00%             | 2053-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2051#CA8895                                                                    | CUSIP: 3140QG3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1341195 | PA      | $1142303.90    | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2053#BY3520                                                                    | CUSIP: 3140NK4E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     482633 | PA      | $491216.37     | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2052#FS3549                                                                    | CUSIP: 3140XJ5K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     493306 | PA      | $420151.61     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2052#QD6848                                                                    | CUSIP: 3133B4TD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1291115 | PA      | $1099650.39    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2052#FS0174                                                                    | CUSIP: 3140XFFQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     927497 | PA      | $789954.71     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 08/01/2052#QE8522                                                                    | CUSIP: 3133BJPF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     500872 | PA      | $428004.30     | 0.00%             | 2052-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 10/01/2051#QC9251                                                                    | CUSIP: 3133AUH43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1860950 | PA      | $1584981.75    | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 08/01/2051#BT2760                                                                    | CUSIP: 3140LRB64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41712 | PA      | $35604.32      | 0.00%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2052#SD0847                                                                    | CUSIP: 3132DM5G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     491752 | PA      | $418827.69     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 11/01/2051#BQ6975                                                                    | CUSIP: 3140KSXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     438049 | PA      | $375416.14     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 05/01/2051#FM7411                                                                      | CUSIP: 3140XBGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28163871 | PA      | $22943702.85   | 0.03%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2053#BU3983                                                                    | CUSIP: 3140M5M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136454 | PA      | $134189.75     | 0.00%             | 2053-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#BU7817                                                                      | CUSIP: 3140M9VK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1690560 | PA      | $1377215.32    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2051#QD1465                                                                      | CUSIP: 3133AXTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     313626 | PA      | $255691.79     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 04/01/2051#QC1270                                                                      | CUSIP: 3133AKMT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     449955 | PA      | $366556.15     | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2050#QB7148                                                                      | CUSIP: 3133AD5H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     734170 | PA      | $598091.68     | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | ENBRIDGE INC 8.5%/VAR 01/15/2084                                                                    | CUSIP: 29250NBT1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    1880000 | PA      | $2156869.48    | 0.00%             | 2084-01-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| INTERSTATE PWR and LT CO                                                        | INTERSTATE PWR and LT CO 5.7% 10/15/2033                                                            | CUSIP: 461070AU8<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |    5100000 | PA      | $5397542.72    | 0.01%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 09/20/2053#MA9171                                                                      | CUSIP: 36179YFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     531246 | PA      | $539559.77     | 0.00%             | 2053-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 09/20/2053#MA9169                                                                      | CUSIP: 36179YFJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     232139 | PA      | $228335.06     | 0.00%             | 2053-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST                                    | AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST 5.15% 09/15/2030                                       | CUSIP: 02589BAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6500000 | PA      | $6738434.30    | 0.01%             | 2030-09-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.625% 09/30/2028                                                                         | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  181900000 | PA      | $187428053.78  | 0.28%             | 2028-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                             | CONSTELLATION ENERGY GENERATION LLC 6.125% 01/15/2034                                               | CUSIP: 210385AD2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2177393.36    | 0.00%             | 2034-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                              | CANADIAN IMPERIAL BK OF COMM 6.092% 10/03/2033                                                      | CUSIP: 13607LWW9<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    7914000 | PA      | $8662044.42    | 0.01%             | 2033-10-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2045#FM2986                                                                      | CUSIP: 3140X6J85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19114111 | PA      | $18687628.90   | 0.03%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 10/01/2051#FS5125                                                                    | CUSIP: 3140XLVT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1955578 | PA      | $1666799.67    | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 01/01/2047#SI2051                                                                      | CUSIP: 3133USH46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10171062 | PA      | $9944440.63    | 0.01%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                                               | ATMOS ENERGY CORP 5.9% 11/15/2033                                                                   | CUSIP: 049560AZ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    7550000 | PA      | $8233345.06    | 0.01%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 11/01/2053#SD8372                                                                    | CUSIP: 3132DWJR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5823323 | PA      | $5911785.05    | 0.01%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 11/01/2053#SD8373                                                                      | CUSIP: 3132DWJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3608218 | PA      | $3702363.86    | 0.01%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 10/01/2053#DA2949                                                                      | CUSIP: 3140A3H30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1615133 | PA      | $1657275.52    | 0.00%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 08/01/2053#QG8653                                                                    | CUSIP: 3133C9TJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4847094 | PA      | $4937691.53    | 0.01%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2053#BX9941                                                                    | CUSIP: 3140NFBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6797840 | PA      | $6945716.61    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 10/01/2053#QH2855                                                                    | CUSIP: 3133CFE47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7389596 | PA      | $7501851.17    | 0.01%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2053#BX9920                                                                    | CUSIP: 3140NFAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7550184 | PA      | $7686349.24    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 11/01/2053#MA5192                                                                    | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3789360 | PA      | $3926610.76    | 0.01%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 09/01/2053#CB7399                                                                    | CUSIP: 3140QTGH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2877546 | PA      | $2984693.16    | 0.00%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 10/01/2053#DA1046                                                                    | CUSIP: 3140A1EU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390233 | PA      | $395905.19     | 0.00%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 08/01/2053#BY6917                                                                    | CUSIP: 3140NPVK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     549046 | PA      | $557729.27     | 0.00%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2053#BX7046                                                                    | CUSIP: 3140NBZL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     663146 | PA      | $675499.58     | 0.00%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 08/01/2037#SB0910                                                                      | CUSIP: 3132CXAK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     794365 | PA      | $734761.08     | 0.00%             | 2037-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                                                      | KENVUE INC 4.9% 03/22/2033                                                                          | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    6173000 | PA      | $6330947.63    | 0.01%             | 2033-03-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| KENVUE INC                                                                      | KENVUE INC 5.05% 03/22/2053                                                                         | CUSIP: 49177JAP7<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    6173000 | PA      | $5733888.83    | 0.01%             | 2053-03-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| KENVUE INC                                                                      | KENVUE INC 5.05% 03/22/2028                                                                         | CUSIP: 49177JAF9<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    5583000 | PA      | $5711294.27    | 0.01%             | 2028-03-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.875% 10/31/2030                                                                         | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  123100000 | PA      | $130043609.38  | 0.19%             | 2030-10-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.875% 10/31/2028                                                                         | CUSIP: 91282CJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  191946000 | PA      | $199188963.30  | 0.29%             | 2028-10-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 10/20/2053#MA9241                                                                      | CUSIP: 36179YHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9036282 | PA      | $9177691.90    | 0.01%             | 2053-10-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.5% 11/15/2033                                                                           | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  395900000 | PA      | $413174229.48  | 0.61%             | 2033-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                      | HUMANA INC 5.95% 03/15/2034                                                                         | CUSIP: 444859BY7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   10850000 | PA      | $11462941.89   | 0.02%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | FORD MOTOR CREDIT CO LLC 6.798% 11/07/2028                                                          | CUSIP: 345397D59<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   10510000 | PA      | $11003653.33   | 0.02%             | 2028-11-07      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| FORD MOTOR CREDIT CO LLC                                                        | FORD MOTOR CREDIT CO LLC 7.122% 11/07/2033                                                          | CUSIP: 345397D67<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   11340000 | PA      | $12221132.52   | 0.02%             | 2033-11-07      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 7.399%/VAR 11/13/2034                                                             | CUSIP: 404280EC9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    8800000 | PA      | $10068807.94   | 0.01%             | 2034-11-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                        | RTX CORP 6.1% 03/15/2034                                                                            | CUSIP: 75513ECW9<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    1020000 | PA      | $1125556.21    | 0.00%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                                         | DUKE ENERGY FLORIDA LLC 6.2% 11/15/2053                                                             | CUSIP: 26444HAR2<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    4060000 | PA      | $4440626.83    | 0.01%             | 2053-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2053#FS6043                                                                    | CUSIP: 3140XMWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26639 | PA      | $24698.34      | 0.00%             | 2053-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA S.A                                             | BANCO BILBAO VIZ ARGENTARIA SA 7.883%/VAR 11/15/2034                                                | CUSIP: 05946KAN1<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    2000000 | PA      | $2345463.06    | 0.00%             | 2034-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL BANK FOR RECONSTRUCTION AND DEVELOPMENT                           | INTERNATIONAL BK RECON and DEVEL 4.75% 11/14/2033                                                   | CUSIP: 459058KY8<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | CORP              | US        |   28960000 | PA      | $30564385.16   | 0.04%             | 2033-11-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 08/01/2053#QG8026                                                                      | CUSIP: 3133C84K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4322029 | PA      | $4436826.72    | 0.01%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 11/01/2053#MA5191                                                                      | CUSIP: 31418EXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11031151 | PA      | $11320701.86   | 0.02%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 11/01/2053#DA2704                                                                      | CUSIP: 3140A3AE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7787003 | PA      | $7984342.72    | 0.01%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 02/01/2053#QF7735                                                                    | CUSIP: 3133BVSY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     507895 | PA      | $516880.26     | 0.00%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                                                             | HIGHWOODS REALTY LP 7.65% 02/01/2034                                                                | CUSIP: 431282AU6<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $3195744.52    | 0.00%             | 2034-02-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.75% 11/15/2043                                                        | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   97000000 | PA      | $98993047.36   | 0.15%             | 2043-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 11/20/2053#MA9304                                                                        | CUSIP: 36179YKR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19883503 | PA      | $19979005.12   | 0.03%             | 2053-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 07/20/2053#MA9017                                                                      | CUSIP: 36179YAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     461686 | PA      | $468946.92     | 0.00%             | 2053-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.375% 11/30/2028                                                                         | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  247600000 | PA      | $253693282.49  | 0.37%             | 2028-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.375% 11/30/2030                                                                         | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  240500000 | PA      | $248767187.50  | 0.37%             | 2030-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 12/01/2053#RJ0505                                                                    | CUSIP: 3142GQR38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16491141 | PA      | $17320358.77   | 0.03%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL QUE                                                            | BANK OF MONTREAL QUE 5.266% 12/11/2026                                                              | CUSIP: 06368LC53<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    5200000 | PA      | $5270088.46    | 0.01%             | 2026-12-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.375% 12/15/2026                                                                         | CUSIP: 91282CJP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29250000 | PA      | $29472817.43   | 0.04%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                              | ATHENE HOLDING LTD 5.875% 01/15/2034                                                                | CUSIP: 04686JAG6<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |    9850000 | PA      | $10213586.45   | 0.02%             | 2034-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| MSWF COMMERCIAL MORTGAGE TRUST 23-2                                             | MSWF COMMERCIAL MORTGAGE TRUST 23-2 6.014% 12/15/2056                                               | CUSIP: 55361AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4026000 | PA      | $4382767.21    | 0.01%             | 2056-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 6.848%/VAR 01/03/2030                                                                 | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $3066237.34    | 0.00%             | 2030-01-03      | Variable      | 0.07%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 09/01/2053#SD8364                                                                    | CUSIP: 3132DWJH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9300670 | PA      | $9646986.64    | 0.01%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 12/01/2053#QH6120                                                                      | CUSIP: 3133CJYR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     194162 | PA      | $194478.13     | 0.00%             | 2053-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/01/2054#                                                                            | CUSIP: 31418EZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1263251 | PA      | $1266885.56    | 0.00%             | 2054-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 01/01/2054#                                                                            | CUSIP: 3132DWKF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1694966 | PA      | $1697724.01    | 0.00%             | 2054-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 12/01/2053#DA0600                                                                    | CUSIP: 3140A0U23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20582 | PA      | $21473.29      | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 01/01/2054#SD8397                                                                    | CUSIP: 3132DWKJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2405918 | PA      | $2493060.91    | 0.00%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 01/01/2054#MA5248                                                                    | CUSIP: 31418EZN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5112605 | PA      | $5297783.72    | 0.01%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 12/01/2053#DA6087                                                                    | CUSIP: 3140A6XR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2837337 | PA      | $2940105.21    | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 11/01/2053#DA1076                                                                    | CUSIP: 3140A1FS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387069 | PA      | $401167.35     | 0.00%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 10/01/2053#RJ0110                                                                    | CUSIP: 3142GQDQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     695988 | PA      | $722991.34     | 0.00%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2053#FS6047                                                                      | CUSIP: 3140XMWH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1944094 | PA      | $1950901.56    | 0.00%             | 2053-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 09/01/2053#QH0625                                                                      | CUSIP: 3133CCVS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48908 | PA      | $49063.67      | 0.00%             | 2053-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 04/01/2053#BX9892                                                                      | CUSIP: 3140NE7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27642 | PA      | $27781.61      | 0.00%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/01/2053#CB6815                                                                      | CUSIP: 3140QSSD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95638 | PA      | $95973.06      | 0.00%             | 2053-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 06/01/2053#BY3392                                                                      | CUSIP: 3140NKXW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77808 | PA      | $78007.91      | 0.00%             | 2053-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/01/2053#BX5038                                                                      | CUSIP: 3140N9S49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     517708 | PA      | $519683.11     | 0.00%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 04/01/2053#CB6599                                                                      | CUSIP: 3140QSKM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2207777 | PA      | $2215508.51    | 0.00%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 01/01/2054#SD8395                                                                    | CUSIP: 3132DWKG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111756 | PA      | $113418.56     | 0.00%             | 2054-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 01/01/2054#                                                                          | CUSIP: 31418EZL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1006123 | PA      | $1021092.95    | 0.00%             | 2054-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2052#FS1948                                                                      | CUSIP: 3140XHEW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     530903 | PA      | $506630.55     | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 08/01/2053#BY7262                                                                    | CUSIP: 3140NQB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15496558 | PA      | $15741651.61   | 0.02%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 09/01/2053#QH1267                                                                      | CUSIP: 3133CDMQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8409252 | PA      | $8632610.40    | 0.01%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 07/01/2053#QG5830                                                                      | CUSIP: 3133C6PP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1443782 | PA      | $1490973.66    | 0.00%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 04/01/2052#QE1488                                                                    | CUSIP: 3133BAUM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36213 | PA      | $30978.83      | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2052#BV6616                                                                      | CUSIP: 3140MLK66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     455229 | PA      | $434558.76     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2052#QE5945                                                                    | CUSIP: 3133BFTA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65571 | PA      | $60682.33      | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2052#QD8994                                                                    | CUSIP: 3133B67F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     949520 | PA      | $878727.96     | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 04/01/2053#BX8625                                                                      | CUSIP: 3140NDSP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     709439 | PA      | $710449.52     | 0.00%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 12/01/2051#QD2618                                                                      | CUSIP: 3133AY4B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61028 | PA      | $54235.32      | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2051#BR6304                                                                    | CUSIP: 3140L5AE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1994080 | PA      | $1699615.38    | 0.00%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2051#CA9291                                                                    | CUSIP: 3140QHKD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     832725 | PA      | $709757.07     | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 07/01/2036#QN6967                                                                    | CUSIP: 3133GDW48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2843179 | PA      | $2574525.72    | 0.00%             | 2036-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2053#CB6300                                                                      | CUSIP: 3140QSAA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5780176 | PA      | $5526752.51    | 0.01%             | 2053-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/01/2051#CB0447                                                                    | CUSIP: 3140QKP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36551432 | PA      | $31542270.25   | 0.05%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 5.5% 06/01/2053#RA9270                                                                    | CUSIP: 3133KRJP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     198225 | PA      | $202227.31     | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4% 02/01/2038#FS6194                                                                      | CUSIP: 3140XM3C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8513396 | PA      | $8442025.38    | 0.01%             | 2038-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 12/20/2053#MA9361                                                                        | CUSIP: 36179YMJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8562052 | PA      | $8592473.98    | 0.01%             | 2053-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.75% 12/31/2030                                                                          | CUSIP: 91282CJQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20950000 | PA      | $21070298.88   | 0.03%             | 2030-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.75% 12/31/2028                                                                          | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   87800000 | PA      | $88431062.50   | 0.13%             | 2028-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                      | PACIFICORP 5.45% 02/15/2034                                                                         | CUSIP: 695114DD7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    8250000 | PA      | $8430096.02    | 0.01%             | 2034-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                      | PACIFICORP 5.8% 01/15/2055                                                                          | CUSIP: 695114DE5<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1902594.20    | 0.00%             | 2055-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 5.3% 01/19/2034                           | CUSIP: 00774MBH7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    2050000 | PA      | $2108788.94    | 0.00%             | 2034-01-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 01/15/2027                                                                             | CUSIP: 91282CJT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   67450000 | PA      | $67734554.69   | 0.10%             | 2027-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                            | ROYAL BANK OF CANADA 5.15% 02/01/2034                                                               | CUSIP: 78016HZW3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    4000000 | PA      | $4206417.56    | 0.01%             | 2034-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 06/01/2053#QG5482                                                                      | CUSIP: 3133C6CT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     869160 | PA      | $892245.41     | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 07/01/2053#QG6041                                                                      | CUSIP: 3133C6WA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1040478 | PA      | $1074080.58    | 0.00%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 06/01/2053#BY6858                                                                      | CUSIP: 3140NPTQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     918449 | PA      | $944279.13     | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 07/01/2053#BY6777                                                                      | CUSIP: 3140NPQ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1253740 | PA      | $1285982.37    | 0.00%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 07/01/2053#BY5273                                                                      | CUSIP: 3140NM2F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1142060 | PA      | $1179978.65    | 0.00%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 07/01/2053#BY6420                                                                      | CUSIP: 3140NPD23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1903753 | PA      | $1954319.08    | 0.00%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 06/01/2053#SD3200                                                                      | CUSIP: 3132DQRV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2726577 | PA      | $2805814.20    | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 07/01/2053#QG7468                                                                      | CUSIP: 3133C8JM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3622856 | PA      | $3741272.75    | 0.01%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 03/01/2052#SD3226                                                                    | CUSIP: 3132DQSP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     923975 | PA      | $786955.08     | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 10/01/2053#QH2450                                                                    | CUSIP: 3133CEWK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87165 | PA      | $90321.99      | 0.00%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2051#CB0844                                                                    | CUSIP: 3140QK5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     908448 | PA      | $774298.25     | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 10/01/2051#FM9067                                                                    | CUSIP: 3140XDCD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186987 | PA      | $159257.86     | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 5.012%/VAR 01/23/2030                                                         | CUSIP: 46647PEB8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   12500000 | PA      | $12834250.13   | 0.02%             | 2030-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 5.336%/VAR 01/23/2035                                                         | CUSIP: 46647PEC6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $15692013.90   | 0.02%             | 2035-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 5.198%/VAR 01/23/2030                                                        | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    8500000 | PA      | $8769752.60    | 0.01%             | 2030-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 5.499%/VAR 01/23/2035                                                        | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9463713.12    | 0.01%             | 2035-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CORP ANDINA DE FOMENTO                                                          | CORP ANDINA DE FOMENTO 5% 01/24/2029                                                                | CUSIP: 219868CJ3<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | CORP              | VE        |    4395000 | PA      | $4534105.66    | 0.01%             | 2029-01-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2052#SD4521                                                                    | CUSIP: 3132DSAW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     861958 | PA      | $797693.81     | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2052#SD4401                                                                    | CUSIP: 3132E03J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2433082 | PA      | $2099642.08    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 10/01/2051#FS6478                                                                    | CUSIP: 3140XNFU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3376012 | PA      | $2904909.14    | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                  | PNC FINANCIAL SERVICES GRP INC 5.676%/VAR 01/22/2035                                                | CUSIP: 693475BW4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4977583.03    | 0.01%             | 2035-01-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BLUE OWL CAPITAL CORP                                                           | BLUE OWL CAPITAL CORP 5.95% 03/15/2029                                                              | CUSIP: 69121KAH7<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |    2850000 | PA      | $2885836.38    | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 01/31/2031                                                                             | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  117950000 | PA      | $119977265.63  | 0.18%             | 2031-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 01/31/2029                                                                             | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  202100000 | PA      | $205005187.50  | 0.30%             | 2029-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                     | PROLOGIS LP 5.25% 03/15/2054                                                                        | CUSIP: 74340XCK5<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    4520000 | PA      | $4368566.71    | 0.01%             | 2054-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                           | TRUIST FINANCIAL CORP 5.711%/VAR 01/24/2035                                                         | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    4420000 | PA      | $4674113.89    | 0.01%             | 2035-01-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                              | REALTY INCOME CORP 3.4% 01/15/2030                                                                  | CUSIP: 756109CC6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1946838.58    | 0.00%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 6.051%/VAR 02/01/2035                                                          | CUSIP: 14040HDF9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    6850000 | PA      | $7317118.21    | 0.01%             | 2035-02-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                           | NORTHROP GRUMMAN CORP 5.2% 06/01/2054                                                               | CUSIP: 666807CM2<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2868049.38    | 0.00%             | 2054-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL BDC INC                                                           | GOLUB CAPITAL BDC INC 6% 07/15/2029                                                                 | CUSIP: 38173MAE2<br>LEI: 2549005WE0QLGK9APF78 | Long             | DBT              | CORP              | US        |    2550000 | PA      | $2600028.14    | 0.00%             | 2029-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| UST NOTES                                                                       | UST NOTES 4% 02/15/2034                                                                             | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  242150000 | PA      | $244060713.63  | 0.36%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.25% 02/15/2054                                                        | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  406859000 | PA      | $378871551.84  | 0.56%             | 2054-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                               | CIGNA GROUP (THE) 5.25% 02/15/2034                                                                  | CUSIP: 125523CV0<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5177857.35    | 0.01%             | 2034-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2052#FS5331                                                                    | CUSIP: 3140XL4R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197033 | PA      | $182342.97     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2052#QE7126                                                                    | CUSIP: 3133BG4K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1003580 | PA      | $928757.34     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2052#QE1079                                                                    | CUSIP: 3133BAFU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     961571 | PA      | $889880.16     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 12/01/2053#SD8385                                                                    | CUSIP: 3132DWJ61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15150208 | PA      | $15698949.57   | 0.02%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2052#BV5370                                                                    | CUSIP: 3140MJ6G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21091 | PA      | $18042.82      | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 11/01/2038#FS6621                                                                      | CUSIP: 3140XNLB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     770046 | PA      | $712266.78     | 0.00%             | 2038-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LAUDER ESTEE COS INC                                                            | LAUDER ESTEE COS INC 5% 02/14/2034                                                                  | CUSIP: 29736RAV2<br>LEI: 549300VFZ8XJ9NUPU221 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2655435.90    | 0.00%             | 2034-02-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| BRISTOL-MYERS SQUIBB CO                                                         | BRISTOL-MYERS SQUIBB CO 5.2% 02/22/2034                                                             | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   24270000 | PA      | $25470138.88   | 0.04%             | 2034-02-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                         | BRISTOL-MYERS SQUIBB CO 5.55% 02/22/2054                                                            | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    8543000 | PA      | $8631126.94    | 0.01%             | 2054-02-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.5% 02/15/2044                                                         | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   57150000 | PA      | $56466879.19   | 0.08%             | 2044-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5.5% 09/20/2053#787198                                                                      | CUSIP: 3622AC3F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13695926 | PA      | $13924164.25   | 0.02%             | 2053-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EASTMAN CHEMICAL CO                                                             | EASTMAN CHEMICAL CO 5.625% 02/20/2034                                                               | CUSIP: 277432AY6<br>LEI: FDPVHDGJ1IQZFK9KH630 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3719651.29    | 0.01%             | 2034-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| HCA INC                                                                         | HCA INC 5.6% 04/01/2034                                                                             | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10483957.40   | 0.02%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DTE ELEC CO                                                                     | DTE ELEC CO 5.2% 03/01/2034                                                                         | CUSIP: 23338VAV8<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5932687.79    | 0.01%             | 2034-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                | GEORGIA POWER CO 5.25% 03/15/2034                                                                   | CUSIP: 373334KW0<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5916454.37    | 0.01%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC/MD                                                   | MARRIOTT INTERNATIONAL INC/MD 4.875% 05/15/2029                                                     | CUSIP: 571903BP7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6131604.48    | 0.01%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CISCO SYSTEMS INC                                                               | CISCO SYSTEMS INC 4.85% 02/26/2029                                                                  | CUSIP: 17275RBR2<br>LEI: 8E6NF1YAL0WT6CWXXV93 | Long             | DBT              | CORP              | US        |    7570000 | PA      | $7779643.35    | 0.01%             | 2029-02-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| CISCO SYSTEMS INC                                                               | CISCO SYSTEMS INC 5.05% 02/26/2034                                                                  | CUSIP: 17275RBT8<br>LEI: 8E6NF1YAL0WT6CWXXV93 | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7575819.04    | 0.01%             | 2034-02-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CISCO SYSTEMS INC                                                               | CISCO SYSTEMS INC 5.3% 02/26/2054                                                                   | CUSIP: 17275RBU5<br>LEI: 8E6NF1YAL0WT6CWXXV93 | Long             | DBT              | CORP              | US        |    3650000 | PA      | $3577093.22    | 0.01%             | 2054-02-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                      | ABBVIE INC 4.8% 03/15/2029                                                                          | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6671027.35    | 0.01%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                      | ABBVIE INC 5.05% 03/15/2034                                                                         | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    9930000 | PA      | $10298914.59   | 0.02%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                      | ABBVIE INC 5.4% 03/15/2054                                                                          | CUSIP: 00287YDW6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6479235.10    | 0.01%             | 2054-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                              | PANAMA REPUBLIC OF 7.5% 03/01/2031                                                                  | CUSIP: 698299BX1<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    4300000 | PA      | $4738600.00    | 0.01%             | 2031-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                              | PANAMA REPUBLIC OF 7.875% 03/01/2057                                                                | CUSIP: 698299BZ6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    3300000 | PA      | $3821709.54    | 0.01%             | 2057-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.25% 02/28/2029                                                                          | CUSIP: 91282CKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  204400000 | PA      | $208943108.86  | 0.31%             | 2029-02-28      | 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        |  304850000 | PA      | $313745428.50  | 0.46%             | 2031-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 02/20/2054#MA9488                                                                      | CUSIP: 36179YRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13768223 | PA      | $13967548.74   | 0.02%             | 2054-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL INC                                                     | HONEYWELL INTL INC 4.875% 09/01/2029                                                                | CUSIP: 438516CQ7<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    4580000 | PA      | $4722633.84    | 0.01%             | 2029-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| NATWEST GROUP PLC                                                               | NATWEST GROUP PLC 5.778%/VAR 03/01/2035                                                             | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    2300000 | PA      | $2448816.51    | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL INC                                                     | HONEYWELL INTL INC 5% 03/01/2035                                                                    | CUSIP: 438516CS3<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    6720000 | PA      | $6898352.83    | 0.01%             | 2035-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| HONEYWELL INTERNATIONAL INC                                                     | HONEYWELL INTL INC 5.25% 03/01/2054                                                                 | CUSIP: 438516CT1<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |   10680000 | PA      | $10343533.11   | 0.02%             | 2054-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FIN INC                                                              | BROOKFIELD FIN INC 5.968% 03/04/2054                                                                | CUSIP: 11271LAL6<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    8950000 | PA      | $9101786.18    | 0.01%             | 2054-03-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                                                        | WILLIS NORTH AMERICA INC 5.9% 03/05/2054                                                            | CUSIP: 970648AN1<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3044801.22    | 0.00%             | 2054-03-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL INC                                                     | HONEYWELL INTL INC 4.95% 09/01/2031                                                                 | CUSIP: 438516CR5<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1874955.40    | 0.00%             | 2031-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                                           | AON NORTH AMERICA INC 5.45% 03/01/2034                                                              | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5950000 | PA      | $6222482.45    | 0.01%             | 2034-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                                           | AON NORTH AMERICA INC 5.75% 03/01/2054                                                              | CUSIP: 03740MAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6200000 | PA      | $6284985.69    | 0.01%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                                                | ISRAEL STATE OF 5.5% 03/12/2034                                                                     | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    3500000 | PA      | $3639734.00    | 0.01%             | 2034-03-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                                                | ISRAEL STATE OF 5.375% 03/12/2029                                                                   | CUSIP: 46514BRN9<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    3700000 | PA      | $3810736.60    | 0.01%             | 2029-03-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                                                | ISRAEL STATE OF 5.75% 03/12/2054                                                                    | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    3700000 | PA      | $3609014.52    | 0.01%             | 2054-03-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS INC                                                          | CHUBB INA HOLDINGS INC 5% 03/15/2034                                                                | CUSIP: 171239AK2<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3188289.18    | 0.00%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA S.A                                             | BANCO BILBAO VIZ ARGENTARIA SA 6.033%/VAR 03/13/2035                                                | CUSIP: 05946KAR2<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    3200000 | PA      | $3429435.81    | 0.01%             | 2035-03-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 03/01/2054#CB8159                                                                      | CUSIP: 3140QUB54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17331072 | PA      | $17999916.54   | 0.03%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 12/01/2053#RJ0473                                                                      | CUSIP: 3142GQQ39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26066045 | PA      | $27042014.71   | 0.04%             | 2053-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | FORD MOTOR CREDIT CO LLC 6.125% 03/08/2034                                                          | CUSIP: 345397E66<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5086330.25    | 0.01%             | 2034-03-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 6.125% 04/01/2054                                                                | CUSIP: 925650AG8<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3005911.44    | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK NEW YORK MELLON CORP                                                       | BANK NEW YORK MELLON CORP 4.975%/VAR 03/14/2030                                                     | CUSIP: 06406RBV8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9280139.58    | 0.01%             | 2030-03-14      | Variable      | 0.05%                 | No            |                  2 | On Loan: —       |
| BANK NEW YORK MELLON CORP                                                       | BANK NEW YORK MELLON CORP 5.188%/VAR 03/14/2035                                                     | CUSIP: 06406RBW6<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    9740000 | PA      | $10108510.27   | 0.01%             | 2035-03-14      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                                                              | POLAND REPUBLIC OF 5.5% 03/18/2054                                                                  | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    5880000 | PA      | $5728590.00    | 0.01%             | 2054-03-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                                                              | POLAND REPUBLIC OF 5.125% 09/18/2034                                                                | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    9500000 | PA      | $9768375.00    | 0.01%             | 2034-09-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | BANCO SANTANDER SA 5.538%/VAR 03/14/2030                                                            | CUSIP: 05964HBB0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   13600000 | PA      | $14095159.82   | 0.02%             | 2030-03-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                                                              | POLAND REPUBLIC OF 4.625% 03/18/2029                                                                | CUSIP: 731011AX0<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    4160000 | PA      | $4253516.80    | 0.01%             | 2029-03-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | BANCO SANTANDER SA 6.35% 03/14/2034                                                                 | CUSIP: 05964HBD6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    3400000 | PA      | $3678973.64    | 0.01%             | 2034-03-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 04/01/2054#SD8419                                                                      | CUSIP: 3132DWK85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     261068 | PA      | $261166.85     | 0.00%             | 2054-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 03/01/2054#SD8408                                                                    | CUSIP: 3132DWKV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42175885 | PA      | $42803398.62   | 0.06%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 04/01/2054#SD8420                                                                    | CUSIP: 3132DWK93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5389693 | PA      | $5464830.97    | 0.01%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2054#SD8417                                                                    | CUSIP: 3132DWK69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22642 | PA      | $22209.38      | 0.00%             | 2054-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2052#FS7061                                                                      | CUSIP: 3140XNZ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1092446 | PA      | $970851.93     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2050#BP2491                                                                      | CUSIP: 3140K9XV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1610808 | PA      | $1432524.51    | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 02/01/2050#QA6629                                                                      | CUSIP: 3133A1LJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     623042 | PA      | $554668.20     | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 11/01/2053#CB7456                                                                    | CUSIP: 3140QTJA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42587 | PA      | $43407.16      | 0.00%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 03/01/2052#QD8623                                                                      | CUSIP: 3133B6SL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     163561 | PA      | $145356.39     | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 06/01/2052#FS7062                                                                      | CUSIP: 3140XNZ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4912113 | PA      | $4365374.04    | 0.01%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2054#                                                                          | CUSIP: 31418E4L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6339998 | PA      | $6218466.16    | 0.01%             | 2054-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2052#QF2002                                                                    | CUSIP: 3133BPGK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5702984 | PA      | $5615494.26    | 0.01%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2052#SD1287                                                                    | CUSIP: 3132DNNC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79292 | PA      | $73380.69      | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 11/01/2053#SD4977                                                                      | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15843652 | PA      | $15884281.33   | 0.02%             | 2053-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 03/01/2052#BV0162                                                                      | CUSIP: 3140MDFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53720 | PA      | $43762.72      | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 08/01/2051#CB1373                                                                      | CUSIP: 3140QLQ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420924 | PA      | $342905.68     | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECHNOLOGIES INC                                                       | L3HARRIS TECHNOLOGIES INC 5.05% 06/01/2029                                                          | CUSIP: 502431AS8<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    9560000 | PA      | $9844483.33    | 0.01%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                             | CONSTELLATION ENERGY GENERATION LLC 5.75% 03/15/2054                                                | CUSIP: 210385AF7<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    7400000 | PA      | $7427716.70    | 0.01%             | 2054-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 03/01/2051#FS1924                                                                    | CUSIP: 3140XHD61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12324647 | PA      | $10604813.72   | 0.02%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                             | COMMONSPIRIT HEALTH 5.205% 12/01/2031                                                               | CUSIP: 20268JAR4<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6229730.58    | 0.01%             | 2031-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2037#MA4794                                                                    | CUSIP: 31418EKG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     904722 | PA      | $855539.86     | 0.00%             | 2037-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 09/01/2037#SB8181                                                                    | CUSIP: 3132D6CS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38352 | PA      | $36266.76      | 0.00%             | 2037-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 11/01/2037#QO1051                                                                    | CUSIP: 3133WKEY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     823023 | PA      | $778282.53     | 0.00%             | 2037-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2038#CB6791                                                                    | CUSIP: 3140QSRM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359135 | PA      | $339499.93     | 0.00%             | 2038-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 10/01/2038#RC3059                                                                    | CUSIP: 3133L9MG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     850671 | PA      | $804162.15     | 0.00%             | 2038-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 09/01/2037#QO0877                                                                    | CUSIP: 3133WJ6N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     723408 | PA      | $684082.63     | 0.00%             | 2037-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 02/01/2038#SB8240                                                                    | CUSIP: 3132D6EM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158421 | PA      | $149759.48     | 0.00%             | 2038-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/01/2037#CB4227                                                                    | CUSIP: 3140QPVV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2262929 | PA      | $2139913.51    | 0.00%             | 2037-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 04/01/2036#CB0341                                                                    | CUSIP: 3140QKLX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     375940 | PA      | $356090.49     | 0.00%             | 2036-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2036#BT4367                                                                    | CUSIP: 3140LSZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     394668 | PA      | $374569.75     | 0.00%             | 2036-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2036#BT4333                                                                    | CUSIP: 3140LSY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124672 | PA      | $118166.97     | 0.00%             | 2036-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 02/01/2036#QN5429                                                                    | CUSIP: 3133GCA69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61996 | PA      | $58838.82      | 0.00%             | 2036-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 01/20/2054#MA9422                                                                        | CUSIP: 36179YPF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3247029 | PA      | $3257551.38    | 0.00%             | 2054-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS and ELECTRIC CO                                                   | SAN DIEGO GAS and ELECTRIC CO 5.55% 04/15/2054                                                      | CUSIP: 797440CF9<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6433895.13    | 0.01%             | 2054-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 02/20/2054#MA9487                                                                        | CUSIP: 36179YRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     697379 | PA      | $699638.49     | 0.00%             | 2054-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 03/31/2029                                                                         | CUSIP: 91282CKG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  131700000 | PA      | $134164230.80  | 0.20%             | 2029-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 03/31/2031                                                                         | CUSIP: 91282CKF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21850000 | PA      | $22355281.25   | 0.03%             | 2031-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2% 04/01/2042#SC0481                                                                      | CUSIP: 3132D9RA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25544677 | PA      | $22541882.16   | 0.03%             | 2042-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2052#BV2616                                                                      | CUSIP: 3140MF4A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189619 | PA      | $169047.09     | 0.00%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 10/01/2053#CB7336                                                                    | CUSIP: 3140QTEJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56304 | PA      | $57282.20      | 0.00%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2053#BY1493                                                                    | CUSIP: 3140NHUT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1094083 | PA      | $1075589.00    | 0.00%             | 2053-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 01/01/2054#DA7801                                                                    | CUSIP: 3140A8U34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54849 | PA      | $55665.04      | 0.00%             | 2054-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 03/01/2054#MA5296                                                                    | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8298156 | PA      | $8421620.12    | 0.01%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2052#QD7995                                                                    | CUSIP: 3133B53C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1425758 | PA      | $1319459.88    | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 04/01/2052#QD9628                                                                      | CUSIP: 3133B7VV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     866278 | PA      | $769857.24     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| QUEBEC PROVINCE CDA                                                             | QUEBEC PROVINCE CDA 4.5% 04/03/2029                                                                 | CUSIP: 748148M91<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    5500000 | PA      | $5642342.15    | 0.01%             | 2029-04-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE CO OF COLORADO                                                   | PUBLIC SERVICE CO OF COLORADO 5.35% 05/15/2034                                                      | CUSIP: 744448CZ2<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2904263.57    | 0.00%             | 2034-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORPORATION NEW                                                        | AMPHENOL CORPORATION NEW 5.25% 04/05/2034                                                           | CUSIP: 032095AQ4<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    5710000 | PA      | $5981163.67    | 0.01%             | 2034-04-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                                                        | TOTALENERGIES CAPITAL SA 5.638% 04/05/2064                                                          | CUSIP: 89157XAC5<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |    1020000 | PA      | $1015465.10    | 0.00%             | 2064-04-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                                                        | TOTALENERGIES CAPITAL SA 5.488% 04/05/2054                                                          | CUSIP: 89157XAB7<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |    2040000 | PA      | $2013484.10    | 0.00%             | 2054-04-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                                                        | TOTALENERGIES CAPITAL SA 5.15% 04/05/2034                                                           | CUSIP: 89157XAA9<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |    2040000 | PA      | $2131937.76    | 0.00%             | 2034-04-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | ENBRIDGE INC 5.625% 04/05/2034                                                                      | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    5500000 | PA      | $5776077.89    | 0.01%             | 2034-04-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | ENBRIDGE INC 5.95% 04/05/2054                                                                       | CUSIP: 29250NCD5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    2820000 | PA      | $2905998.02    | 0.00%             | 2054-04-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                          | DIAMONDBACK ENERGY INC 5.15% 01/30/2030                                                             | CUSIP: 25278XAY5<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3293149.76    | 0.00%             | 2030-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                          | DIAMONDBACK ENERGY INC 5.9% 04/18/2064                                                              | CUSIP: 25278XBB4<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $7625186.41    | 0.01%             | 2064-04-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2054#MA5353                                                                    | CUSIP: 31418E5P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16752309 | PA      | $16985852.75   | 0.02%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2053#QG3280                                                                    | CUSIP: 3133C3UD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1199501 | PA      | $1179600.22    | 0.00%             | 2053-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 04/01/2054#DA0560                                                                    | CUSIP: 3140A0TS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     377084 | PA      | $382341.30     | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 5.5% 01/01/2054#RJ1373                                                                    | CUSIP: 3142GRQ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     476033 | PA      | $482848.25     | 0.00%             | 2054-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 05/01/2054#MA5354                                                                      | CUSIP: 31418E5Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25348967 | PA      | $25994534.59   | 0.04%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FINANCIAL GROUP INC                                                   | JEFFERIES FINANCIAL GROUP INC 6.2% 04/14/2034                                                       | CUSIP: 47233WEJ4<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    5370000 | PA      | $5689057.31    | 0.01%             | 2034-04-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 05/01/2052#QE2327                                                                      | CUSIP: 3133BBSQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11290707 | PA      | $10034003.08   | 0.01%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 5% 02/01/2039#CB8432                                                                      | CUSIP: 3140QULN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1130010 | PA      | $1145991.51    | 0.00%             | 2039-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 5% 05/01/2039#SB8303                                                                      | CUSIP: 3132D6GL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6808387 | PA      | $6891910.08    | 0.01%             | 2039-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 5% 04/01/2039#SB8293                                                                      | CUSIP: 3132D6GA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     654015 | PA      | $662038.38     | 0.00%             | 2039-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 6.45% 04/15/2027                          | CUSIP: 00774MBG9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   23302000 | PA      | $23968232.84   | 0.04%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROVINCE CDA                                                   | BRITISH COLUMBIA PROVINCE CDA 4.9% 04/24/2029                                                       | CUSIP: 110709AL6<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |   12800000 | PA      | $13311334.40   | 0.02%             | 2029-04-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 04/01/2054#SD7569                                                                      | CUSIP: 3132DVMS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   45017571 | PA      | $46856894.75   | 0.07%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.625% 04/30/2031                                                                         | CUSIP: 91282CKN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   58900000 | PA      | $61706953.13   | 0.09%             | 2031-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.625% 04/30/2029                                                                         | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31000000 | PA      | $32087421.72   | 0.05%             | 2029-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 01/01/2052#SD2629                                                                    | CUSIP: 3132DP4N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1255161 | PA      | $1069028.20    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2052#FS5127                                                                      | CUSIP: 3140XLVV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     550553 | PA      | $489274.32     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DESIGNATED ACTIVITY CO                                     | ICON INVESTMENTS SIX DESIGNATED ACTIVITY CO 5.849% 05/08/2029                                       | CUSIP: 45115AAB0<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |    3056000 | PA      | $3191197.56    | 0.00%             | 2029-05-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.625% 05/15/2054                                                       | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  108100000 | PA      | $107162569.77  | 0.16%             | 2054-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.375% 05/15/2034                                                                         | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  126050000 | PA      | $130314034.53  | 0.19%             | 2034-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                             | DOMINION ENERGY INC 7%/VAR 06/01/2054                                                               | CUSIP: 25746UDU0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $4026954.20    | 0.01%             | 2054-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AGREE LP                                                                        | AGREE LP 5.625% 06/15/2034                                                                          | CUSIP: 008513AE3<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4728135.47    | 0.01%             | 2034-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | INTERCONTINENTAL EXCHANGE INC 5.25% 06/15/2031                                                      | CUSIP: 45866FBA1<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    5030000 | PA      | $5268254.50    | 0.01%             | 2031-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                               | ARES CAPITAL CORP 5.95% 07/15/2029                                                                  | CUSIP: 04010LBG7<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $7404338.16    | 0.01%             | 2029-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| COCA COLA CO                                                                    | COCA COLA CO 5% 05/13/2034                                                                          | CUSIP: 191216DR8<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    6760000 | PA      | $7100664.52    | 0.01%             | 2034-05-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2024-C26                                                           | BBCMS MTG TR 2024-C26 VAR 05/15/2057                                                                | CUSIP: 05555AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18028000 | PA      | $19469556.74   | 0.03%             | 2057-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 5.7% 06/01/2034                                                                     | CUSIP: 126650ED8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    6850000 | PA      | $7215995.02    | 0.01%             | 2034-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 6.05% 06/01/2054                                                                    | CUSIP: 126650EF3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    6650000 | PA      | $6739972.57    | 0.01%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| INGERSOLL RAND INC                                                              | INGERSOLL RAND INC 5.45% 06/15/2034                                                                 | CUSIP: 45687VAF3<br>LEI: 5299004C02FMZCUOIR50 | Long             | DBT              | CORP              | US        |    8100000 | PA      | $8479573.13    | 0.01%             | 2034-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 5.597%/VAR 05/17/2028                                                             | CUSIP: 404280EF2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3610000 | PA      | $3681512.66    | 0.01%             | 2028-05-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 5.733%/VAR 05/17/2032                                                             | CUSIP: 404280EG0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   10000000 | PA      | $10581431.70   | 0.02%             | 2032-05-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.1% 06/01/2029     | CUSIP: 161175CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3128182.65    | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.55% 06/01/2034    | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12650000 | PA      | $13341154.13   | 0.02%             | 2034-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2053#BY1369                                                                    | CUSIP: 3140NHQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258182 | PA      | $238933.16     | 0.00%             | 2053-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2054#QH8426                                                                    | CUSIP: 3133CMLF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     247016 | PA      | $228599.49     | 0.00%             | 2054-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2052#FS1474                                                                    | CUSIP: 3140XGT82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1076491 | PA      | $996232.28     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2052#SD2370                                                                    | CUSIP: 3132DPT32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     737748 | PA      | $682744.58     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2052#CB3674                                                                    | CUSIP: 3140QPCL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     613838 | PA      | $568072.60     | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2052#BV7814                                                                    | CUSIP: 3140MMVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     652537 | PA      | $603886.94     | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2052#CB4114                                                                    | CUSIP: 3140QPSC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     469706 | PA      | $434687.20     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 07/01/2052#SD3227                                                                    | CUSIP: 3132DQSQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     971269 | PA      | $827235.81     | 0.00%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 02/01/2052#BT1897                                                                      | CUSIP: 3140LQDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     910907 | PA      | $742070.56     | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2052#FS4815                                                                      | CUSIP: 3140XLK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5707372 | PA      | $5072116.94    | 0.01%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2052#FS4712                                                                    | CUSIP: 3140XLGW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     907402 | PA      | $772839.95     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 06/01/2054#                                                                          | CUSIP: 3132DWLT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3572922 | PA      | $3619801.59    | 0.01%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2054#DA6057                                                                    | CUSIP: 3140A6WT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57986 | PA      | $58794.68      | 0.00%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2054#                                                                          | CUSIP: 3140A6V78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23039 | PA      | $23360.24      | 0.00%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 07/01/2052#FS7879                                                                    | CUSIP: 3140XPXH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11835360 | PA      | $10080244.70   | 0.01%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 05/01/2054#SD8431                                                                    | CUSIP: 3132DWLL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10252810 | PA      | $10395744.01   | 0.02%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2054#MA5388                                                                    | CUSIP: 31418E7A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3561384 | PA      | $3611032.99    | 0.01%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2052#CB2913                                                                    | CUSIP: 3140QNGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     766523 | PA      | $709374.40     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 03/01/2052#FS1174                                                                    | CUSIP: 3140XGJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99147 | PA      | $91754.88      | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2052#QE1173                                                                    | CUSIP: 3133BAJS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66728 | PA      | $61795.15      | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2052#QE3536                                                                    | CUSIP: 3133BC4V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     788985 | PA      | $730162.16     | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2052#BW2333                                                                    | CUSIP: 3140MTSX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     697319 | PA      | $645329.59     | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2052#QE0316                                                                    | CUSIP: 3133B9K52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39746 | PA      | $36807.23      | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARKEL GROUP INC                                                                | MARKEL GROUP INC 6% 05/16/2054                                                                      | CUSIP: 570535AY0<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |    5200000 | PA      | $5353949.02    | 0.01%             | 2054-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                                         | ENTERGY MISSISSIPPI LLC 5.85% 06/01/2054                                                            | CUSIP: 29366WAE6<br>LEI: FKUZOUT82DOBGXFS6K20 | Long             | DBT              | CORP              | US        |    3120000 | PA      | $3217371.61    | 0.00%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 10/01/2036#SB0571                                                                      | CUSIP: 3132CWT46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31899 | PA      | $29575.68      | 0.00%             | 2036-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 05/20/2054#MA9668                                                                      | CUSIP: 36179YW59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     851714 | PA      | $861782.01     | 0.00%             | 2054-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.5% 11/01/2038#MA5212                                                                    | CUSIP: 31418EYJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86909 | PA      | $87058.31      | 0.00%             | 2038-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.5% 10/01/2026#AL1124                                                                    | CUSIP: 3138EHHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        249 | PA      | $248.93        | 0.00%             | 2026-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4.5% 09/01/2038#SB8256                                                                    | CUSIP: 3132D6E55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     726991 | PA      | $728917.90     | 0.00%             | 2038-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.5% 11/01/2037#FS3282                                                                    | CUSIP: 3140XJUG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     901737 | PA      | $905253.88     | 0.00%             | 2037-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.5% 01/01/2027#AL8122                                                                    | CUSIP: 3138ETAY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        943 | PA      | $941.80        | 0.00%             | 2027-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4.5% 04/01/2039#QO2025                                                                    | CUSIP: 3133WLHA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22224 | PA      | $22248.44      | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.5% 05/01/2039#MA5373                                                                    | CUSIP: 31418E6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1228267 | PA      | $1229602.96    | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4.5% 04/01/2038#RC2876                                                                    | CUSIP: 3133L9FR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31232 | PA      | $31373.76      | 0.00%             | 2038-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.5% 01/01/2027#AL7548                                                                    | CUSIP: 3138EQL67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3521 | PA      | $3515.99       | 0.00%             | 2027-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4.5% 08/01/2038#SB8246                                                                    | CUSIP: 3132D6ET3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1214266 | PA      | $1217483.56    | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4.5% 01/01/2039#SB8276                                                                    | CUSIP: 3132D6FR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42724 | PA      | $42797.14      | 0.00%             | 2039-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4.5% 04/01/2039#SB8292                                                                    | CUSIP: 3132D6F96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1441065 | PA      | $1442632.21    | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.5% 04/01/2039#MA5344                                                                    | CUSIP: 31418E5E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58127 | PA      | $58190.49      | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.5% 09/01/2038#BX4455                                                                    | CUSIP: 3140N85R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85200 | PA      | $85425.92      | 0.00%             | 2038-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4.5% 06/01/2039#                                                                          | CUSIP: 3132D6GQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1452643 | PA      | $1454222.90    | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4.5% 10/01/2038#SB8259                                                                    | CUSIP: 3132D6E89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83112 | PA      | $83332.55      | 0.00%             | 2038-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4.5% 07/01/2038#SB8242                                                                    | CUSIP: 3132D6EP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113212 | PA      | $113511.83     | 0.00%             | 2038-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.5% 09/01/2038#MA5147                                                                    | CUSIP: 31418EWH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162537 | PA      | $162967.98     | 0.00%             | 2038-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4.5% 05/01/2039#SB8302                                                                    | CUSIP: 3132D6GK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2411036 | PA      | $2413658.02    | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4.5% 09/01/2037#SB0767                                                                    | CUSIP: 3132CWZ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     268921 | PA      | $269969.59     | 0.00%             | 2037-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHNSON and JOHNSON                                                             | JOHNSON and JOHNSON 4.9% 06/01/2031                                                                 | CUSIP: 478160CV4<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5242851.80    | 0.01%             | 2031-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | FORD MOTOR CREDIT CO LLC 5.85% 05/17/2027                                                           | CUSIP: 345397E74<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9124740.18    | 0.01%             | 2027-05-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CRH AMERICA FINANCE INC                                                         | CRH AMER FIN INC 5.4% 05/21/2034                                                                    | CUSIP: 12636YAE2<br>LEI: 549300WEVUODRJ4CWK56 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $5009826.34    | 0.01%             | 2034-05-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| BP CAP MARKETS AMERICA INC                                                      | BP CAP MARKETS AMERICA INC 5.227% 11/17/2034                                                        | CUSIP: 10373QCA6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    7410000 | PA      | $7716207.95    | 0.01%             | 2034-11-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA INC                                                      | BP CAP MARKETS AMERICA INC 5.017% 11/17/2027                                                        | CUSIP: 10373QBY5<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    4820000 | PA      | $4919458.82    | 0.01%             | 2027-11-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.625% 05/15/2044                                                       | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   71850000 | PA      | $72052078.13   | 0.11%             | 2044-05-15      | 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 K-163 A2 VAR 03/25/2034                                              | CUSIP: 3137HCXK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9080000 | PA      | $9531349.55    | 0.01%             | 2034-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP NEW                                                                | ENTERGY CORP NEW 7.125%/VAR 12/01/2054                                                              | CUSIP: 29364GAQ6<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3470626.50    | 0.01%             | 2054-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: —       |
| UNITED PARCEL SERVICE INC                                                       | UNITED PARCEL SERVICE INC 5.5% 05/22/2054                                                           | CUSIP: 911312CE4<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3578326.92    | 0.01%             | 2054-05-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMCOR GROUP FINANCE                                                             | AMCOR GROUP FINANCE 5.45% 05/23/2029                                                                | CUSIP: 02344BAA4<br>LEI: 2549008XHB8M1L64J275 | Long             | DBT              | CORP              | GB        |   13600000 | PA      | $14072062.26   | 0.02%             | 2029-05-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EQUINIX EUROPE 2 FINANCING CORP LLC                                             | EQUINIX EUROPE 2 FINANCING CORP LLC 5.5% 06/15/2034                                                 | CUSIP: 29390XAA2<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              | CORP              | US        |   12510000 | PA      | $13018738.29   | 0.02%             | 2034-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 06/01/2051#RA5391                                                                      | CUSIP: 3133KL7C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35727 | PA      | $31750.13      | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.5% 05/31/2029                                                                           | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   78350000 | PA      | $80832103.71   | 0.12%             | 2029-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.625% 05/31/2031                                                                         | CUSIP: 91282CKU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  160200000 | PA      | $167853305.09  | 0.25%             | 2031-05-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2053#FS7751                                                                      | CUSIP: 3140XPTH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227813 | PA      | $218109.76     | 0.00%             | 2053-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 5.721%/VAR 06/05/2030                                                      | CUSIP: 53944YBA0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    8400000 | PA      | $8812569.78    | 0.01%             | 2030-06-05      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                           | FLORIDA PWR and LT CO 5.3% 06/15/2034                                                               | CUSIP: 341081GU5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    9012000 | PA      | $9480982.32    | 0.01%             | 2034-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OWENS CORNING NEW                                                               | OWENS CORNING NEW 5.95% 06/15/2054                                                                  | CUSIP: 690742AQ4<br>LEI: JO5M6676RDJIZ2U8X907 | Long             | DBT              | CORP              | US        |    4330000 | PA      | $4441546.95    | 0.01%             | 2054-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| SANTANDER HLDGS USA INC                                                         | SANTANDER HLDGS USA INC 6.342%/VAR 05/31/2035                                                       | CUSIP: 80282KBL9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    5250000 | PA      | $5641769.18    | 0.01%             | 2035-05-31      | Variable      | 0.06%                 | No            |                  2 | On Loan: —       |
| CITIGROUP INC                                                                   | CITIGROUP INC 5.449%/VAR 06/11/2035                                                                 | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   12600000 | PA      | $13159681.79   | 0.02%             | 2035-06-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON and CO                                                         | BECTON DICKINSON and CO 5.081% 06/07/2029                                                           | CUSIP: 075887CU1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6174052.32    | 0.01%             | 2029-06-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                      | UNUM GROUP 6% 06/15/2054                                                                            | CUSIP: 91529YAT3<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |    4580000 | PA      | $4560693.10    | 0.01%             | 2054-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                            | DUKE ENERGY CORP NEW 5.45% 06/15/2034                                                               | CUSIP: 26441CCE3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    8340000 | PA      | $8737748.69    | 0.01%             | 2034-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| NEXTERA ENERGY CAP HLDGS INC                                                    | NEXTERA ENERGY CAP HLDGS INC 6.75%/VAR 06/15/2054                                                   | CUSIP: 65339KDB3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    7350000 | PA      | $7887351.15    | 0.01%             | 2054-06-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DEERE JOHN CAPITAL CORP                                                         | DEERE JOHN CAPITAL CORP 5.05% 06/12/2034                                                            | CUSIP: 24422EXU8<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    6740000 | PA      | $7007021.14    | 0.01%             | 2034-06-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 06/01/2054#CB8715                                                                      | CUSIP: 3140QUVH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15484130 | PA      | $15860079.63   | 0.02%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL SA LUXEMBOURG                                                     | ARCELORMITTAL SA LUXEMBOURG 6.35% 06/17/2054                                                        | CUSIP: 03938LBH6<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |    2810000 | PA      | $2940118.12    | 0.00%             | 2054-06-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 05/01/2054#SD8432                                                                      | CUSIP: 3132DWLM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25795881 | PA      | $26412523.46   | 0.04%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 04/01/2054#DB0929                                                                    | CUSIP: 3140AAA72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1065717 | PA      | $1080573.89    | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 06/01/2054#QI7880                                                                    | CUSIP: 3133WEXH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     655568 | PA      | $664706.81     | 0.00%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2054#DB3356                                                                    | CUSIP: 3140ACWS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     288607 | PA      | $292549.01     | 0.00%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#FM9693                                                                    | CUSIP: 3140XDXX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1221104 | PA      | $1040021.26    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 10/01/2051#RA6136                                                                    | CUSIP: 3133KMY90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1965345 | PA      | $1673895.85    | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 07/01/2052#SD5368                                                                    | CUSIP: 3132DS6D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     437259 | PA      | $372416.30     | 0.00%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 07/01/2054#MA5419                                                                      | CUSIP: 31418FAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100250 | PA      | $100256.25     | 0.00%             | 2054-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC 5.6% 06/18/2031                                                            | CUSIP: 37045XEY8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    4220000 | PA      | $4404145.31    | 0.01%             | 2031-06-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 03/01/2037#SB1146                                                                      | CUSIP: 3132CXHX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29488 | PA      | $27348.83      | 0.00%             | 2037-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                  | HOME DEPOT INC 4.95% 06/25/2034                                                                     | CUSIP: 437076DE9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   11600000 | PA      | $11938251.24   | 0.02%             | 2034-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                  | HOME DEPOT INC 4.75% 06/25/2029                                                                     | CUSIP: 437076DC3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2051676.68    | 0.00%             | 2029-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | AIR LEASE CORP 5.2% 07/15/2031                                                                      | CUSIP: 00914AAX0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2651564.89    | 0.00%             | 2031-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES CORP                                                     | CENTERPOINT ENERGY RES CORP 5.4% 07/01/2034                                                         | CUSIP: 15189WAS9<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |    5710000 | PA      | $5930862.74    | 0.01%             | 2034-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMEREN ILL CO                                                                   | AMEREN ILL CO 5.55% 07/01/2054                                                                      | CUSIP: 02361DBB5<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2722108.33    | 0.00%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                           | REPUBLIC SERVICES INC 5.2% 11/15/2034                                                               | CUSIP: 760759BK5<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    4520000 | PA      | $4716564.09    | 0.01%             | 2034-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER CO INC                                                  | AMERICAN ELECTRIC POWER INC 6.95%/VAR 12/15/2054                                                    | CUSIP: 025537BA8<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3564118.80    | 0.01%             | 2054-12-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                        | AMERICAN HOMES 4 RENT LP 5.5% 07/15/2034                                                            | CUSIP: 02666TAH0<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $4052729.93    | 0.01%             | 2034-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| ENBRIDGE INC                                                                    | ENBRIDGE INC 7.2%/VAR 06/27/2054                                                                    | CUSIP: 29250NCF0<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    1674000 | PA      | $1794218.31    | 0.00%             | 2054-06-27      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                    | AUTOZONE INC 5.4% 07/15/2034                                                                        | CUSIP: 053332BK7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    1530000 | PA      | $1593800.27    | 0.00%             | 2034-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                    | AUTOZONE INC 5.1% 07/15/2029                                                                        | CUSIP: 053332BJ0<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    1730000 | PA      | $1783909.76    | 0.00%             | 2029-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC DEL                                                        | WASTE MANAGEMENT INC DEL 4.95% 07/03/2031                                                           | CUSIP: 94106LBY4<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    1860000 | PA      | $1932937.39    | 0.00%             | 2031-07-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC DEL                                                        | WASTE MANAGEMENT INC DEL 4.95% 07/03/2027                                                           | CUSIP: 94106LBX6<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    1920000 | PA      | $1951299.63    | 0.00%             | 2027-07-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                            | EDISON INTERNATIONAL 5.45% 06/15/2029                                                               | CUSIP: 281020BA4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    8400000 | PA      | $8537394.68    | 0.01%             | 2029-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VODAFONE GRP PLC                                                                | VODAFONE GROUP PLC 5.75% 06/28/2054                                                                 | CUSIP: 92857WCA6<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    2470000 | PA      | $2435988.05    | 0.00%             | 2054-06-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LTD                                                               | VALE OVERSEAS LTD 6.4% 06/28/2054                                                                   | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |    1770000 | PA      | $1814320.80    | 0.00%             | 2054-06-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                      | MIZUHO FINL GROUP INC 5.382%/VAR 07/10/2030                                                         | CUSIP: 60687YDF3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    4120000 | PA      | $4275462.72    | 0.01%             | 2030-07-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                      | MIZUHO FINL GROUP INC 5.594%/VAR 07/10/2035                                                         | CUSIP: 60687YDG1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    4300000 | PA      | $4531290.64    | 0.01%             | 2035-07-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BMO 2024-C9 MTG TR                                                              | BMO 2024-C9 MTG TR 5.7592% 07/15/2057                                                               | CUSIP: 05593MAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15860000 | PA      | $16980837.30   | 0.02%             | 2057-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                             | SUMITOMO MITSUI FINL GRP INC 5.558% 07/09/2034                                                      | CUSIP: 86562MDP2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    2320000 | PA      | $2458803.05    | 0.00%             | 2034-07-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 03/01/2051#FM6764                                                                    | CUSIP: 3140XAQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31550 | PA      | $26890.93      | 0.00%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.95%/VAR 03/10/2055                             | CUSIP: 00774MBK0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    3750000 | PA      | $3932687.25    | 0.01%             | 2055-03-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2054#MA5378                                                                      | CUSIP: 31418E6Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18688669 | PA      | $17810890.36   | 0.03%             | 2054-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2054#MA5341                                                                      | CUSIP: 31418E5B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     603097 | PA      | $574770.01     | 0.00%             | 2054-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 07/01/2054#MA5420                                                                    | CUSIP: 31418FAW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1089768 | PA      | $1104960.02    | 0.00%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 06/01/2054#QI7884                                                                    | CUSIP: 3133WEXM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     551650 | PA      | $559185.82     | 0.00%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 08/01/2054#MA5444                                                                    | CUSIP: 31418FBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3517876 | PA      | $3566918.68    | 0.01%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 05/01/2054#QI6052                                                                    | CUSIP: 3133WCWM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     919051 | PA      | $931624.27     | 0.00%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 02/01/2054#MA5271                                                                    | CUSIP: 31418E2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168126 | PA      | $170627.10     | 0.00%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 04/01/2054#DB0816                                                                    | CUSIP: 3140A94A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1083364 | PA      | $1098991.64    | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 07/01/2054#MA5421                                                                      | CUSIP: 31418FAX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19839903 | PA      | $20314170.28   | 0.03%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 11/01/2053#RJ0314                                                                      | CUSIP: 3142GQK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6237608 | PA      | $6437396.65    | 0.01%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 04/01/2054#DB2626                                                                    | CUSIP: 3140AB4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     610031 | PA      | $618535.10     | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2054#DB4388                                                                    | CUSIP: 3140AD2W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     840882 | PA      | $852604.44     | 0.00%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 5.5% 04/01/2054#RJ1367                                                                    | CUSIP: 3142GRQV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     450067 | PA      | $456341.22     | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 04/01/2054#QI4868                                                                    | CUSIP: 3133WBMR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     379533 | PA      | $385258.12     | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 03/01/2054#DB0758                                                                    | CUSIP: 3140A9ZY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     456372 | PA      | $463333.01     | 0.00%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 03/01/2054#QI0647                                                                    | CUSIP: 3133W6WG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72667 | PA      | $73952.42      | 0.00%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 03/01/2054#DA6617                                                                    | CUSIP: 3140A7K78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54663 | PA      | $55476.29      | 0.00%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 03/01/2054#RJ1877                                                                    | CUSIP: 3142GSCP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     458209 | PA      | $464597.02     | 0.00%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2054#DB4007                                                                    | CUSIP: 3140ADNZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $507158.10     | 0.00%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2054#DB4403                                                                    | CUSIP: 3140AD3M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     948942 | PA      | $962171.61     | 0.00%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 11/01/2053#FS6838                                                                    | CUSIP: 3140XNS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     748734 | PA      | $760576.35     | 0.00%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2053#FS4840                                                                    | CUSIP: 3140XLLW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6275539 | PA      | $6384598.90    | 0.01%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 04/01/2054#CB8789                                                                    | CUSIP: 3140QUXT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13792828 | PA      | $13985113.62   | 0.02%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2054#DB3401                                                                    | CUSIP: 3140ACX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     894908 | PA      | $907383.67     | 0.00%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 08/01/2054#SD8454                                                                      | CUSIP: 3132DWMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31431864 | PA      | $32202878.65   | 0.05%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 06/01/2054#QI7614                                                                    | CUSIP: 3133WEN71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     145675 | PA      | $147651.13     | 0.00%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                          | IPALCO ENTERPRISES INC 5.75% 04/01/2034                                                             | CUSIP: 462613AR1<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4093380.40    | 0.01%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.995%/VAR 07/22/2030                                                         | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    6050000 | PA      | $6225250.71    | 0.01%             | 2030-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 5.294%/VAR 07/22/2035                                                         | CUSIP: 46647PEK8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    5350000 | PA      | $5577985.27    | 0.01%             | 2035-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 5.33%/VAR 07/23/2035                                                  | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   13150000 | PA      | $13646965.59   | 0.02%             | 2035-07-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: —       |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 5.049%/VAR 07/23/2030                                                 | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   20500000 | PA      | $21059558.78   | 0.03%             | 2030-07-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 5.32%/VAR 07/19/2035                                                                 | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    8400000 | PA      | $8723749.44    | 0.01%             | 2035-07-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 5.042%/VAR 07/19/2030                                                                | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    8300000 | PA      | $8532360.41    | 0.01%             | 2030-07-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKROCK FUNDING INC                                                           | BLACKROCK FUNDING INC 4.9% 01/08/2035                                                               | CUSIP: 09290DAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5860325.90    | 0.01%             | 2035-01-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKROCK FUNDING INC                                                           | BLACKROCK FUNDING INC 5.35% 01/08/2055                                                              | CUSIP: 09290DAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5390000 | PA      | $5355337.29    | 0.01%             | 2055-01-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| BLACKROCK FUNDING INC                                                           | BLACKROCK FUNDING INC 4.6% 07/26/2027                                                               | CUSIP: 09290DAH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4530000 | PA      | $4587276.87    | 0.01%             | 2027-07-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                      | CITIZENS FINANCIAL GRP INC 5.718%/VAR 07/23/2032                                                    | CUSIP: 174610BH7<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    5800000 | PA      | $6083242.77    | 0.01%             | 2032-07-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                  | US BANCORP DEL 5.1%/VAR 07/23/2030                                                                  | CUSIP: 91159HJS0<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4229365.05    | 0.01%             | 2030-07-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: —       |
| UST NOTES                                                                       | UST NOTES 4.125% 07/31/2031                                                                         | CUSIP: 91282CLD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  319950000 | PA      | $327257530.02  | 0.48%             | 2031-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.5% 06/20/2054#MA9727                                                                      | CUSIP: 36179YYY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     129276 | PA      | $133495.59     | 0.00%             | 2054-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 07/31/2029                                                                             | CUSIP: 91282CLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   85400000 | PA      | $86727705.26   | 0.13%             | 2029-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                             | AMERICAN EXPRESS CO 5.284%/VAR 07/26/2035                                                           | CUSIP: 025816DW6<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   10480000 | PA      | $10877066.03   | 0.02%             | 2035-07-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 6.184%/VAR 07/26/2035                                                                 | CUSIP: 02005NBV1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    6930000 | PA      | $7180127.33    | 0.01%             | 2035-07-26      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2049#SD5005                                                                      | CUSIP: 3132DSR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19171606 | PA      | $18612638.97   | 0.03%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 07/01/2053#FS8468                                                                    | CUSIP: 3140XQMS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20075172 | PA      | $20605979.71   | 0.03%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 09/01/2053#SD7565                                                                    | CUSIP: 3132DVMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19073837 | PA      | $19602010.55   | 0.03%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 5.625% 07/15/2054                                                            | CUSIP: 91324PFL1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   18470000 | PA      | $18503356.08   | 0.03%             | 2054-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 5.15% 07/15/2034                                                             | CUSIP: 91324PFJ6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $7445950.63    | 0.01%             | 2034-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 4.95% 01/15/2032                                                             | CUSIP: 91324PFH0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   23450000 | PA      | $24165414.01   | 0.04%             | 2032-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 5.884%/VAR 07/26/2035                                                          | CUSIP: 14040HDH5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    3450000 | PA      | $3644577.21    | 0.01%             | 2035-07-26      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL INC                                                     | HONEYWELL INTL INC 4.7% 02/01/2030                                                                  | CUSIP: 438516CY0<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |   11540000 | PA      | $11818225.94   | 0.02%             | 2030-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                                   | DTE ENERGY CO 4.95% 07/01/2027                                                                      | CUSIP: 233331BM8<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    5690000 | PA      | $5759332.54    | 0.01%             | 2027-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                             | CONSUMERS ENERGY CO 4.7% 01/15/2030                                                                 | CUSIP: 210518DX1<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    7660000 | PA      | $7846312.57    | 0.01%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 07/20/2054#MA9779                                                                      | CUSIP: 36179Y2L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9881662 | PA      | $9991524.48    | 0.01%             | 2054-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECHNOLOGIES INC                                                       | L3HARRIS TECHNOLOGIES INC 5.5% 08/15/2054                                                           | CUSIP: 502431AV1<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    3950000 | PA      | $3938979.93    | 0.01%             | 2054-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EASTMAN CHEMICAL CO                                                             | EASTMAN CHEMICAL CO 5% 08/01/2029                                                                   | CUSIP: 277432AZ3<br>LEI: FDPVHDGJ1IQZFK9KH630 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3057411.21    | 0.00%             | 2029-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| NETFLIX INC                                                                     | NETFLIX INC 4.9% 08/15/2034                                                                         | CUSIP: 64110LAZ9<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |   14010000 | PA      | $14532415.11   | 0.02%             | 2034-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| GLP CAP LP / GLP FING II INC                                                    | GLP CAP LP / GLP FING II INC 5.625% 09/15/2034                                                      | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9020000 | PA      | $9135672.48    | 0.01%             | 2034-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| UST NOTES                                                                       | UST NOTES 3.875% 08/15/2034                                                                         | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  252340000 | PA      | $251345200.02  | 0.37%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.25% 08/15/2054                                                        | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  290200000 | PA      | $270260085.21  | 0.40%             | 2054-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                           | TRUIST FINANCIAL CORP 5.153%/VAR 08/05/2032                                                         | CUSIP: 89788MAT9<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3098987.94    | 0.00%             | 2032-08-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | ENTERPRISE PRODS OPER LLC 4.95% 02/15/2035                                                          | CUSIP: 29379VCG6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    2230000 | PA      | $2267877.29    | 0.00%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | ENTERPRISE PRODS OPER LLC 5.55% 02/16/2055                                                          | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    2230000 | PA      | $2207998.86    | 0.00%             | 2055-02-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| PERU, REPUBLIC OF                                                               | PERU REPUBLIC OF 5.875% 08/08/2054                                                                  | CUSIP: 715638EC2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    5450000 | PA      | $5488150.00    | 0.01%             | 2054-08-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC AND GAS CO                                              | PUBLIC SERVICE ELECTRIC AND GAS CO 5.3% 08/01/2054                                                  | CUSIP: 74456QCT1<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    2870000 | PA      | $2804820.41    | 0.00%             | 2054-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 7% 01/01/2054#SD4719                                                                      | CUSIP: 3132DSG48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4646554 | PA      | $4919129.34    | 0.01%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 7% 12/01/2053#FS6923                                                                      | CUSIP: 3140XNVR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3853896 | PA      | $4083682.23    | 0.01%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 7% 12/01/2053#FS6924                                                                      | CUSIP: 3140XNVS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3883672 | PA      | $4092429.77    | 0.01%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                        | TOYOTA MOTOR CREDIT CORP 4.55% 08/09/2029                                                           | CUSIP: 89236TMK8<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   17190000 | PA      | $17511722.37   | 0.03%             | 2029-08-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                  | VIRGINIA ELECTRIC AND POWER CO 5.05% 08/15/2034                                                     | CUSIP: 927804GR9<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    2170000 | PA      | $2214470.87    | 0.00%             | 2034-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | META PLATFORMS INC 4.3% 08/15/2029                                                                  | CUSIP: 30303M8S4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   14300000 | PA      | $14514537.75   | 0.02%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| META PLATFORMS INC                                                              | META PLATFORMS INC 4.75% 08/15/2034                                                                 | CUSIP: 30303M8U9<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3052374.84    | 0.00%             | 2034-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | META PLATFORMS INC 5.4% 08/15/2054                                                                  | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   16808000 | PA      | $16301941.37   | 0.02%             | 2054-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DR HORTON INC                                                                   | DR HORTON INC 5% 10/15/2034                                                                         | CUSIP: 23331ABS7<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3060478.92    | 0.00%             | 2034-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| COCA COLA CO                                                                    | COCA COLA CO 5.2% 01/14/2055                                                                        | CUSIP: 191216DZ0<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    9790000 | PA      | $9654412.12    | 0.01%             | 2055-01-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                          | EXTRA SPACE STORAGE LP 5.35% 01/15/2035                                                             | CUSIP: 30225VAT4<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    9180000 | PA      | $9421164.02    | 0.01%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TUCSON ELECTRIC POWER CO                                                        | TUCSON ELECTRIC POWER CO 5.2% 09/15/2034                                                            | CUSIP: 898813AW0<br>LEI: YLF139GXSRKPBBTNZL03 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $6382008.07    | 0.01%             | 2034-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS CO                                                      | SOUTHERN CALIFORNIA GAS CO 5.05% 09/01/2034                                                         | CUSIP: 842434DB5<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    8300000 | PA      | $8499290.55    | 0.01%             | 2034-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC/MD                                                   | MARRIOTT INTERNATIONAL INC/MD 5.35% 03/15/2035                                                      | CUSIP: 571903BS1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    3450000 | PA      | $3571537.22    | 0.01%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 08/01/2051#BT4771                                                                      | CUSIP: 3140LTJR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9008085 | PA      | $7338438.61    | 0.01%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 06/01/2052#FS6031                                                                      | CUSIP: 3140XMVZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1847662 | PA      | $1506353.26    | 0.00%             | 2052-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 09/01/2051#FS0355                                                                      | CUSIP: 3140XFMD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $814650.32     | 0.00%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2050#QB7053                                                                      | CUSIP: 3133ADZS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1583766 | PA      | $1290215.35    | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 09/01/2054#MA5470                                                                    | CUSIP: 31418FCG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     328984 | PA      | $333262.09     | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 09/01/2054#                                                                          | CUSIP: 3132DWMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20159511 | PA      | $20421655.24   | 0.03%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 07/01/2052#SD3019                                                                      | CUSIP: 3132DQK88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     719137 | PA      | $639094.16     | 0.00%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2052#BU9641                                                                      | CUSIP: 3140MBWB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45653 | PA      | $40571.84      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2053#FS7065                                                                      | CUSIP: 3140XNZ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44674 | PA      | $39841.11      | 0.00%             | 2053-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#CB3000                                                                      | CUSIP: 3140QNKN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90858 | PA      | $74500.15      | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2052#FS0369                                                                    | CUSIP: 3140XFMT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1961736 | PA      | $1670821.76    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 5.425%/VAR 08/15/2035                                                   | CUSIP: 06051GMB2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3410000 | PA      | $3514488.16    | 0.01%             | 2035-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: —       |
| ELI LILLY and CO                                                                | ELI LILLY and CO 4.2% 08/14/2029                                                                    | CUSIP: 532457CQ9<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    6460000 | PA      | $6535738.72    | 0.01%             | 2029-08-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELI LILLY and CO                                                                | ELI LILLY and CO 4.6% 08/14/2034                                                                    | CUSIP: 532457CR7<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    5440000 | PA      | $5508662.97    | 0.01%             | 2034-08-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELI LILLY and CO                                                                | ELI LILLY and CO 5.05% 08/14/2054                                                                   | CUSIP: 532457CS5<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    7780000 | PA      | $7457291.98    | 0.01%             | 2054-08-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FIN CORP                                                          | CDW LLC / CDW FIN CORP 5.1% 03/01/2030                                                              | CUSIP: 12513GBK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3370789.59    | 0.00%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| CDW LLC / CDW FIN CORP                                                          | CDW LLC / CDW FIN CORP 5.55% 08/22/2034                                                             | CUSIP: 12513GBL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3740000 | PA      | $3847629.42    | 0.01%             | 2034-08-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                                         | PIEDMONT NATURAL GAS CO 5.1% 02/15/2035                                                             | CUSIP: 720186AR6<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    2450000 | PA      | $2507300.28    | 0.00%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 11/01/2051#CB2092                                                                    | CUSIP: 3140QMKE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2301197 | PA      | $1959942.70    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                         | WESTERN GAS PARTNERS LP 5.45% 11/15/2034                                                            | CUSIP: 958667AG2<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $12098574.12   | 0.02%             | 2034-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.125% 08/15/2044                                                       | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  281250000 | PA      | $263682860.63  | 0.39%             | 2044-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 08/20/2054#MA9851                                                                      | CUSIP: 36179Y5L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   63826030 | PA      | $64530649.87   | 0.09%             | 2054-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 06/20/2054#MA9725                                                                      | CUSIP: 36179YYW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     844708 | PA      | $854362.97     | 0.00%             | 2054-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                            | DUKE ENERGY CORP NEW 6.45%/VAR 09/01/2054                                                           | CUSIP: 26441CCG8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3675654.50    | 0.01%             | 2054-09-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: —       |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 08/20/2054#MA9852                                                                        | CUSIP: 36179Y5M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5459875 | PA      | $5568210.34    | 0.01%             | 2054-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                       | KROGER CO 5.65% 09/15/2064                                                                          | CUSIP: 501044DX6<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    2660000 | PA      | $2592843.01    | 0.00%             | 2064-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                       | KROGER CO 5.5% 09/15/2054                                                                           | CUSIP: 501044DW8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    5170000 | PA      | $5040831.43    | 0.01%             | 2054-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                       | KROGER CO 5% 09/15/2034                                                                             | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    4540000 | PA      | $4612762.58    | 0.01%             | 2034-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 05/01/2037#CB3758                                                                      | CUSIP: 3140QPE86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     813677 | PA      | $752623.53     | 0.00%             | 2037-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FLEX LTD                                                                        | FLEX LTD 5.25% 01/15/2032                                                                           | CUSIP: 33938XAF2<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |    5200000 | PA      | $5312239.82    | 0.01%             | 2032-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 09/01/2054#SD8464                                                                    | CUSIP: 3132DWMM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12494445 | PA      | $12933329.38   | 0.02%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 03/20/2054#MA9541                                                                      | CUSIP: 36179YS62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     920875 | PA      | $933271.28     | 0.00%             | 2054-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.75% 08/31/2031                                                                          | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   72350000 | PA      | $72601529.12   | 0.11%             | 2031-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.625% 08/31/2029                                                                         | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   74150000 | PA      | $74341167.60   | 0.11%             | 2029-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QUEBEC PROVINCE CDA                                                             | QUEBEC PROVINCE CDA 4.25% 09/05/2034                                                                | CUSIP: 748148SF1<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    4100000 | PA      | $4089192.40    | 0.01%             | 2034-09-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 4.625% 09/10/2029                         | CUSIP: 00774MBL8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    4450000 | PA      | $4503108.48    | 0.01%             | 2029-09-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                           | UBER TECHNOLOGIES INC 4.3% 01/15/2030                                                               | CUSIP: 90353TAN0<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    2980000 | PA      | $2995206.94    | 0.00%             | 2030-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                           | UBER TECHNOLOGIES INC 4.8% 09/15/2034                                                               | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    2980000 | PA      | $2996688.00    | 0.00%             | 2034-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                           | UBER TECHNOLOGIES INC 5.35% 09/15/2054                                                              | CUSIP: 90353TAQ3<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    2980000 | PA      | $2884760.09    | 0.00%             | 2054-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| STRYKER CORP                                                                    | STRYKER CORP 4.25% 09/11/2029                                                                       | CUSIP: 863667BE0<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4436437.02    | 0.01%             | 2029-09-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STRYKER CORP                                                                    | STRYKER CORP 4.625% 09/11/2034                                                                      | CUSIP: 863667BF7<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2006346.68    | 0.00%             | 2034-09-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 5.335%/VAR 09/10/2035                                                                  | CUSIP: 06738ECV5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    6250000 | PA      | $6385200.63    | 0.01%             | 2035-09-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REGIONS FINL CORP NEW                                                           | REGIONS FINL CORP NEW 5.502%/VAR 09/06/2035                                                         | CUSIP: 7591EPAV2<br>LEI: CW05CS5KW59QTC0DG824 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4341520.68    | 0.01%             | 2035-09-06      | Variable      | 0.06%                 | No            |                  2 | On Loan: —       |
| EXPORT IMPORT BANK KOREA                                                        | EXPORT IMPORT BANK KOREA 4% 09/11/2029                                                              | CUSIP: 302154EE5<br>LEI: 549300APVP4R32PI3Y06 | Long             | DBT              | CORP              | KR        |    7000000 | PA      | $7037241.33    | 0.01%             | 2029-09-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AGILENT TECHNOLOGIES INC                                                        | AGILENT TECHNOLOGIES INC 4.75% 09/09/2034                                                           | CUSIP: 00846UAR2<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | DBT              | CORP              | US        |    3550000 | PA      | $3566503.81    | 0.01%             | 2034-09-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AGILENT TECHNOLOGIES INC                                                        | AGILENT TECHNOLOGIES INC 4.2% 09/09/2027                                                            | CUSIP: 00846UAQ4<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | DBT              | CORP              | US        |    3810000 | PA      | $3820592.94    | 0.01%             | 2027-09-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                  | DEUTSCHE BANK AG NEW YORK BNCH 4.999%/VAR 09/11/2030                                                | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    5100000 | PA      | $5187288.85    | 0.01%             | 2030-09-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: —       |
| DEUTSCHE BANK AG NEW YORK BNCH                                                  | DEUTSCHE BANK AG NEW YORK BNCH 5.403%/VAR 09/11/2035                                                | CUSIP: 251526CY3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    3270000 | PA      | $3350621.03    | 0.00%             | 2035-09-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: —       |
| CADENCE DESIGN SYSTEMS INC                                                      | CADENCE DESIGN SYSTEMS INC 4.7% 09/10/2034                                                          | CUSIP: 127387AP3<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |    2470000 | PA      | $2485327.61    | 0.00%             | 2034-09-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CADENCE DESIGN SYSTEMS INC                                                      | CADENCE DESIGN SYSTEMS INC 4.3% 09/10/2029                                                          | CUSIP: 127387AN8<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4321799.45    | 0.01%             | 2029-09-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CORP ANDINA DE FOMENTO                                                          | CORP ANDINA DE FOMENTO 4.125% 01/07/2028                                                            | CUSIP: 219868CK0<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | CORP              | VE        |    3608000 | PA      | $3627937.81    | 0.01%             | 2028-01-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GRAINGER (W.W.) INC                                                             | GRAINGER (W.W.) INC 4.45% 09/15/2034                                                                | CUSIP: 384802AF1<br>LEI: 549300TWZSP6O1IH2V34 | Long             | DBT              | CORP              | US        |    7480000 | PA      | $7472579.39    | 0.01%             | 2034-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.375% 09/15/2027                                                                         | CUSIP: 91282CLL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  268360000 | PA      | $267657650.89  | 0.39%             | 2027-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 06/01/2054#SD7571                                                                    | CUSIP: 3132DVMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23189354 | PA      | $24444146.48   | 0.04%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 CO                                                                  | PHILLIPS 66 CO 4.95% 03/15/2035                                                                     | CUSIP: 718547AY8<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |    7530000 | PA      | $7526545.31    | 0.01%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| PHILLIPS 66 CO                                                                  | PHILLIPS 66 CO 5.5% 03/15/2055                                                                      | CUSIP: 718547AX0<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |    4340000 | PA      | $4044290.93    | 0.01%             | 2055-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 09/01/2054#MA5471                                                                      | CUSIP: 31418FCH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1999801 | PA      | $2048699.20    | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| APTIV SWISS HOLDINGS LTD                                                        | APTIV SWISS HOLDINGS LTD 4.65% 09/13/2029                                                           | CUSIP: 03837AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    5000000 | PA      | $5096728.10    | 0.01%             | 2029-09-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 4.25% 09/24/2027                                                                          | CUSIP: 682680CB7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1002352.33    | 0.00%             | 2027-09-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 4.4% 10/15/2029                                                                           | CUSIP: 682680CC5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    7600000 | PA      | $7623669.59    | 0.01%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 4.75% 10/15/2031                                                                          | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    3460000 | PA      | $3476046.86    | 0.01%             | 2031-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 5.05% 11/01/2034                                                                          | CUSIP: 682680CE1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    2470000 | PA      | $2457452.50    | 0.00%             | 2034-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 5.7% 11/01/2054                                                                           | CUSIP: 682680CF8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    2470000 | PA      | $2329044.93    | 0.00%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 5.85% 11/01/2064                                                                          | CUSIP: 682680CG6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    6300000 | PA      | $6017377.53    | 0.01%             | 2064-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FIN CORP                                                              | BUNGE LTD FIN CORP 4.2% 09/17/2029                                                                  | CUSIP: 120568BE9<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    3260000 | PA      | $3260691.58    | 0.00%             | 2029-09-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FIN CORP                                                              | BUNGE LTD FIN CORP 4.65% 09/17/2034                                                                 | CUSIP: 120568BF6<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    2540000 | PA      | $2513405.92    | 0.00%             | 2034-09-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HEWLETT PACKARD ENTERPRISE CO                                                   | HEWLETT PACKARD ENTERPRISE CO 4.55% 10/15/2029                                                      | CUSIP: 42824CBT5<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |    4530000 | PA      | $4561725.18    | 0.01%             | 2029-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HEWLETT PACKARD ENTERPRISE CO                                                   | HEWLETT PACKARD ENTERPRISE CO 5% 10/15/2034                                                         | CUSIP: 42824CBV0<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |    4240000 | PA      | $4218805.22    | 0.01%             | 2034-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HEWLETT PACKARD ENTERPRISE CO                                                   | HEWLETT PACKARD ENTERPRISE CO 5.6% 10/15/2054                                                       | CUSIP: 42824CBW8<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |    2140000 | PA      | $2002906.14    | 0.00%             | 2054-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 5.411%/VAR 09/19/2039                                                                 | CUSIP: 17327CAU7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   17720000 | PA      | $17893748.14   | 0.03%             | 2039-09-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 02/01/2054#SD4695                                                                    | CUSIP: 3132DSGC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22653242 | PA      | $23783457.90   | 0.03%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 03/01/2054#MA5297                                                                    | CUSIP: 31418E3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7219964 | PA      | $7481471.38    | 0.01%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.5% 09/30/2026                                                                           | CUSIP: 91282CLP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  250600000 | PA      | $250243676.87  | 0.37%             | 2026-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.5% 09/30/2029                                                                           | CUSIP: 91282CLN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  317990000 | PA      | $317406189.44  | 0.47%             | 2029-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.625% 09/30/2031                                                                         | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  153460000 | PA      | $152920492.95  | 0.22%             | 2031-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 05/01/2040#FS8332                                                                      | CUSIP: 3140XQHJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31694118 | PA      | $30295875.40   | 0.04%             | 2040-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRST AMERICAN FINANCIAL CORP                                                   | FIRST AMERICAN FINANCIAL CORP 5.45% 09/30/2034                                                      | CUSIP: 31847RAJ1<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |    3050000 | PA      | $3087742.62    | 0.00%             | 2034-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 4.7% 01/15/2035                                                                    | CUSIP: 87264ADM4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     980000 | PA      | $972112.80     | 0.00%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 5.25% 06/15/2055                                                                   | CUSIP: 87264ADN2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4187827.62    | 0.01%             | 2055-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| SIMON PROPERTY GROUP LP                                                         | SIMON PROPERTY GROUP LP 4.75% 09/26/2034                                                            | CUSIP: 828807DY0<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    3730000 | PA      | $3731579.28    | 0.01%             | 2034-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HUNTSMAN INTL LLC                                                               | HUNTSMAN INTL LLC 5.7% 10/15/2034                                                                   | CUSIP: 44701QBG6<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2154904.32    | 0.00%             | 2034-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| ORACLE CORP                                                                     | ORACLE CORP 4.2% 09/27/2029                                                                         | CUSIP: 68389XCS2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   10770000 | PA      | $10627361.69   | 0.02%             | 2029-09-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| ORACLE CORP                                                                     | ORACLE CORP 4.7% 09/27/2034                                                                         | CUSIP: 68389XCT0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3160000 | PA      | $2993505.48    | 0.00%             | 2034-09-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 5.375% 09/27/2054                                                                       | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2780000 | PA      | $2374663.05    | 0.00%             | 2054-09-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 4.55% 02/15/2032                                                                       | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    8980000 | PA      | $9086238.07    | 0.01%             | 2032-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 4.8% 10/15/2034                                                                        | CUSIP: 11135FCD1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    8980000 | PA      | $9105317.07    | 0.01%             | 2034-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 10/01/2054#MA5498                                                                      | CUSIP: 31418FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2824718 | PA      | $2893786.83    | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 09/01/2054#SD8463                                                                      | CUSIP: 3132DWML4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1999801 | PA      | $2048699.61    | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NATIONAL BANK OF CANADA                                                         | NATIONAL BANK OF CANADA 4.5% 10/10/2029                                                             | CUSIP: 63307A3B9<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | DBT              | CORP              | CA        |    4150000 | PA      | $4204741.11    | 0.01%             | 2029-10-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 10/15/2027                                                                         | CUSIP: 91282CLQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  194800000 | PA      | $196040328.61  | 0.29%             | 2027-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                                             | CHENIERE ENERGY INC 5.65% 04/15/2034                                                                | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4588892.75    | 0.01%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                        | TOYOTA MOTOR CREDIT CORP 4.6% 10/10/2031                                                            | CUSIP: 89236TMT9<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    4270000 | PA      | $4343277.26    | 0.01%             | 2031-10-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                              | ATHENE HOLDING LTD T5Y+NA 10/15/2054                                                                | CUSIP: 04686JAJ0<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |    2940000 | PA      | $2877233.35    | 0.00%             | 2054-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                                            | SHELL FINANCE US INC 4.375% 05/11/2045                                                              | CUSIP: 822905AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10565000 | PA      | $9256036.44    | 0.01%             | 2045-05-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                                            | SHELL FINANCE US INC 4% 05/10/2046                                                                  | CUSIP: 822905AE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3177000 | PA      | $2626633.04    | 0.00%             | 2046-05-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                                            | SHELL FINANCE US INC 2.375% 11/07/2029                                                              | CUSIP: 822905AF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   26293000 | PA      | $24797101.57   | 0.04%             | 2029-11-07      | Fixed         | 0.02%                 | No            |                  2 | On Loan: —       |
| ROYAL BANK OF CANADA                                                            | ROYAL BANK OF CANADA 4.522%/VAR 10/18/2028                                                          | CUSIP: 78017FZS5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    7180000 | PA      | $7246152.14    | 0.01%             | 2028-10-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                            | ROYAL BANK OF CANADA 4.65%/VAR 10/18/2030                                                           | CUSIP: 78017FZT3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   14550000 | PA      | $14766986.19   | 0.02%             | 2030-10-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE SECURED LENDING FUND                                                 | BLACKSTONE SECURED LENDING FUND 5.35% 04/13/2028                                                    | CUSIP: 09261XAJ1<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |    5340000 | PA      | $5392972.91    | 0.01%             | 2028-04-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 11/01/2054#                                                                          | CUSIP: 3132DWMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3789023 | PA      | $3838294.02    | 0.01%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 7% 01/01/2054#MA5249                                                                      | CUSIP: 31418EZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523666 | PA      | $548269.33     | 0.00%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2054#CB8753                                                                    | CUSIP: 3140QUWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304421 | PA      | $308807.36     | 0.00%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 10/01/2054#SD8469                                                                    | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     220537 | PA      | $223405.15     | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 10/01/2054#DC3385                                                                    | CUSIP: 3140AQXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159546 | PA      | $161620.17     | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 11/01/2054#SD8474                                                                      | CUSIP: 3132DWMX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18368280 | PA      | $18346502.35   | 0.03%             | 2054-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2054#CB8939                                                                    | CUSIP: 3140QU4Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     735563 | PA      | $745817.84     | 0.00%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 10/01/2054#QJ6652                                                                    | CUSIP: 3133CXL99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69694 | PA      | $70600.53      | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 09/01/2054#DB8100                                                                    | CUSIP: 3140AJAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     491528 | PA      | $497920.07     | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 10/01/2054#MA5497                                                                    | CUSIP: 31418FDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1877210 | PA      | $1901620.48    | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.603%/VAR 10/22/2030                                                         | CUSIP: 46647PEQ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   14550000 | PA      | $14787802.73   | 0.02%             | 2030-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.946%/VAR 10/22/2035                                                         | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    9883000 | PA      | $10069175.16   | 0.01%             | 2035-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                  | PNC FINANCIAL SERVICES GRP INC 4.812%/VAR 10/21/2032                                                | CUSIP: 693475CA1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   14050000 | PA      | $14335413.53   | 0.02%             | 2032-10-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 4.654%/VAR 10/18/2030                                                                | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   15300000 | PA      | $15525779.81   | 0.02%             | 2030-10-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5% 10/20/2054#MA9964                                                                        | CUSIP: 36180AB93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     511955 | PA      | $512174.14     | 0.00%             | 2054-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORP                                                     | AMERICAN HONDA FINANCE CORP 4.85% 10/23/2031                                                        | CUSIP: 02665WFU0<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   10690000 | PA      | $10923724.24   | 0.02%             | 2031-10-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                             | ELEVANCE HEALTH INC 4.75% 02/15/2030                                                                | CUSIP: 036752BB8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1021318.32    | 0.00%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                             | ELEVANCE HEALTH INC 5.2% 02/15/2035                                                                 | CUSIP: 036752BD4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1025520.95    | 0.00%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                             | ELEVANCE HEALTH INC 5.7% 02/15/2055                                                                 | CUSIP: 036752BE2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    7340000 | PA      | $7270034.83    | 0.01%             | 2055-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 5.518%/VAR 10/25/2035                                                   | CUSIP: 06051GMD8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2169641.52    | 0.00%             | 2035-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 10/31/2029                                                                         | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23150000 | PA      | $23626564.51   | 0.03%             | 2029-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 10/31/2031                                                                         | CUSIP: 91282CLU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  180620000 | PA      | $184669839.97  | 0.27%             | 2031-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 10/31/2026                                                                         | CUSIP: 91282CLS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  347600000 | PA      | $348990400.00  | 0.51%             | 2026-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-4                                                  | CARMAX AUTO OWNER TRUST 2024-4 4.6% 10/15/2029                                                      | CUSIP: 14290DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   14190000 | PA      | $14311044.96   | 0.02%             | 2029-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORPORATION NEW                                                        | AMPHENOL CORPORATION NEW 5.375% 11/15/2054                                                          | CUSIP: 032095AS0<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    3098000 | PA      | $3069852.22    | 0.00%             | 2054-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 11/15/2027                                                                         | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  154400000 | PA      | $156167155.86  | 0.23%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.5% 11/15/2054                                                         | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  105440000 | PA      | $102408600.00  | 0.15%             | 2054-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                      | MARSH and MCLENNAN COS INC 4.65% 03/15/2030                                                         | CUSIP: 571748CA8<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    4930000 | PA      | $5027231.14    | 0.01%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| MARSH and MCLENNAN COS INC                                                      | MARSH and MCLENNAN COS INC 4.85% 11/15/2031                                                         | CUSIP: 571748CB6<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    5430000 | PA      | $5573480.53    | 0.01%             | 2031-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                      | MARSH and MCLENNAN COS INC 5% 03/15/2035                                                            | CUSIP: 571748CC4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $5592763.66    | 0.01%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.25% 11/15/2034                                                                          | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  308630000 | PA      | $315550064.82  | 0.46%             | 2034-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                      | MARSH and MCLENNAN COS INC 5.35% 11/15/2044                                                         | CUSIP: 571748CE0<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    4170000 | PA      | $4135400.68    | 0.01%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                      | MARSH and MCLENNAN COS INC 5.4% 03/15/2055                                                          | CUSIP: 571748CD2<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    5520000 | PA      | $5406840.06    | 0.01%             | 2055-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                 | PHILIP MORRIS INTL INC 4.625% 11/01/2029                                                            | CUSIP: 718172DN6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    5360000 | PA      | $5458559.79    | 0.01%             | 2029-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| PHILIP MORRIS INTERNATIONAL INC                                                 | PHILIP MORRIS INTL INC 4.9% 11/01/2034                                                              | CUSIP: 718172DQ9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    5660000 | PA      | $5739605.75    | 0.01%             | 2034-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| WASTE MANAGEMENT INC DEL                                                        | WASTE MANAGEMENT INC DEL 5.35% 10/15/2054                                                           | CUSIP: 94106LCF4<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2680541.21    | 0.00%             | 2054-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC DEL                                                        | WASTE MANAGEMENT INC DEL 4.95% 03/15/2035                                                           | CUSIP: 94106LCE7<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2767180.64    | 0.00%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC DEL                                                        | WASTE MANAGEMENT INC DEL 4.65% 03/15/2030                                                           | CUSIP: 94106LCC1<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2763677.85    | 0.00%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| MARTIN MARIETTA MATERIALS INC                                                   | MARTIN MARIETTA MATERIALS INC 5.5% 12/01/2054                                                       | CUSIP: 573284BB1<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4377280.82    | 0.01%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIALS INC                                                   | MARTIN MARIETTA MATERIALS INC 5.15% 12/01/2034                                                      | CUSIP: 573284BA3<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3903934.41    | 0.01%             | 2034-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 4.489% 09/25/2034                                                    | CUSIP: 3137HHHY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7346955 | PA      | $7454184.54    | 0.01%             | 2034-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                  | BLACKSTONE PRIVATE CREDIT FUND 5.95% 07/16/2029                                                     | CUSIP: 09261HBN6<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    7400000 | PA      | $7566753.38    | 0.01%             | 2029-07-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP 5.618%/VAR 11/20/2035                                                          | CUSIP: 961214FW8<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    2400000 | PA      | $2497484.16    | 0.00%             | 2035-11-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 5.561%/VAR 11/19/2045                                                 | CUSIP: 38141GB86<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    9800000 | PA      | $9987602.58    | 0.01%             | 2045-11-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES INC/OH                                                    | HUNTINGTON BANCSHARES INC/OH 5.272%/VAR 01/15/2031                                                  | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10323402.20   | 0.02%             | 2031-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SAFEHOLD GL HOLDINGS LLC                                                        | SAFEHOLD GL HOLDINGS LLC 5.65% 01/15/2035                                                           | CUSIP: 785931AB2<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3193595.79    | 0.00%             | 2035-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2054#DC6485                                                                      | CUSIP: 3140AUF32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54562 | PA      | $54480.66      | 0.00%             | 2054-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 09/01/2054#DC0389                                                                      | CUSIP: 3140AMNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1208979 | PA      | $1208301.01    | 0.00%             | 2054-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 11/01/2054#MA5531                                                                    | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   63128523 | PA      | $63949415.00   | 0.09%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2054#MA5530                                                                      | CUSIP: 31418FEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6567090 | PA      | $6559304.33    | 0.01%             | 2054-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2054#DC3410                                                                      | CUSIP: 3140AQYG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1116829 | PA      | $1115505.01    | 0.00%             | 2054-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 12/01/2054#SD8491                                                                      | CUSIP: 3132DWNG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26679684 | PA      | $26639715.50   | 0.04%             | 2054-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 12/01/2054#MA5552                                                                      | CUSIP: 31418FE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   78017157 | PA      | $77900279.26   | 0.11%             | 2054-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 10/01/2054#SD8468                                                                      | CUSIP: 3132DWMR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21348072 | PA      | $21336104.16   | 0.03%             | 2054-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 09/01/2054#CB9204                                                                      | CUSIP: 3140QVGN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3036928 | PA      | $3035225.22    | 0.00%             | 2054-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 5.874%/VAR 11/18/2035                                                             | CUSIP: 404280EL9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    7950000 | PA      | $8336847.48    | 0.01%             | 2035-11-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                             | GILEAD SCIENCES INC 4.8% 11/15/2029                                                                 | CUSIP: 375558CB7<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $5050034.03    | 0.01%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| GILEAD SCIENCES INC                                                             | GILEAD SCIENCES INC 5.5% 11/15/2054                                                                 | CUSIP: 375558CD3<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4544654.49    | 0.01%             | 2054-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 08/01/2054#MA5446                                                                    | CUSIP: 31418FBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4658720 | PA      | $4819742.94    | 0.01%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                          | CONSOLIDATED EDISON CO OF NY 5.5% 03/15/2055                                                        | CUSIP: 209111GN7<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3863522.48    | 0.01%             | 2055-03-15      | Fixed         | 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        |   41850000 | PA      | $41866347.45   | 0.06%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                                               | GENERAL MILLS INC 4.875% 01/30/2030                                                                 | CUSIP: 370334DA9<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    2540000 | PA      | $2605336.52    | 0.00%             | 2030-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VULCAN MATERIALS CO                                                             | VULCAN MATERIALS CO 5.35% 12/01/2034                                                                | CUSIP: 929160BC2<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | DBT              | CORP              | US        |    7110000 | PA      | $7400445.21    | 0.01%             | 2034-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                               | EOG RESOURCES INC 5.65% 12/01/2054                                                                  | CUSIP: 26875PAW1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    3760000 | PA      | $3760788.89    | 0.01%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2024-D                                             | FORD CREDIT AUTO OWNER TRUST 2024-D 4.84% 08/15/2029                                                | CUSIP: 34535VAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   16700000 | PA      | $16882756.45   | 0.02%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 09/20/2054#MA9902                                                                      | CUSIP: 36180AAB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45997 | PA      | $42361.05      | 0.00%             | 2054-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 5.087%/VAR 11/26/2028                                                      | CUSIP: 53944YBC6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    5350000 | PA      | $5446339.16    | 0.01%             | 2028-11-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 5.59%/VAR 11/26/2035                                                       | CUSIP: 539439BA6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    5940000 | PA      | $6235625.37    | 0.01%             | 2035-11-26      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                   | APPLOVIN CORP 5.125% 12/01/2029                                                                     | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |    3730000 | PA      | $3815465.04    | 0.01%             | 2029-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                   | APPLOVIN CORP 5.5% 12/01/2034                                                                       | CUSIP: 03831WAD0<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |    7170000 | PA      | $7421433.47    | 0.01%             | 2034-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 6.858% 05/01/2054                                                                         | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    3130000 | PA      | $3565913.72    | 0.01%             | 2054-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 6.298% 05/01/2029                                                                         | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    5180000 | PA      | $5509196.72    | 0.01%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 6.528% 05/01/2034                                                                         | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    5200000 | PA      | $5782288.10    | 0.01%             | 2034-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 06/01/2054#SD5521                                                                    | CUSIP: 3132DTD23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11678347 | PA      | $12350414.86   | 0.02%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 09/01/2054#SD6620                                                                    | CUSIP: 3132DUK97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14037855 | PA      | $14850095.00   | 0.02%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 11/30/2029                                                                         | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   79800000 | PA      | $81464578.52   | 0.12%             | 2029-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.25% 11/30/2026                                                                          | CUSIP: 91282CLY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  222500000 | PA      | $223796756.70  | 0.33%             | 2026-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 11/30/2031                                                                         | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   67050000 | PA      | $68550767.41   | 0.10%             | 2031-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                                          | CONOCOPHILLIPS CO 5% 01/15/2035                                                                     | CUSIP: 20826FBL9<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    6290000 | PA      | $6436181.55    | 0.01%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| CONOCOPHILLIPS COMPANY                                                          | CONOCOPHILLIPS CO 5.5% 01/15/2055                                                                   | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    6540000 | PA      | $6393031.09    | 0.01%             | 2055-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                                          | CONOCOPHILLIPS CO 4.7% 01/15/2030                                                                   | CUSIP: 20826FBJ4<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    9380000 | PA      | $9583873.74    | 0.01%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 5.5% 08/01/2039#SB8319                                                                    | CUSIP: 3132D6G46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4683237 | PA      | $4797257.19    | 0.01%             | 2039-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 08/01/2054#SD8455                                                                    | CUSIP: 3132DWMC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   52937031 | PA      | $54771701.18   | 0.08%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.5% 07/20/2054#MA9781                                                                      | CUSIP: 36179Y2N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16080568 | PA      | $16602959.97   | 0.02%             | 2054-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.5% 04/20/2054#MA9607                                                                      | CUSIP: 36179YU85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     363110 | PA      | $375104.61     | 0.00%             | 2054-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 05/01/2051#SD3984                                                                      | CUSIP: 3132E0M90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2949746 | PA      | $2403011.55    | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 08/01/2053#QG9068                                                                      | CUSIP: 3133CACD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2216072 | PA      | $1969413.32    | 0.00%             | 2053-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2051#FM9056                                                                      | CUSIP: 3140XDB21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57007 | PA      | $50661.52      | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 09/01/2051#BT9828                                                                    | CUSIP: 3140LY4N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1277357 | PA      | $1087932.35    | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2051#CB0910                                                                    | CUSIP: 3140QLAL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225084 | PA      | $191704.99     | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 05/01/2051#RA5286                                                                    | CUSIP: 3133KL2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     366301 | PA      | $311980.29     | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/01/2051#FM7222                                                                    | CUSIP: 3140XBAY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     982643 | PA      | $837536.73     | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2050#CA8251                                                                    | CUSIP: 3140QGEZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18103 | PA      | $15446.36      | 0.00%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL                           | JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL 6.75% 03/15/2034                              | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    8400000 | PA      | $9323160.00    | 0.01%             | 2034-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2053#QG2629                                                                    | CUSIP: 3133C24N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1207745 | PA      | $1186726.21    | 0.00%             | 2053-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                     | CENCORA INC 4.85% 12/15/2029                                                                        | CUSIP: 03073EAW5<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5845276.76    | 0.01%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                     | CENCORA INC 5.15% 02/15/2035                                                                        | CUSIP: 03073EAY1<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $5662970.72    | 0.01%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WISCONSIN PUBLIC SERVICE CORP                                                   | WISCONSIN PUBLIC SERVICE CORP 4.55% 12/01/2029                                                      | CUSIP: 976843BQ4<br>LEI: 549300BJRHJVYNUMQZ30 | Long             | DBT              | CORP              | US        |   10274000 | PA      | $10471544.26   | 0.02%             | 2029-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                                                      | EVERGY INC 6.65%/VAR 06/01/2055                                                                     | CUSIP: 30034WAE6<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    1650000 | PA      | $1680904.50    | 0.00%             | 2055-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE CO OF OK                                                         | PUBLIC SERVICE CO OF OK 5.2% 01/15/2035                                                             | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    5540000 | PA      | $5631276.65    | 0.01%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                                                    | TAPESTRY INC 5.1% 03/11/2030                                                                        | CUSIP: 876030AK3<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2053033.30    | 0.00%             | 2030-03-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                                                    | TAPESTRY INC 5.5% 03/11/2035                                                                        | CUSIP: 876030AL1<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2050267.92    | 0.00%             | 2035-03-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                            | LOCKHEED MARTIN CORP 4.7% 12/15/2031                                                                | CUSIP: 539830CG2<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    7790000 | PA      | $8008928.06    | 0.01%             | 2031-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 12/01/2054#CB9677                                                                      | CUSIP: 3140QVXF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18295281 | PA      | $18931299.51   | 0.03%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 5.5% 04/01/2054#RJ1263                                                                    | CUSIP: 3142GRMM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12877047 | PA      | $13088759.03   | 0.02%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 12/15/2027                                                                             | CUSIP: 91282CMB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   68000000 | PA      | $68672662.80   | 0.10%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GALLAGHER (ARTHUR J.) and CO                                                    | GALLAGHER (ARTHUR J.) and CO 4.85% 12/15/2029                                                       | CUSIP: 04316JAL3<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    4910000 | PA      | $5017599.95    | 0.01%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GALLAGHER (ARTHUR J.) and CO                                                    | GALLAGHER (ARTHUR J.) and CO 5.15% 02/15/2035                                                       | CUSIP: 04316JAN9<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |   10640000 | PA      | $10803513.60   | 0.02%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GALLAGHER (ARTHUR J.) and CO                                                    | GALLAGHER (ARTHUR J.) and CO 5.55% 02/15/2055                                                       | CUSIP: 04316JAP4<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    4949000 | PA      | $4816827.60    | 0.01%             | 2055-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2054#SD6706                                                                    | CUSIP: 3132DUNX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25878 | PA      | $25440.31      | 0.00%             | 2054-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2052#SD1393                                                                    | CUSIP: 3132DNRN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1326115 | PA      | $1227245.57    | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 08/01/2054#                                                                            | CUSIP: 3133CQ6U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1064000 | PA      | $1090049.32    | 0.00%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 01/01/2052#SD1403                                                                      | CUSIP: 3132DNRY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40000 | PA      | $32585.61      | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 06/01/2052#FS8874                                                                      | CUSIP: 3140XQ2G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262740 | PA      | $233495.78     | 0.00%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 06/01/2054#SD5663                                                                    | CUSIP: 3132DTJG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     636565 | PA      | $648025.35     | 0.00%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 08/01/2052#SD6395                                                                      | CUSIP: 3132DUC88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7949999 | PA      | $7065130.36    | 0.01%             | 2052-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 01/01/2055#SD8496                                                                      | CUSIP: 3132DWNM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18157418 | PA      | $18590047.99   | 0.03%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2051#BT3132                                                                      | CUSIP: 3140LRPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     606199 | PA      | $538726.56     | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 5% 11/01/2054#RJ2836                                                                      | CUSIP: 3142GTEJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77282 | PA      | $77184.57      | 0.00%             | 2054-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 10/01/2054#DC3490                                                                    | CUSIP: 3140AQ2Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     841003 | PA      | $854606.38     | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 09/01/2053#QH1478                                                                    | CUSIP: 3133CDUB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18298 | PA      | $18591.14      | 0.00%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 03/01/2052#FS8288                                                                      | CUSIP: 3140XQF69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4158143 | PA      | $3409521.80    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2054#QX1630                                                                    | CUSIP: 31425VY49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     393330 | PA      | $385667.60     | 0.00%             | 2054-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 01/01/2054#DA5973                                                                      | CUSIP: 3140A6T71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4898262 | PA      | $5026068.16    | 0.01%             | 2054-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 04/01/2054#CB8275                                                                      | CUSIP: 3140QUFR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22388376 | PA      | $22972537.84   | 0.03%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 05/01/2054#CB8472                                                                      | CUSIP: 3140QUMW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22015677 | PA      | $22590114.34   | 0.03%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 03/01/2054#DA6006                                                                    | CUSIP: 3140A6U87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     606179 | PA      | $614402.84     | 0.00%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2054#DB3997                                                                    | CUSIP: 3140ADNP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41246 | PA      | $41856.70      | 0.00%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2053#BY3300                                                                    | CUSIP: 3140NKU25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     486915 | PA      | $495620.59     | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 08/01/2053#CB6867                                                                    | CUSIP: 3140QSTZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28046 | PA      | $28717.92      | 0.00%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 01/01/2054#DA5827                                                                    | CUSIP: 3140A6PM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30300 | PA      | $30789.19      | 0.00%             | 2054-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 10/01/2054#QJ6945                                                                    | CUSIP: 3133CXWE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1279225 | PA      | $1297398.74    | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 01/01/2053#RA8415                                                                    | CUSIP: 3133KQK47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     817557 | PA      | $833297.88     | 0.00%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 03/01/2053#FS4776                                                                    | CUSIP: 3140XLJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54125 | PA      | $54960.43      | 0.00%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 03/01/2054#DA7881                                                                    | CUSIP: 3140A8XK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     864582 | PA      | $877445.82     | 0.00%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 10/01/2054#QJ7020                                                                    | CUSIP: 3133CXYR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     944513 | PA      | $957931.15     | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 06/01/2054#QJ0902                                                                    | CUSIP: 3133CRAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     649010 | PA      | $662316.67     | 0.00%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 12/01/2052#BX4163                                                                    | CUSIP: 3140N8TV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112897 | PA      | $114750.50     | 0.00%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 02/01/2054#SD4965                                                                    | CUSIP: 3132DSQS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     151188 | PA      | $155704.86     | 0.00%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 01/01/2053#QF5394                                                                    | CUSIP: 3133BS7F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     690790 | PA      | $701715.64     | 0.00%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 02/01/2053#FS4024                                                                    | CUSIP: 3140XKPJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268018 | PA      | $273387.51     | 0.00%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 04/01/2054#QI6078                                                                    | CUSIP: 3133WCXF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1364567 | PA      | $1384101.92    | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 10/01/2052#BX0554                                                                    | CUSIP: 3140N4TL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     340827 | PA      | $350371.24     | 0.00%             | 2052-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 04/01/2053#BY0630                                                                    | CUSIP: 3140NGVY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     476039 | PA      | $486691.61     | 0.00%             | 2053-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 09/01/2053#DA0007                                                                    | CUSIP: 3140A0AH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     454152 | PA      | $460909.04     | 0.00%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2054#DB3313                                                                    | CUSIP: 3140ACVF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     476322 | PA      | $482828.77     | 0.00%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 04/01/2054#DB0059                                                                    | CUSIP: 3140A9B58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1453846 | PA      | $1489107.34    | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 04/01/2054#QI4851                                                                    | CUSIP: 3133WBL87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1349966 | PA      | $1385660.67    | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 12/01/2054#QX1395                                                                    | CUSIP: 31425VRR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1364714 | PA      | $1383653.93    | 0.00%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 10/01/2054#QJ7221                                                                    | CUSIP: 3133CYAW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1642907 | PA      | $1666247.08    | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 01/01/2055#                                                                            | CUSIP: 3132DWND1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9089792 | PA      | $8662858.07    | 0.01%             | 2055-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 10/01/2054#SD8470                                                                      | CUSIP: 3132DWMT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1999801 | PA      | $2048699.77    | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6% 10/01/2054#RJ3187                                                                      | CUSIP: 3142GTRH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     744353 | PA      | $762554.06     | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 12/01/2054#DC4827                                                                      | CUSIP: 3140ASLH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     907863 | PA      | $906502.57     | 0.00%             | 2054-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 11/20/2054#MB0024                                                                      | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   55568674 | PA      | $54449821.32   | 0.08%             | 2054-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 11/20/2054#MB0021                                                                        | CUSIP: 3618N5AX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71535 | PA      | $64710.50      | 0.00%             | 2054-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 12/20/2054#MB0087                                                                        | CUSIP: 3618N5CZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     297977 | PA      | $269550.85     | 0.00%             | 2054-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 12/20/2054#MB0091                                                                        | CUSIP: 3618N5C56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13170094 | PA      | $13171616.07   | 0.02%             | 2054-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 11/20/2054#MB0025                                                                        | CUSIP: 3618N5A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     980963 | PA      | $981382.65     | 0.00%             | 2054-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 12/20/2054#MB0090                                                                      | CUSIP: 3618N5C49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99131 | PA      | $97072.71      | 0.00%             | 2054-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.25% 12/31/2026                                                                          | CUSIP: 91282CME8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  125150000 | PA      | $125961520.16  | 0.19%             | 2026-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.375% 12/31/2029                                                                         | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27450000 | PA      | $28287439.38   | 0.04%             | 2029-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.5% 12/31/2031                                                                           | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30700000 | PA      | $32004750.00   | 0.05%             | 2031-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 12/20/2054#MB0093                                                                        | CUSIP: 3618N5C72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   67576608 | PA      | $68864678.81   | 0.10%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 01/01/2055#MA5586                                                                    | CUSIP: 31418FF44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7784843 | PA      | $7886072.86    | 0.01%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                                                  | SOLVENTUM CORP 5.6% 03/23/2034                                                                      | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   16050000 | PA      | $16772722.19   | 0.02%             | 2034-03-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| DOMINION ENERGY SOUTH CAROLINA INC                                              | DOMINION ENERGY SOUTH CAROLINA INC 5.3% 01/15/2035                                                  | CUSIP: 25731VAC8<br>LEI: 3QRVFYR22IUIEOORTK28 | Long             | DBT              | CORP              | US        |   12850000 | PA      | $13413557.70   | 0.02%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                                           | ENTERGY LOUISIANA LLC 5.8% 03/15/2055                                                               | CUSIP: 29364WBQ0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    4170000 | PA      | $4288130.72    | 0.01%             | 2055-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | FORD MOTOR CREDIT CO LLC 6.5% 02/07/2035                                                            | CUSIP: 345397G56<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    3750000 | PA      | $3902455.35    | 0.01%             | 2035-02-07      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| UST NOTES                                                                       | UST NOTES 4.25% 01/15/2028                                                                          | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  418350000 | PA      | $424674276.44  | 0.62%             | 2028-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | MITSUBISHI UFJ FIN GRP INC 5.197%/VAR 01/16/2031                                                    | CUSIP: 606822DG6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    5000000 | PA      | $5174695.10    | 0.01%             | 2031-01-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 5.6% 03/15/2035                                                                    | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1045617.07    | 0.00%             | 2035-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                    | MEXICO UNITED MEXICAN STATES 7.375% 05/13/2055                                                      | CUSIP: 91087BBD1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    6900000 | PA      | $7562400.00    | 0.01%             | 2055-05-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CRH SMW FINANCE DAC                                                             | CRH SMW FINANCE DAC 5.125% 01/09/2030                                                               | CUSIP: 12704PAB4<br>LEI: 54930044475SH442C864 | Long             | DBT              | CORP              | IE        |    5700000 | PA      | $5877573.47    | 0.01%             | 2030-01-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CRH AMERICA FINANCE INC                                                         | CRH AMER FIN INC 5.5% 01/09/2035                                                                    | CUSIP: 12636YAF9<br>LEI: 549300WEVUODRJ4CWK56 | Long             | DBT              | CORP              | US        |    5300000 | PA      | $5562437.66    | 0.01%             | 2035-01-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 01/20/2055#MB0148                                                                        | CUSIP: 3618N5EW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   52792641 | PA      | $53786541.62   | 0.08%             | 2055-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PAR                                                        | SIXTH STREET LENDING PAR 6.125% 07/15/2030 144A                                                     | CUSIP: 829932AE2<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1951933.94    | 0.00%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 05/01/2054#SD7570                                                                      | CUSIP: 3132DVMT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   51924535 | PA      | $54127194.62   | 0.08%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                             | SUMITOMO MITSUI FINL GRP INC 5.24% 04/15/2030                                                       | CUSIP: 86562MDS6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    5400000 | PA      | $5618276.64    | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXPORT IMPORT BANK KOREA                                                        | EXPORT IMPORT BANK KOREA 5.25% 01/14/2035                                                           | CUSIP: 302154EL9<br>LEI: 549300APVP4R32PI3Y06 | Long             | DBT              | CORP              | KR        |    3300000 | PA      | $3556102.11    | 0.01%             | 2035-01-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | BANCO SANTANDER SA 5.565% 01/17/2030                                                                | CUSIP: 05964HBJ3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    8000000 | PA      | $8361733.68    | 0.01%             | 2030-01-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                               | CHILE REPUBLIC OF 5.65% 01/13/2037                                                                  | CUSIP: 168863EE4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    3100000 | PA      | $3291425.00    | 0.00%             | 2037-01-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ONTARIO PROVINCE CDA                                                            | ONTARIO PROVINCE CDA 4.7% 01/15/2030                                                                | CUSIP: 683234ET1<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    6000000 | PA      | $6221402.40    | 0.01%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                           | INDONESIA REPUBLIC OF 5.25% 01/15/2030                                                              | CUSIP: 455780DZ6<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    5000000 | PA      | $5192187.50    | 0.01%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                           | INDONESIA REPUBLIC OF 5.6% 01/15/2035                                                               | CUSIP: 455780EA0<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    5500000 | PA      | $5843750.00    | 0.01%             | 2035-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                     | CHENIERE ENERGY PARTNERS LP 5.75% 08/15/2034                                                        | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   11150000 | PA      | $11675481.44   | 0.02%             | 2034-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                  | DEUTSCHE BANK AG NEW YORK BNCH 5.373%/VAR 01/10/2029                                                | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    8940000 | PA      | $9129508.24    | 0.01%             | 2029-01-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2025-1                                                  | CARMAX AUTO OWNER TRUST 2025-1 4.84% 01/15/2030                                                     | CUSIP: 14319WAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5160000 | PA      | $5226788.46    | 0.01%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MBART 2025-1                                                                    | MERCEDES-BENZ AUTO RECEIVABLES TR 2025-1 4.78% 12/17/2029                                           | CUSIP: 58773DAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3435000 | PA      | $3477390.99    | 0.01%             | 2029-12-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO LEASE TRUST 2025-A                                                  | NISSAN AUTO LEASE TRUST 2025-A 4.75% 03/15/2028                                                     | CUSIP: 65479XAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2335000 | PA      | $2361374.76    | 0.00%             | 2028-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 02/01/2055#SD8506                                                                    | CUSIP: 3132DWNX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10777287 | PA      | $10917429.45   | 0.02%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 11/01/2054#QJ9064                                                                    | CUSIP: 3133D1B99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     314546 | PA      | $319717.04     | 0.00%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 11/01/2054#SD6971                                                                    | CUSIP: 3132DUW86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18752658 | PA      | $19301239.00   | 0.03%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 10/01/2054#RJ2653                                                                    | CUSIP: 3142GS5P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20202655 | PA      | $20698953.67   | 0.03%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 6% 07/01/2054#BU4791                                                                 | CUSIP: 3140M6KD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2497101 | PA      | $2557558.41    | 0.00%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 09/01/2054#QJ6331                                                                    | CUSIP: 3133CXA83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     232514 | PA      | $236336.51     | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 10/01/2054#DC1769                                                                    | CUSIP: 3140AN6F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     487063 | PA      | $495070.52     | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 01/01/2055#DD0050                                                                    | CUSIP: 3140B0BU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4069246 | PA      | $4122160.59    | 0.01%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EASTERN ENERGY GAS HOLDINGS LLC                                                 | EASTERN ENERGY GAS HOLDINGS LLC 6.2% 01/15/2055                                                     | CUSIP: 27636AAC6<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |    7100000 | PA      | $7467798.82    | 0.01%             | 2055-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EASTERN ENERGY GAS HOLDINGS LLC                                                 | EASTERN ENERGY GAS HOLDINGS LLC 5.8% 01/15/2035                                                     | CUSIP: 27636AAB8<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |    7100000 | PA      | $7518592.29    | 0.01%             | 2035-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                           | MICRON TECHNOLOGY INC 5.8% 01/15/2035                                                               | CUSIP: 595112CE1<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    4310000 | PA      | $4559689.89    | 0.01%             | 2035-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DEERE and CO                                                                    | DEERE and CO 5.45% 01/16/2035                                                                       | CUSIP: 244199BL8<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2127270.08    | 0.00%             | 2035-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| CORP ANDINA DE FOMENTO                                                          | CORP ANDINA DE FOMENTO 5% 01/22/2030                                                                | CUSIP: 219868CL8<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | CORP              | VE        |    5550000 | PA      | $5760799.55    | 0.01%             | 2030-01-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| APOLLO DEBT SOLUTIONS BDC                                                       | APOLLO DEBT SOLUTIONS BDC 6.55% 03/15/2032 144A                                                     | CUSIP: 03770DAE3<br>LEI: 549300UMUGX092P8DW87 | Long             | DBT              | CORP              | US        |    5950000 | PA      | $6181480.05    | 0.01%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 03/01/2052#CB3100                                                                      | CUSIP: 3140QNNS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1806823 | PA      | $1504113.00    | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PAR                                                        | SIXTH STREET LENDING PAR 6.5% 03/11/2029                                                            | CUSIP: 829932AB8<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |    3790000 | PA      | $3939943.66    | 0.01%             | 2029-03-11      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 2% 02/01/2052#FA0353                                                                 | CUSIP: 3140W0MB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9265518 | PA      | $7707407.52    | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 2% 04/01/2052#FA0356                                                                 | CUSIP: 3140W0ME2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10586599 | PA      | $8776557.04    | 0.01%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 5.244%/VAR 01/24/2031                                                        | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10390921.60   | 0.02%             | 2031-01-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: —       |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 5.502%/VAR 01/24/2036                                                         | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7923045.83    | 0.01%             | 2036-01-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 5.587%/VAR 01/18/2036                                                                | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   24850000 | PA      | $26231014.15   | 0.04%             | 2036-01-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2025-A OWNER TRUST                                      | TOYOTA AUTO RECEIVABLES 2025-A OWNER TRUST 4.64% 08/15/2029                                         | CUSIP: 89240JAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10510000 | PA      | $10609151.34   | 0.02%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 01/20/2055#MB0145                                                                      | CUSIP: 3618N5ET2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36930821 | PA      | $36149727.20   | 0.05%             | 2055-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2025-A                                        | WORLD OMNI AUTO RECEIVABLES TRUST 2025-A 4.73% 03/15/2030                                           | CUSIP: 98164YAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3380000 | PA      | $3414972.86    | 0.01%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 01/20/2055#MB0146                                                                        | CUSIP: 3618N5EU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   88884885 | PA      | $88895159.86   | 0.13%             | 2055-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 5.511%/VAR 01/24/2036                                                   | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   19750000 | PA      | $20844766.99   | 0.03%             | 2036-01-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 10/01/2053#CB7299                                                                    | CUSIP: 3140QTDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40328492 | PA      | $41407420.82   | 0.06%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 5.207%/VAR 01/28/2031                                                 | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5550000 | PA      | $5750144.99    | 0.01%             | 2031-01-28      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 5.536%/VAR 01/28/2036                                                 | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    6950000 | PA      | $7282787.41    | 0.01%             | 2036-01-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: —       |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 5.734%/VAR 01/28/2056                                                 | CUSIP: 38141GC51<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    7150000 | PA      | $7428758.84    | 0.01%             | 2056-01-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: —       |
| ROYAL BANK OF CANADA                                                            | ROYAL BANK OF CANADA 5.153%/VAR 02/04/2031                                                          | CUSIP: 78017DAC2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    6000000 | PA      | $6200393.04    | 0.01%             | 2031-02-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                  | PNC FINANCIAL SERVICES GRP INC 5.222%/VAR 01/29/2031                                                | CUSIP: 693475CB9<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    3520000 | PA      | $3649968.26    | 0.01%             | 2031-01-29      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                  | PNC FINANCIAL SERVICES GRP INC 5.575%/VAR 01/29/2036                                                | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2208444.48    | 0.00%             | 2036-01-29      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                  | BLACKSTONE PRIVATE CREDIT FUND 6% 01/29/2032                                                        | CUSIP: 09261HBX4<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    2260000 | PA      | $2309149.17    | 0.00%             | 2032-01-29      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| PHILIPPINES REPUBLIC OF                                                         | PHILIPPINES REPUBLIC OF 5.9% 02/04/2050                                                             | CUSIP: 718286DH7<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    7000000 | PA      | $7434000.00    | 0.01%             | 2050-02-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.25% 01/31/2030                                                                          | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  141900000 | PA      | $145608245.74  | 0.21%             | 2030-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 01/31/2027                                                                         | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   75000000 | PA      | $75430664.25   | 0.11%             | 2027-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.375% 01/31/2032                                                                         | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  227100000 | PA      | $235181566.97  | 0.35%             | 2032-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 6% 07/01/2039#FS8581                                                                      | CUSIP: 3140XQRB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16019965 | PA      | $16615207.20   | 0.02%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                             | AMERICAN EXPRESS CO 5.442%/VAR 01/30/2036                                                           | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4915108.94    | 0.01%             | 2036-01-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 6.183%/VAR 01/30/2036                                                          | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    3950000 | PA      | $4143263.98    | 0.01%             | 2036-01-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 12/01/2054#MA5554                                                                      | CUSIP: 31418FE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     993498 | PA      | $1017170.15    | 0.00%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 6% 08/03/2055                                                                           | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    8100000 | PA      | $7525638.23    | 0.01%             | 2055-08-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 5.5% 08/03/2035                                                                         | CUSIP: 68389XDA0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4007693.08    | 0.01%             | 2035-08-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STRYKER CORP                                                                    | STRYKER CORP 4.85% 02/10/2030                                                                       | CUSIP: 863667BL4<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |    4880000 | PA      | $5022707.40    | 0.01%             | 2030-02-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| NEXTERA ENERGY CAP HLDGS INC                                                    | NEXTERA ENERGY CAP HLDGS INC 5.9% 03/15/2055                                                        | CUSIP: 65339KDM9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    4320000 | PA      | $4444416.09    | 0.01%             | 2055-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUS                                               | HONDA AUTO RECEIVABLES OWNER TRUS 4.57% 09/21/2029                                                  | CUSIP: 43814VAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11580000 | PA      | $11702888.12   | 0.02%             | 2029-09-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE OWNER TRUST 2025-A                                                  | BMW VEHICLE OWNER TRUST 2025-A 4.56% 09/25/2029                                                     | CUSIP: 096924AD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4060000 | PA      | $4097746.23    | 0.01%             | 2029-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST 2025-1                                    | GM FINANCIAL AUTOMOBILE LEASING TRUST 2025-1 4.66% 02/21/2028                                       | CUSIP: 36271VAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4060000 | PA      | $4092061.41    | 0.01%             | 2028-02-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK NEW YORK MELLON CORP                                                       | BANK NEW YORK MELLON CORP 4.942%/VAR 02/11/2031                                                     | CUSIP: 06406RCB1<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   14090000 | PA      | $14516572.21   | 0.02%             | 2031-02-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 6% 12/01/2054#FA0287                                                                 | CUSIP: 3140W0J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6333518 | PA      | $6483682.37    | 0.01%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                                                              | POLAND REPUBLIC OF 4.875% 02/12/2030                                                                | CUSIP: 857524AF9<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    9050000 | PA      | $9339600.00    | 0.01%             | 2030-02-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                                                              | POLAND REPUBLIC OF 5.375% 02/12/2035                                                                | CUSIP: 857524AH5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    9850000 | PA      | $10255918.50   | 0.02%             | 2035-02-12      | Fixed         | 0.05%                 | 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        |  173660000 | PA      | $172235223.90  | 0.25%             | 2055-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.625% 02/15/2035                                                                         | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  260530000 | PA      | $273709066.37  | 0.40%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| IBM CORPORATION                                                                 | IBM CORPORATION 4.8% 02/10/2030                                                                     | CUSIP: 459200LG4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    5380000 | PA      | $5525102.64    | 0.01%             | 2030-02-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.25% 02/15/2028                                                                          | CUSIP: 91282CMN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  176150000 | PA      | $178948001.83  | 0.26%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IBM CORPORATION                                                                 | IBM CORPORATION 5.2% 02/10/2035                                                                     | CUSIP: 459200LJ8<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    5720000 | PA      | $5924901.21    | 0.01%             | 2035-02-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| IBM CORPORATION                                                                 | IBM CORPORATION 5.7% 02/10/2055                                                                     | CUSIP: 459200LK5<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $5559329.66    | 0.01%             | 2055-02-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| PEPSICO INC                                                                     | PEPSICO INC 5% 02/07/2035                                                                           | CUSIP: 713448GC6<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    4770000 | PA      | $4934454.10    | 0.01%             | 2035-02-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| US BANCORP DEL                                                                  | US BANCORP DEL 5.424%/VAR 02/12/2036                                                                | CUSIP: 91159HJU5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    4250000 | PA      | $4443817.98    | 0.01%             | 2036-02-12      | Variable      | 0.05%                 | No            |                  2 | On Loan: —       |
| US BANCORP DEL                                                                  | US BANCORP DEL 5.046%/VAR 02/12/2031                                                                | CUSIP: 91159HJT8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    4820000 | PA      | $4964449.18    | 0.01%             | 2031-02-12      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                      | MIZUHO FINL GROUP INC 5.098%/VAR 05/13/2031                                                         | CUSIP: 60687YDH9<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    7400000 | PA      | $7630541.01    | 0.01%             | 2031-05-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MARATHON PETROLEUM CORP                                                         | MARATHON PETROLEUM CORP 5.15% 03/01/2030                                                            | CUSIP: 56585ABK7<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |    5260000 | PA      | $5416530.50    | 0.01%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARATHON PETROLEUM CORP                                                         | MARATHON PETROLEUM CORP 5.7% 03/01/2035                                                             | CUSIP: 56585ABL5<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |    8240000 | PA      | $8557693.61    | 0.01%             | 2035-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 5.744%/VAR 02/12/2036                                                   | CUSIP: 06051GMQ9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   12060000 | PA      | $12675816.52   | 0.02%             | 2036-02-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: —       |
| ESSEX PORTFOLIO LP                                                              | ESSEX PORTFOLIO LP 5.375% 04/01/2035                                                                | CUSIP: 29717PBB2<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    3720000 | PA      | $3870678.75    | 0.01%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENTAL DEL URUGUAY                                                  | URUGUAY REPUBLICA ORIENTAL DL 5.442% 02/14/2037                                                     | CUSIP: 760942BH4<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   13900000 | PA      | $14560528.00   | 0.02%             | 2037-02-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                              | UNION PACIFIC CORP 5.1% 02/20/2035                                                                  | CUSIP: 907818GG7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    3370000 | PA      | $3502532.63    | 0.01%             | 2035-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| UNION PACIFIC CORP                                                              | UNION PACIFIC CORP 5.6% 12/01/2054                                                                  | CUSIP: 907818GH5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    3370000 | PA      | $3425892.90    | 0.01%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELI LILLY and CO                                                                | ELI LILLY and CO 4.75% 02/12/2030                                                                   | CUSIP: 532457CV8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    3250000 | PA      | $3347773.65    | 0.00%             | 2030-02-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELI LILLY and CO                                                                | ELI LILLY and CO 5.1% 02/12/2035                                                                    | CUSIP: 532457CX4<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3133399.89    | 0.00%             | 2035-02-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELI LILLY and CO                                                                | ELI LILLY and CO 5.5% 02/12/2055                                                                    | CUSIP: 532457CY2<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    2820000 | PA      | $2896369.75    | 0.00%             | 2055-02-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELI LILLY and CO                                                                | ELI LILLY and CO 5.6% 02/12/2065                                                                    | CUSIP: 532457CZ9<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3087487.08    | 0.00%             | 2065-02-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                                                | ISRAEL STATE OF 5.375% 02/19/2030                                                                   | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    4500000 | PA      | $4655146.28    | 0.01%             | 2030-02-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                                                | ISRAEL STATE OF 5.625% 02/19/2035                                                                   | CUSIP: 46514Y8B6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   13200000 | PA      | $13856807.18   | 0.02%             | 2035-02-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HLDGS INC                                                         | ZIMMER BIOMET HLDGS INC 5.05% 02/19/2030                                                            | CUSIP: 98956PBB7<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3918826.23    | 0.01%             | 2030-02-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| ZIMMER BIOMET HLDGS INC                                                         | ZIMMER BIOMET HLDGS INC 5.5% 02/19/2035                                                             | CUSIP: 98956PBC5<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4180873.64    | 0.01%             | 2035-02-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 3.5% 08/01/2052#FA0439                                                               | CUSIP: 3140W0PZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     816424 | PA      | $756065.13     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2052#CB2644                                                                    | CUSIP: 3140QM5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2914699 | PA      | $2482466.16    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2054#SD6652                                                                    | CUSIP: 3132DUL96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     960811 | PA      | $889477.78     | 0.00%             | 2054-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2052#SD3324                                                                    | CUSIP: 3132DQVR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     684922 | PA      | $633856.86     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2052#QD9535                                                                    | CUSIP: 3133B7SY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     767130 | PA      | $709936.21     | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2052#QD9615                                                                    | CUSIP: 3133B7VG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1544242 | PA      | $1429110.37    | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2052#BV5392                                                                    | CUSIP: 3140MJ7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162797 | PA      | $150659.14     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 03/01/2052#BV4519                                                                    | CUSIP: 3140MJAV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1010267 | PA      | $934945.63     | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2052#BV6617                                                                    | CUSIP: 3140MLK74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1156577 | PA      | $1070347.79    | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2052#FS5139                                                                    | CUSIP: 3140XLV96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     401329 | PA      | $371407.49     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2052#FS6039                                                                    | CUSIP: 3140XMV94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279993 | PA      | $259118.18     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2052#FS8852                                                                    | CUSIP: 3140XQZS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     355192 | PA      | $302518.99     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 09/01/2051#SD5485                                                                    | CUSIP: 3132DTCW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10547680 | PA      | $8990112.13    | 0.01%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#FS2824                                                                    | CUSIP: 3140XJD67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3905093 | PA      | $3325990.71    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 02/01/2055#MA5631                                                                    | CUSIP: 31418FHH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2717231 | PA      | $2812253.07    | 0.00%             | 2055-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2052#RA7510                                                                    | CUSIP: 3133KPKX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46782 | PA      | $43294.00      | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.75% 02/15/2045                                                                          | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  221150000 | PA      | $224640023.44  | 0.33%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JOHNSON and JOHNSON                                                             | JOHNSON and JOHNSON 5% 03/01/2035                                                                   | CUSIP: 478160DL5<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2099161.60    | 0.00%             | 2035-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 5.2% 04/01/2030                                                                  | CUSIP: 29273VBD1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    6700000 | PA      | $6931852.50    | 0.01%             | 2030-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 5.7% 04/01/2035                                                                  | CUSIP: 29273VBE9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5199816.65    | 0.01%             | 2035-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| EXELON CORP                                                                     | EXELON CORP 5.875% 03/15/2055                                                                       | CUSIP: 30161NBS9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    8930000 | PA      | $9144122.29    | 0.01%             | 2055-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 5.25% 03/01/2030                                                                            | CUSIP: 404119CZ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    7430000 | PA      | $7693626.88    | 0.01%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                                   | DTE ENERGY CO 5.2% 04/01/2030                                                                       | CUSIP: 233331BN6<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    4410000 | PA      | $4560685.25    | 0.01%             | 2030-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                        | BHP BILLITON FIN USA LTD 5.3% 02/21/2035                                                            | CUSIP: 055451BL1<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |   14660000 | PA      | $15259180.73   | 0.02%             | 2035-02-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 5.75% 03/01/2035                                                                            | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    9020000 | PA      | $9524681.45    | 0.01%             | 2035-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 6.2% 03/01/2055                                                                             | CUSIP: 404119DC0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    7440000 | PA      | $7753001.10    | 0.01%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| SIXTH STREET SPECIALTY LENDING INC                                              | SIXTH STREET SPECIALTY LENDING INC 5.625% 08/15/2030                                                | CUSIP: 83012AAD1<br>LEI: 549300TX61566GJWCN05 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2732947.70    | 0.00%             | 2030-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                           | FLORIDA PWR and LT CO 5.7% 03/15/2055                                                               | CUSIP: 341081GY7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1454547.93    | 0.00%             | 2055-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 01/20/2055#MB0147                                                                      | CUSIP: 3618N5EV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41950733 | PA      | $42404023.29   | 0.06%             | 2055-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 02/20/2055#MB0204                                                                        | CUSIP: 3618N5GN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19639180 | PA      | $19641449.84   | 0.03%             | 2055-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 02/20/2055#MB0203                                                                      | CUSIP: 3618N5GM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12086484 | PA      | $11830852.63   | 0.02%             | 2055-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 02/20/2055#MB0205                                                                      | CUSIP: 3618N5GP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9095869 | PA      | $9190599.70    | 0.01%             | 2055-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                                      | HPS CORPORATE LENDING FUND 6.25% 09/30/2029                                                         | CUSIP: 40440VAC9<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4219687.00    | 0.01%             | 2029-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| CISCO SYSTEMS INC                                                               | CISCO SYSTEMS INC 4.75% 02/24/2030                                                                  | CUSIP: 17275RBX9<br>LEI: 8E6NF1YAL0WT6CWXXV93 | Long             | DBT              | CORP              | US        |    7550000 | PA      | $7769228.14    | 0.01%             | 2030-02-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 5.367%/VAR 02/25/2031                                                                  | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    6800000 | PA      | $7045348.35    | 0.01%             | 2031-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 5.785%/VAR 02/25/2036                                                                  | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    6100000 | PA      | $6439348.55    | 0.01%             | 2036-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CISCO SYSTEMS INC                                                               | CISCO SYSTEMS INC 5.1% 02/24/2035                                                                   | CUSIP: 17275RBZ4<br>LEI: 8E6NF1YAL0WT6CWXXV93 | Long             | DBT              | CORP              | US        |    7680000 | PA      | $7974320.03    | 0.01%             | 2035-02-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CISCO SYSTEMS INC                                                               | CISCO SYSTEMS INC 5.5% 02/24/2055                                                                   | CUSIP: 17275RCA8<br>LEI: 8E6NF1YAL0WT6CWXXV93 | Long             | DBT              | CORP              | US        |    4110000 | PA      | $4150359.13    | 0.01%             | 2055-02-24      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| DR HORTON INC                                                                   | DR HORTON INC 5.5% 10/15/2035                                                                       | CUSIP: 23331ABU2<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |    1940000 | PA      | $2029644.06    | 0.00%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SELECTIVE INSURANCE GROUP INC                                                   | SELECTIVE INSURANCE GROUP INC 5.9% 04/15/2035                                                       | CUSIP: 816300AJ6<br>LEI: 549300R3WGJWLE40R258 | Long             | DBT              | CORP              | US        |     982000 | PA      | $1031244.89    | 0.00%             | 2035-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 02/28/2027                                                                         | CUSIP: 91282CMP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  162870000 | PA      | $163900660.90  | 0.24%             | 2027-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 02/29/2032                                                                         | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  186500000 | PA      | $190565118.12  | 0.28%             | 2032-02-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                     | PACIFIC GAS and ELECTRIC CO 6.15% 03/01/2055                                                        | CUSIP: 694308KV8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    6700000 | PA      | $6787405.19    | 0.01%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                      | CITIZENS FINANCIAL GRP INC 5.253%/VAR 03/05/2031                                                    | CUSIP: 174610BJ3<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    6360000 | PA      | $6520839.38    | 0.01%             | 2031-03-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAP CORP                                                         | AMER WATER CAP CORP 5.25% 03/01/2035                                                                | CUSIP: 03040WBF1<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7251850.48    | 0.01%             | 2035-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                                | LPL HOLDINGS INC 5.65% 03/15/2035                                                                   | CUSIP: 50212YAM6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3485456.89    | 0.01%             | 2035-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                  | TARGA RES CORP 6.125% 05/15/2055                                                                    | CUSIP: 87612GAN1<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    3640000 | PA      | $3659935.95    | 0.01%             | 2055-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NSTAR ELEC CO                                                                   | NSTAR ELEC CO 5.2% 03/01/2035                                                                       | CUSIP: 67021CAW7<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |    9050000 | PA      | $9285691.68    | 0.01%             | 2035-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEX INC                                                                 | ENTERGY TEX INC 5.25% 04/15/2035                                                                    | CUSIP: 29365TAQ7<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    3170000 | PA      | $3275735.41    | 0.00%             | 2035-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                | GEORGIA POWER CO 5.2% 03/15/2035                                                                    | CUSIP: 373334LB5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    7030000 | PA      | $7257519.41    | 0.01%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY HOUSTON ELECTRIC LLC                                         | CENTERPOINT ENERGY HOUSTON ELECTRIC LLC 4.8% 03/15/2030                                             | CUSIP: 15189XBG2<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    3350000 | PA      | $3438025.07    | 0.01%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC/MD                                                   | MARRIOTT INTERNATIONAL INC/MD 5.5% 04/15/2037                                                       | CUSIP: 571903BU6<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    5110000 | PA      | $5277998.00    | 0.01%             | 2037-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 02/01/2055#SD8507                                                                      | CUSIP: 3132DWNY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13876858 | PA      | $14203159.92   | 0.02%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 03/01/2055#SD8516                                                                      | CUSIP: 3132DWN90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11519970 | PA      | $11790851.34   | 0.02%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                | SOUTHERN COMPANY 6.375%/VAR 03/15/2055                                                              | CUSIP: 842587EB9<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    5650000 | PA      | $5981773.65    | 0.01%             | 2055-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: —       |
| KEYCORP                                                                         | KEYCORP 5.121%/VAR 04/04/2031                                                                       | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    3830000 | PA      | $3938554.57    | 0.01%             | 2031-04-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                                               | STATE STREET CORP 5.146%/VAR 02/28/2036                                                             | CUSIP: 857477CX9<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7218085.35    | 0.01%             | 2036-02-28      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                                               | STATE STREET CORP 4.729% 02/28/2030                                                                 | CUSIP: 857477CW1<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7179694.97    | 0.01%             | 2030-02-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EMERSON ELECTRIC CO                                                             | EMERSON ELECTRIC CO 5% 03/15/2035                                                                   | CUSIP: 291011BT0<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5176720.10    | 0.01%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 5.13%/VAR 03/03/2031                                                              | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    4800000 | PA      | $4932753.94    | 0.01%             | 2031-03-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 5.45%/VAR 03/03/2036                                                              | CUSIP: 404280ES4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    4700000 | PA      | $4880092.63    | 0.01%             | 2036-03-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REINSURANCE GROUP OF AMERICA INC                                                | REINSURANCE GRP OF AMERICA INC T5Y+NA 09/15/2055                                                    | CUSIP: 759351AT6<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |    1950000 | PA      | $2012164.05    | 0.00%             | 2055-09-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 12/01/2054#SD7323                                                                      | CUSIP: 3132DVD44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113944 | PA      | $113772.92     | 0.00%             | 2054-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE SECURED LENDING FUND                                                 | BLACKSTONE SECURED LENDING FUND 5.3% 06/30/2030                                                     | CUSIP: 09261XAK8<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2205439.85    | 0.00%             | 2030-06-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC 5.625% 04/04/2032                                                          | CUSIP: 37045XFG6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6259319.04    | 0.01%             | 2032-04-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| PUBLIC SERVICE ELECTRIC AND GAS CO                                              | PUBLIC SERVICE ELECTRIC AND GAS CO 5.5% 03/01/2055                                                  | CUSIP: 74456QCV6<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1003637.55    | 0.00%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                                    | SYNOPSYS INC 4.65% 04/01/2028                                                                       | CUSIP: 871607AB3<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   14440000 | PA      | $14633067.85   | 0.02%             | 2028-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                                    | SYNOPSYS INC 4.85% 04/01/2030                                                                       | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3779823.69    | 0.01%             | 2030-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                                    | SYNOPSYS INC 5% 04/01/2032                                                                          | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    6440000 | PA      | $6607022.82    | 0.01%             | 2032-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                                    | SYNOPSYS INC 5.15% 04/01/2035                                                                       | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    7540000 | PA      | $7707936.38    | 0.01%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| SYNOPSYS INC                                                                    | SYNOPSYS INC 5.7% 04/01/2055                                                                        | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    5840000 | PA      | $5854205.98    | 0.01%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                      | HUMANA INC 6% 05/01/2055                                                                            | CUSIP: 444859CC4<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    3260000 | PA      | $3234235.83    | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                                             | PAYPAL HOLDINGS INC 5.1% 04/01/2035                                                                 | CUSIP: 70450YAT0<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |    8900000 | PA      | $9106579.06    | 0.01%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| AMERICAN HONDA FINANCE CORP                                                     | AMERICAN HONDA FINANCE CORP 4.8% 03/05/2030                                                         | CUSIP: 02665WFY2<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    4640000 | PA      | $4741704.30    | 0.01%             | 2030-03-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORP                                                     | AMERICAN HONDA FINANCE CORP 5.2% 03/05/2035                                                         | CUSIP: 02665WFZ9<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    3210000 | PA      | $3274317.42    | 0.00%             | 2035-03-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                                                    | KREDITANSTALT FUR WIEDER(UNGTD 3.875% 05/15/2028                                                    | CUSIP: 500769KJ2<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |   10000000 | PA      | $10086760.70   | 0.01%             | 2028-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                            | VERISK ANALYTICS INC 5.25% 03/15/2035                                                               | CUSIP: 92345YAL0<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |    5830000 | PA      | $5964607.47    | 0.01%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                                                           | EVERGY KANSAS CENTRAL 5.25% 03/15/2035                                                              | CUSIP: 30036FAD3<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |    8760000 | PA      | $8988077.64    | 0.01%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 03/15/2028                                                                         | CUSIP: 91282CMS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  335500000 | PA      | $338343885.88  | 0.50%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                          | DIAMONDBACK ENERGY INC 5.55% 04/01/2035                                                             | CUSIP: 25278XBC2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    5200000 | PA      | $5376292.84    | 0.01%             | 2035-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 5% 03/01/2040#MA5651                                                                      | CUSIP: 31418FH59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     858873 | PA      | $868872.24     | 0.00%             | 2040-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                             | DOMINION ENERGY INC 5.45% 03/15/2035                                                                | CUSIP: 25746UDX4<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1550901.68    | 0.00%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FIRST CITIZENS BANCSHARES INC/NC                                                | FIRST CITIZENS BANCSHARES INC/NC 6.254%/VAR 03/12/2040                                              | CUSIP: 31959XAF0<br>LEI: 549300N3Z00ZHE2XC526 | Long             | DBT              | CORP              | US        |    2250000 | PA      | $2295270.00    | 0.00%             | 2040-03-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                          | EXTRA SPACE STORAGE LP 5.4% 06/15/2035                                                              | CUSIP: 30225VAU1<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    1030000 | PA      | $1061009.94    | 0.00%             | 2035-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                                         | ENTERGY MISSISSIPPI LLC 5.8% 04/15/2055                                                             | CUSIP: 29366WAG1<br>LEI: FKUZOUT82DOBGXFS6K20 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1440216.08    | 0.00%             | 2055-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | AMERICAN TOWER CORP 4.9% 03/15/2030                                                                 | CUSIP: 03027XCN8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   11264000 | PA      | $11526352.30   | 0.02%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                                                           | RIO TINTO FIN USA PLC 4.875% 03/14/2030                                                             | CUSIP: 76720AAS5<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |    4320000 | PA      | $4446583.39    | 0.01%             | 2030-03-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                                                           | RIO TINTO FIN USA PLC 5.25% 03/14/2035                                                              | CUSIP: 76720AAU0<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |    8780000 | PA      | $9108765.70    | 0.01%             | 2035-03-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                                                           | RIO TINTO FIN USA PLC 5.75% 03/14/2055                                                              | CUSIP: 76720AAV8<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |    3700000 | PA      | $3830797.92    | 0.01%             | 2055-03-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                                     | METLIFE INC T5Y+NA 03/15/2055                                                                       | CUSIP: 59156RCQ9<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |     593000 | PA      | $626404.28     | 0.00%             | 2055-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 06/01/2051#CB0738                                                                      | CUSIP: 3140QKZC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70155 | PA      | $62390.09      | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 02/01/2052#QD5990                                                                      | CUSIP: 3133B3UP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1923634 | PA      | $1709525.45    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2051#FM9788                                                                      | CUSIP: 3140XD2W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     843466 | PA      | $749584.96     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 11/01/2054#DC5738                                                                    | CUSIP: 3140ATLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2076353 | PA      | $2110490.10    | 0.00%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 03/01/2055#MA5647                                                                      | CUSIP: 31418FHZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8968081 | PA      | $9178957.28    | 0.01%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 04/01/2055#SD8525                                                                      | CUSIP: 3132DWPJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12286234 | PA      | $12575134.17   | 0.02%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 12/01/2054#CC0057                                                                      | CUSIP: 3140Y6B33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14612344 | PA      | $14960506.59   | 0.02%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 04/01/2055#MA5674                                                                      | CUSIP: 31418FJU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19213761 | PA      | $19665555.21   | 0.03%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 12/01/2054#DC7823                                                                      | CUSIP: 3140AVVR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6583095 | PA      | $6739947.78    | 0.01%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 01/01/2055#MA5587                                                                      | CUSIP: 31418FF51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7873973 | PA      | $8061582.59    | 0.01%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6% 12/01/2054#QX2195                                                                      | CUSIP: 31425WNM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3630992 | PA      | $3717506.63    | 0.01%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 02/01/2055#MA5615                                                                      | CUSIP: 31418FGZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2834290 | PA      | $2900935.91    | 0.00%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                  | FHLMC REMI 30YR 6% 01/01/2055#RJ3860                                                                | CUSIP: 3142GUJE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2192583 | PA      | $2244824.39    | 0.00%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 02/01/2055#MA5614                                                                    | CUSIP: 31418FGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24812711 | PA      | $25135362.72   | 0.04%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 5.5% 01/01/2055#QX2328                                                                    | CUSIP: 31425WSS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     477394 | PA      | $485242.96     | 0.00%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 11/01/2054#DC6508                                                                    | CUSIP: 3140AUGS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6157856 | PA      | $6237930.08    | 0.01%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 08/01/2052#SD7346                                                                      | CUSIP: 3132DVET8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     629781 | PA      | $561455.04     | 0.00%             | 2052-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                          | EQUITABLE HOLDINGS INC T5Y+NA 03/28/2055                                                            | CUSIP: 29452EAD3<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1563637.50    | 0.00%             | 2055-03-28      | Variable      | 0.07%                 | No            |                  2 | On Loan: —       |
| AES CORP                                                                        | AES CORP 5.8% 03/15/2032                                                                            | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    3830000 | PA      | $3935090.87    | 0.01%             | 2032-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 5% 12/01/2039#MA5558                                                                      | CUSIP: 31418FE86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149990 | PA      | $151736.78     | 0.00%             | 2039-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 12/01/2051#SD1605                                                                    | CUSIP: 3132DNYA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3102732 | PA      | $2642614.73    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                         | SANTANDER HLDGS USA INC 5.741%/VAR 03/20/2031                                                       | CUSIP: 80282KBQ8<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    2830000 | PA      | $2932058.46    | 0.00%             | 2031-03-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: —       |
| ONCOR ELEC DELIVERY CO LLC                                                      | ONCOR ELEC DELIVERY CO LLC 5.35% 04/01/2035 144A                                                    | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    7960000 | PA      | $8285358.63    | 0.01%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE CO OF COLORADO                                                   | PUBLIC SERVICE CO OF COLORADO 5.85% 05/15/2055                                                      | CUSIP: 744448DB4<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    6370000 | PA      | $6559200.78    | 0.01%             | 2055-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                    | ING GROEP NV 5.525%/VAR 03/25/2036                                                                  | CUSIP: 456837BS1<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    4800000 | PA      | $5024033.90    | 0.01%             | 2036-03-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                    | ING GROEP NV 5.066%/VAR 03/25/2031                                                                  | CUSIP: 456837BR3<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    8500000 | PA      | $8740202.52    | 0.01%             | 2031-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | FORD MOTOR CREDIT CO LLC 5.918% 03/20/2028                                                          | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4680000 | PA      | $4784743.45    | 0.01%             | 2028-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL CAPITAL LLC                                                      | CNH INDUSTRIAL CAPITAL LLC 4.75% 03/21/2028                                                         | CUSIP: 12592BAU8<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |    5320000 | PA      | $5390578.10    | 0.01%             | 2028-03-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 02/20/2055#                                                                            | CUSIP: 3618N5H77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90205 | PA      | $78300.46      | 0.00%             | 2055-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TR FINANCE LLC                                                                  | TR FINANCE LLC 3.35% 05/15/2026                                                                     | CUSIP: 87268LAA5<br>LEI: 254900OWSTRTOV8P5W25 | Long             | DBT              | CORP              | US        |    5561000 | PA      | $5532145.97    | 0.01%             | 2026-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TR FINANCE LLC                                                                  | TR FINANCE LLC 5.5% 08/15/2035                                                                      | CUSIP: 87268LAE7<br>LEI: 254900OWSTRTOV8P5W25 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2092297.90    | 0.00%             | 2035-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| CITIGROUP INC                                                                   | CITIGROUP INC 5.333%/VAR 03/27/2036                                                                 | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   12800000 | PA      | $13208920.58   | 0.02%             | 2036-03-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 03/01/2051#SD0554                                                                    | CUSIP: 3132DMTK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     946349 | PA      | $806188.27     | 0.00%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 01/01/2054#SD6284                                                                      | CUSIP: 3132DT6V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     952462 | PA      | $779792.85     | 0.00%             | 2054-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 08/01/2054#SD8452                                                                      | CUSIP: 3132DWL92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40821 | PA      | $40823.15      | 0.00%             | 2054-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 10/01/2054#SD8471                                                                    | CUSIP: 3132DWMU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4378163 | PA      | $4531952.54    | 0.01%             | 2054-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2051#QD3173                                                                      | CUSIP: 3133B0Q22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     442641 | PA      | $361012.50     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 09/01/2051#QD3539                                                                      | CUSIP: 3133B04Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32552 | PA      | $26549.25      | 0.00%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6.5% 05/01/2053#RA9081                                                                    | CUSIP: 3133KRCS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106445 | PA      | $111797.42     | 0.00%             | 2053-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 03/31/2027                                                                         | CUSIP: 91282CMV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  100000000 | PA      | $100363281.00  | 0.15%             | 2027-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 03/31/2032                                                                         | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  100000000 | PA      | $102175781.00  | 0.15%             | 2032-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 03/31/2030                                                                             | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  166150000 | PA      | $168940801.61  | 0.25%             | 2030-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 01/01/2054#DA4667                                                                    | CUSIP: 3140A5FH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1691568 | PA      | $1752836.87    | 0.00%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2054#DC0696                                                                    | CUSIP: 3140AMX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1087084 | PA      | $1064972.01    | 0.00%             | 2054-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 11/01/2051#BQ6895                                                                      | CUSIP: 3140KSUV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2135409 | PA      | $1741613.55    | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 03/01/2051#BQ7729                                                                    | CUSIP: 3140KTST3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38763 | PA      | $33039.24      | 0.00%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2051#BT1265                                                                    | CUSIP: 3140LPMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     451630 | PA      | $384655.76     | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2052#BV9990                                                                    | CUSIP: 3140MQC49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     690123 | PA      | $589722.34     | 0.00%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 07/01/2050#CA6289                                                                    | CUSIP: 3140QD7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198494 | PA      | $169802.69     | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 10/01/2051#CB1868                                                                    | CUSIP: 3140QMCE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1949247 | PA      | $1660184.69    | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2054#CB9638                                                                    | CUSIP: 3140QVV84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1039048 | PA      | $1019536.59    | 0.00%             | 2054-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2051#FM7407                                                                    | CUSIP: 3140XBGR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     403441 | PA      | $343864.99     | 0.00%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 05/01/2052#FS3208                                                                      | CUSIP: 3140XJR62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     803053 | PA      | $658473.51     | 0.00%             | 2052-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.5% 01/20/2055#MB0149                                                                      | CUSIP: 3618N5EX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27123824 | PA      | $27884180.29   | 0.04%             | 2055-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS and ELECTRIC CO                                                   | SAN DIEGO GAS and ELECTRIC CO 5.4% 04/15/2035                                                       | CUSIP: 797440CG7<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5212682.25    | 0.01%             | 2035-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 5.875% 11/15/2055                                                                  | CUSIP: 87264ADU6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5094527.65    | 0.01%             | 2055-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL INC                                                                | RELX CAPITAL INC 5.25% 03/27/2035                                                                   | CUSIP: 74949LAG7<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2391045.16    | 0.00%             | 2035-03-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICOLD REALTY OPERATING PARTNERSHIP LP                                       | AMERICOLD REALTY OPERATING PARTNERSHIP LP 5.6% 05/15/2032                                           | CUSIP: 03063UAB7<br>LEI: 549300FKD9KVWNHSUU79 | Long             | DBT              | CORP              | US        |    3150000 | PA      | $3203555.61    | 0.00%             | 2032-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 5.625% 04/01/2035                                                                | CUSIP: 925650AK9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    4060000 | PA      | $4155467.90    | 0.01%             | 2035-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                                | LPL HOLDINGS INC 5.15% 06/15/2030                                                                   | CUSIP: 50212YAP9<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    4110000 | PA      | $4199969.83    | 0.01%             | 2030-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                                           | AMRIZE FINANCE US LLC 4.7% 04/07/2028 144A                                                          | CUSIP: 43475RAB2<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |   15050000 | PA      | $15236127.11   | 0.02%             | 2028-04-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.75% 04/15/2028                                                                          | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  133810000 | PA      | $134578362.44  | 0.20%             | 2028-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                     | PAYCHEX INC 5.1% 04/15/2030                                                                         | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    6050000 | PA      | $6217441.98    | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| PAYCHEX INC                                                                     | PAYCHEX INC 5.6% 04/15/2035                                                                         | CUSIP: 704326AC1<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    8265000 | PA      | $8682367.13    | 0.01%             | 2035-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 7% 11/01/2053#MA5193                                                                      | CUSIP: 31418EXX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   61632308 | PA      | $64637807.66   | 0.10%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                    | AUTOZONE INC 5.165% 06/15/2030                                                                      | CUSIP: 053332BM3<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    2680000 | PA      | $2774034.10    | 0.00%             | 2030-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DIAGEO INVT CORP                                                                | DIAGEO INVT CORP 5.625% 04/15/2035                                                                  | CUSIP: 25245BAE7<br>LEI: S4G8DPIPDVCF6CB81Z61 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3412146.75    | 0.01%             | 2035-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2055#MA5643                                                                      | CUSIP: 31418FHV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2939660 | PA      | $2801588.30    | 0.00%             | 2055-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 03/01/2055#SD8517                                                                    | CUSIP: 3132DWPA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10706362 | PA      | $11079091.82   | 0.02%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 03/01/2055#MA5646                                                                    | CUSIP: 31418FHY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3081489 | PA      | $3121558.67    | 0.00%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 02/01/2055#MB0303                                                                      | CUSIP: 3138MTKR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32247279 | PA      | $33025699.13   | 0.05%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 01/01/2055#SL0019                                                                    | CUSIP: 31427MAV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4699820 | PA      | $4760934.52    | 0.01%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 05/01/2055#SD8535                                                                    | CUSIP: 3132DWPU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   46991031 | PA      | $48630641.67   | 0.07%             | 2055-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2054#DC8121                                                                    | CUSIP: 3140AWAX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1374952 | PA      | $1349132.03    | 0.00%             | 2054-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 02/01/2054#QI0008                                                                    | CUSIP: 3133W6AH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1244344 | PA      | $1220587.87    | 0.00%             | 2054-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LO 30YR 4.5% 09/01/2054#QJ4651                                                         | CUSIP: 3133CVEY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1083111 | PA      | $1064126.07    | 0.00%             | 2054-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2055#DD2311                                                                    | CUSIP: 3140B2R97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1291000 | PA      | $1269581.14    | 0.00%             | 2055-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2054#QJ8699                                                                    | CUSIP: 3133D0UY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1174528 | PA      | $1153939.91    | 0.00%             | 2054-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 4.5% 02/01/2055#QX5838                                                                    | CUSIP: 31426BPY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1153506 | PA      | $1136531.39    | 0.00%             | 2055-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2054#DC4398                                                                    | CUSIP: 3140AR3G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1268373 | PA      | $1244554.46    | 0.00%             | 2054-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2052#QE1237                                                                    | CUSIP: 3133BALS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2597592 | PA      | $2405550.12    | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 08/01/2054#QJ1154                                                                    | CUSIP: 3133CRH71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1055262 | PA      | $1036764.45    | 0.00%             | 2054-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2054#DC7378                                                                    | CUSIP: 3140AVFU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1030071 | PA      | $1010727.65    | 0.00%             | 2054-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2055#DB7468                                                                    | CUSIP: 3140AHJN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1084419 | PA      | $1068799.71    | 0.00%             | 2055-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 07/01/2054#RJ1927                                                                      | CUSIP: 3142GSD96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     460106 | PA      | $460135.36     | 0.00%             | 2054-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/01/2055#MA5699                                                                      | CUSIP: 31418FKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2440262 | PA      | $2436606.69    | 0.00%             | 2055-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2054#DC6401                                                                      | CUSIP: 3140AUDF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99375 | PA      | $99302.36      | 0.00%             | 2054-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 05/01/2055#SD8532                                                                      | CUSIP: 3132DWPR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     635193 | PA      | $634241.43     | 0.00%             | 2055-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 01/01/2054#DA4666                                                                      | CUSIP: 3140A5FG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2040570 | PA      | $2093813.47    | 0.00%             | 2054-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6% 02/01/2055#RJ3282                                                                      | CUSIP: 3142GTUG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     256768 | PA      | $262886.18     | 0.00%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2054#QX0907                                                                    | CUSIP: 31425VAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     465767 | PA      | $456147.24     | 0.00%             | 2054-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2054#QI2603                                                                    | CUSIP: 3133W83L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1143639 | PA      | $1128596.49    | 0.00%             | 2054-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2054#DC6778                                                                    | CUSIP: 3140AUQ89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1280867 | PA      | $1258415.57    | 0.00%             | 2054-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2054#QJ9176                                                                    | CUSIP: 3133D1FR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1314301 | PA      | $1287567.25    | 0.00%             | 2054-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2054#QJ7065                                                                    | CUSIP: 3133CXZ60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1317405 | PA      | $1295045.23    | 0.00%             | 2054-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2054#DC3412                                                                    | CUSIP: 3140AQYJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1195669 | PA      | $1171347.75    | 0.00%             | 2054-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2054#DA6055                                                                    | CUSIP: 3140A6WR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     287597 | PA      | $282106.28     | 0.00%             | 2054-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 4.5% 01/01/2055#DD3086                                                               | CUSIP: 3140B3NC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1121500 | PA      | $1108500.85    | 0.00%             | 2055-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 04/01/2055#DD2654                                                                    | CUSIP: 3140B25Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5653325 | PA      | $5726837.75    | 0.01%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 04/01/2055#BV1457                                                                    | CUSIP: 3140METP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1054095 | PA      | $1067802.16    | 0.00%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 06/01/2054#SD6991                                                                      | CUSIP: 3132DUXU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10248262 | PA      | $10555213.53   | 0.02%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 04/01/2055#MA5675                                                                    | CUSIP: 31418FJV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12599677 | PA      | $13038321.06   | 0.02%             | 2055-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 05/01/2055#SD8534                                                                      | CUSIP: 3132DWPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90971 | PA      | $93123.87      | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 05/01/2055#                                                                          | CUSIP: 31418FKQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3776532 | PA      | $3908302.97    | 0.01%             | 2055-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                  | FHLMC REMI 30YR 6% 02/01/2055#RJ4076                                                                | CUSIP: 3142GUQ63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     143199 | PA      | $146611.05     | 0.00%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 03/01/2055#QX9674                                                                      | CUSIP: 31426GXC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1372942 | PA      | $1405225.25    | 0.00%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 05/01/2055#SD8533                                                                    | CUSIP: 3132DWPS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43565742 | PA      | $44132248.87   | 0.06%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 5.192%/VAR 04/17/2031                                                                | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4340000 | PA      | $4491900.26    | 0.01%             | 2031-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 5.664%/VAR 04/17/2036                                                                | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4540000 | PA      | $4819607.25    | 0.01%             | 2036-04-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HP INC                                                                          | HP INC 5.4% 04/25/2030                                                                              | CUSIP: 40434LAR6<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2805252.02    | 0.00%             | 2030-04-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 5.103%/VAR 04/22/2031                                                         | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    8690000 | PA      | $9012301.50    | 0.01%             | 2031-04-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 5.572%/VAR 04/22/2036                                                         | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   23700000 | PA      | $25175842.13   | 0.04%             | 2036-04-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 5% 05/01/2040#MA5711                                                                      | CUSIP: 31418FKZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     985036 | PA      | $996504.09     | 0.00%             | 2040-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 5% 04/01/2040#MA5683                                                                      | CUSIP: 31418FJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2913471 | PA      | $2947391.52    | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 5% 01/01/2040#MA5590                                                                      | CUSIP: 31418FF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4294137 | PA      | $4344132.61    | 0.01%             | 2040-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 5% 03/01/2040#SB8371                                                                      | CUSIP: 3132D6JQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7370119 | PA      | $7455927.19    | 0.01%             | 2040-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 5% 03/01/2040#DD4155                                                                      | CUSIP: 3140B4TM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6117243 | PA      | $6188463.77    | 0.01%             | 2040-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 5% 03/01/2040#QO3269                                                                      | CUSIP: 3133WMT28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2740335 | PA      | $2772239.57    | 0.00%             | 2040-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 5.5% 01/01/2040#SB1456                                                                    | CUSIP: 3132CXTM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17367140 | PA      | $17789969.53   | 0.03%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2039#MA5577                                                                    | CUSIP: 31418FFT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139478 | PA      | $131852.10     | 0.00%             | 2039-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | MITSUBISHI UFJ FIN GRP INC 5.159%/VAR 04/24/2031                                                    | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    4600000 | PA      | $4766316.31    | 0.01%             | 2031-04-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | MITSUBISHI UFJ FIN GRP INC 5.615%/VAR 04/24/2036                                                    | CUSIP: 606822DL5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    4140000 | PA      | $4376914.98    | 0.01%             | 2036-04-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 5.15%/VAR 04/23/2031                                                         | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   10580000 | PA      | $10957117.12   | 0.02%             | 2031-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: —       |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 5.605%/VAR 04/23/2036                                                        | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   10900000 | PA      | $11560615.43   | 0.02%             | 2036-04-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 4.937%/VAR 04/23/2028                                                 | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    9600000 | PA      | $9705287.71    | 0.01%             | 2028-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: —       |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 04/20/2055#MB0307                                                                        | CUSIP: 3618N5KV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13631413 | PA      | $13624469.09   | 0.02%             | 2055-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 03/20/2055#MB0257                                                                      | CUSIP: 3618N5JB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     221169 | PA      | $216422.44     | 0.00%             | 2055-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 04/20/2055#MB0309                                                                        | CUSIP: 3618N5KX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     458943 | PA      | $467547.32     | 0.00%             | 2055-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 03/20/2055#MB0260                                                                        | CUSIP: 3618N5JE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   55371091 | PA      | $56331342.05   | 0.08%             | 2055-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 04/30/2030                                                                         | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  244540000 | PA      | $247472570.14  | 0.36%             | 2030-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 04/30/2032                                                                             | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  229780000 | PA      | $233154893.75  | 0.34%             | 2032-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                                               | STATE STREET CORP 4.834% 04/24/2030                                                                 | CUSIP: 857477DB6<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    4760000 | PA      | $4908785.94    | 0.01%             | 2030-04-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                           | MICRON TECHNOLOGY INC 5.65% 11/01/2032                                                              | CUSIP: 595112CG6<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    2810000 | PA      | $2957608.32    | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                           | MICRON TECHNOLOGY INC 6.05% 11/01/2035                                                              | CUSIP: 595112CH4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3541568.51    | 0.01%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                    | ALPHABET INC 4% 05/15/2030                                                                          | CUSIP: 02079KAK3<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    4720000 | PA      | $4747579.76    | 0.01%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                    | ALPHABET INC 4.5% 05/15/2035                                                                        | CUSIP: 02079KAL1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     970000 | PA      | $976470.66     | 0.00%             | 2035-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| ALPHABET INC                                                                    | ALPHABET INC 5.25% 05/15/2055                                                                       | CUSIP: 02079KAM9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    6130000 | PA      | $6090100.20    | 0.01%             | 2055-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| NORFOLK SOUTHERN CORP                                                           | NORFOLK SOUTHERN CORP 5.1% 05/01/2035                                                               | CUSIP: 655844CV8<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    6130000 | PA      | $6305352.21    | 0.01%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RYDER SYSTEM INC                                                                | RYDER SYSTEM INC 4.85% 06/15/2030                                                                   | CUSIP: 78355HLF4<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |   10230000 | PA      | $10458946.48   | 0.02%             | 2030-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| KEURIG DR PEPPER INC                                                            | KEURIG DR PEPPER INC 4.6% 05/15/2030                                                                | CUSIP: 49271VBA7<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    7880000 | PA      | $7916992.42    | 0.01%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                            | KEURIG DR PEPPER INC 5.15% 05/15/2035                                                               | CUSIP: 49271VBB5<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    7080000 | PA      | $7122252.87    | 0.01%             | 2035-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| CBRE SERVICES INC                                                               | CBRE SERVICES INC 5.1% 06/15/2030                                                                   | CUSIP: 12505BAJ9<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    3230000 | PA      | $3288712.74    | 0.00%             | 2030-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                             | CONSUMERS ENERGY CO 4.5% 01/15/2031                                                                 | CUSIP: 210518DY9<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    5910000 | PA      | $5989912.07    | 0.01%             | 2031-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                             | CONSUMERS ENERGY CO 5.05% 05/15/2035                                                                | CUSIP: 210518DZ6<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    6310000 | PA      | $6468808.69    | 0.01%             | 2035-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                           | GENERAL DYNAMICS CORP 4.95% 08/15/2035                                                              | CUSIP: 369550BR8<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |    4440000 | PA      | $4562090.45    | 0.01%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                  | FAIRFAX FINANCIAL HLDGS LTD 6.1% 03/15/2055                                                         | CUSIP: 303901BU5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    5000000 | PA      | $5070502.35    | 0.01%             | 2055-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES POWER CO (MN)                                                   | NORTHERN STATES POWER CO (MN) 5.05% 05/15/2035                                                      | CUSIP: 665772CZ0<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    4450000 | PA      | $4576881.69    | 0.01%             | 2035-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS PRIVATE CREDIT CORP                                               | GOLDMAN SACHS PRIVATE CREDIT CORP 5.875% 05/06/2028 144A                                            | CUSIP: 38152BAA9<br>LEI: 549300TD27G6372IYJ65 | Long             | DBT              | CORP              | US        |    2730000 | PA      | $2774960.15    | 0.00%             | 2028-05-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| UST NOTES                                                                       | UST NOTES 4.25% 05/15/2035                                                                          | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  211400000 | PA      | $215760125.00  | 0.32%             | 2035-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.75% 05/15/2055                                                        | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  271100000 | PA      | $274361671.88  | 0.40%             | 2055-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.75% 05/15/2028                                                                          | CUSIP: 91282CND9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  572820000 | PA      | $576366042.21  | 0.85%             | 2028-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLUE OWL CREDIT INCOME CORP                                                     | BLUE OWL CREDIT INCOME CORP 6.6% 09/15/2029                                                         | CUSIP: 09581CAB7<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    6921000 | PA      | $7115749.95    | 0.01%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BLUE OWL CREDIT INCOME CORP                                                     | BLUE OWL CREDIT INCOME CORP 5.8% 03/15/2030                                                         | CUSIP: 09581CAD3<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    6935000 | PA      | $6921554.70    | 0.01%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.643%/VAR 05/07/2028                                                                 | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $5539120.35    | 0.01%             | 2028-05-07      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ERP OPERATING LP                                                                | ERP OPERATING LP 4.95% 06/15/2032                                                                   | CUSIP: 26884ABQ5<br>LEI: DX5HQV5MLU50FEWZ5072 | Long             | DBT              | CORP              | US        |    2360000 | PA      | $2423181.33    | 0.00%             | 2032-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | COMCAST CORP 5.3% 05/15/2035                                                                        | CUSIP: 20030NEP2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2061267.52    | 0.00%             | 2035-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DTE ELEC CO                                                                     | DTE ELEC CO 5.25% 05/15/2035                                                                        | CUSIP: 23338VAY2<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2071009.56    | 0.00%             | 2035-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DTE ELEC CO                                                                     | DTE ELEC CO 5.85% 05/15/2055                                                                        | CUSIP: 23338VAZ9<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2312475.90    | 0.00%             | 2055-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                               | GENERAL MOTORS CO 5.625% 04/15/2030                                                                 | CUSIP: 37045VBA7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10440546.30   | 0.02%             | 2030-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                                                  | STARBUCKS CORP 5.4% 05/15/2035                                                                      | CUSIP: 855244BM0<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    6390000 | PA      | $6682055.97    | 0.01%             | 2035-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| PNC FINANCIAL SERVICES GRP INC                                                  | PNC FINANCIAL SERVICES GRP INC 4.899%/VAR 05/13/2031                                                | CUSIP: 693475CD5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4101511.40    | 0.01%             | 2031-05-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC                                                                      | BIOGEN INC 6.45% 05/15/2055                                                                         | CUSIP: 09062XAM5<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |    8050000 | PA      | $8640838.20    | 0.01%             | 2055-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 5.464%/VAR 05/09/2036                                                   | CUSIP: 06051GMW6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   18000000 | PA      | $18978740.46   | 0.03%             | 2036-05-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.623%/VAR 05/09/2029                                                   | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6081870.18    | 0.01%             | 2029-05-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                  | DEUTSCHE BANK AG NEW YORK BNCH 5.297%/VAR 05/09/2031                                                | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2055382.18    | 0.00%             | 2031-05-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CUMMINS INC                                                                     | CUMMINS INC 5.3% 05/09/2035                                                                         | CUSIP: 231021BA3<br>LEI: ZUNI8PYC725B6H8JU438 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10433103.20   | 0.02%             | 2035-05-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 5.79%/VAR 05/13/2036                                                              | CUSIP: 404280EX3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    8220000 | PA      | $8729512.10    | 0.01%             | 2036-05-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 5.24%/VAR 05/13/2031                                                              | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    7800000 | PA      | $8064955.47    | 0.01%             | 2031-05-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 03/01/2055#190445                                                                    | CUSIP: 31368HP64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14441512 | PA      | $14948790.20   | 0.02%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REGENCY CTRS LP                                                                 | REGENCY CTRS LP 5% 07/15/2032                                                                       | CUSIP: 75884RBD4<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7714945.58    | 0.01%             | 2032-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 12/01/2053#SD6959                                                                      | CUSIP: 3132DUWU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27267397 | PA      | $27635559.04   | 0.04%             | 2053-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 08/01/2053#FS5638                                                                      | CUSIP: 3140XMHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29064690 | PA      | $29375374.41   | 0.04%             | 2053-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/01/2055#                                                                            | CUSIP: 3142J6AL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     990922 | PA      | $944380.08     | 0.00%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2052#FS5635                                                                      | CUSIP: 3140XMHM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249311 | PA      | $238848.01     | 0.00%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR INC                                                                 | CATERPILLAR INC 5.2% 05/15/2035                                                                     | CUSIP: 149123CL3<br>LEI: WRJR7GS4GTRECRRTVX92 | Long             | DBT              | CORP              | US        |    9530000 | PA      | $9977531.47    | 0.01%             | 2035-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED PARCEL SERVICE INC                                                       | UNITED PARCEL SERVICE INC 5.25% 05/14/2035                                                          | CUSIP: 911312CJ3<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |    5220000 | PA      | $5458676.98    | 0.01%             | 2035-05-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| UNITED PARCEL SERVICE INC                                                       | UNITED PARCEL SERVICE INC 5.95% 05/14/2055                                                          | CUSIP: 911312CK0<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4525875.30    | 0.01%             | 2055-05-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY IND INC                                                             | DUKE ENERGY IND INC 5.9% 05/15/2055                                                                 | CUSIP: 26443TAF3<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    4850000 | PA      | $5073897.87    | 0.01%             | 2055-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2055#MA5670                                                                      | CUSIP: 31418FJQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     772369 | PA      | $736091.76     | 0.00%             | 2055-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                                      | TENNESSEE VALLEY AUTHORITY 4.875% 05/15/2035                                                        | CUSIP: 880591FD9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |    6050000 | PA      | $6320365.18    | 0.01%             | 2035-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE PWR CORP                                                             | OGLETHORPE PWR CORP 5.8% 06/01/2054                                                                 | CUSIP: 677050AW6<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |    4250000 | PA      | $4219909.70    | 0.01%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                              | ATHENE HOLDING LTD 6.625% 05/19/2055                                                                | CUSIP: 04686JAL5<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |    1750000 | PA      | $1814575.28    | 0.00%             | 2055-05-19      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 5% 05/15/2045                                                           | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  223390000 | PA      | $234175548.44  | 0.34%             | 2045-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 06/01/2055#RQ0013                                                                    | CUSIP: 3142J6AP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4787032 | PA      | $4849279.80    | 0.01%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL POWR and LIGHT CO                                                | JERSEY CENTRAL POWR and LIGHT CO 5.1% 01/15/2035                                                    | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    2960000 | PA      | $3006798.55    | 0.00%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                  | BLACKSTONE PRIVATE CREDIT FUND 6% 11/22/2034                                                        | CUSIP: 09261HBW6<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2131238.72    | 0.00%             | 2034-11-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| BLACKSTONE PRIVATE CREDIT FUND                                                  | BLACKSTONE PRIVATE CREDIT FUND 5.25% 04/01/2030                                                     | CUSIP: 09261HBS5<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    2590000 | PA      | $2580574.52    | 0.00%             | 2030-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                                                    | QUALCOMM INC 4.5% 05/20/2030                                                                        | CUSIP: 747525BU6<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    2720000 | PA      | $2768915.88    | 0.00%             | 2030-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                                                    | QUALCOMM INC 5% 05/20/2035                                                                          | CUSIP: 747525BW2<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    3290000 | PA      | $3394033.25    | 0.00%             | 2035-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| TEXAS INSTRUMENTS INC.                                                          | TEXAS INSTRUMENTS INC 4.5% 05/23/2030                                                               | CUSIP: 882508CK8<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    3810000 | PA      | $3888465.01    | 0.01%             | 2030-05-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC.                                                          | TEXAS INSTRUMENTS INC 5.1% 05/23/2035                                                               | CUSIP: 882508CM4<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    3610000 | PA      | $3739991.55    | 0.01%             | 2035-05-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MCKESSON CORP                                                                   | MCKESSON CORP 4.65% 05/30/2030                                                                      | CUSIP: 581557BW4<br>LEI: 549300WZWOM80UCFSF54 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2243741.57    | 0.00%             | 2030-05-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MCKESSON CORP                                                                   | MCKESSON CORP 5.25% 05/30/2035                                                                      | CUSIP: 581557BY0<br>LEI: 549300WZWOM80UCFSF54 | Long             | DBT              | CORP              | US        |    4290000 | PA      | $4472758.80    | 0.01%             | 2035-05-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE TECH CORP                                                | WESTINGHOUSE AIR BRAKE TECH CORP 5.5% 05/29/2035                                                    | CUSIP: 960386AT7<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4190945.64    | 0.01%             | 2035-05-29      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                  | CITIBANK NA 4.914% 05/29/2030                                                                       | CUSIP: 17325FBP2<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   37000000 | PA      | $38160668.17   | 0.06%             | 2030-05-29      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                                                   | SUTTER HEALTH 5.537% 08/15/2035                                                                     | CUSIP: 86944BAQ6<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |     460000 | PA      | $486756.10     | 0.00%             | 2035-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SMURFIT WESTROCK FIN                                                            | SMURFIT WESTROCK FIN 5.418% 01/15/2035                                                              | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |    4274000 | PA      | $4418747.56    | 0.01%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SMURFIT KAPPA TREASURY                                                          | SMURFIT KAPPA TREASURY 5.777% 04/03/2054                                                            | CUSIP: 83272GAF8<br>LEI: 635400B3DOXSWFOWJT40 | Long             | DBT              | CORP              | IE        |    1400000 | PA      | $1416777.42    | 0.00%             | 2054-04-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 05/31/2027                                                                         | CUSIP: 91282CNE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  213200000 | PA      | $214182719.82  | 0.31%             | 2027-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 05/31/2030                                                                             | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  239150000 | PA      | $243269731.82  | 0.36%             | 2030-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                                      | ARES STRATEGIC INCOME FUND 5.6% 02/15/2030                                                          | CUSIP: 04020EAD9<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    9760000 | PA      | $9803171.12    | 0.01%             | 2030-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                       | TORONTO DOMINION BANK 4.808% 06/03/2030                                                             | CUSIP: 89115KAB6<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   16000000 | PA      | $16362750.40   | 0.02%             | 2030-06-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                               | ARES CAPITAL CORP 5.5% 09/01/2030                                                                   | CUSIP: 04010LBK8<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4036084.24    | 0.01%             | 2030-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC 5.45% 07/15/2030                                                           | CUSIP: 37045XFJ0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5202407.50    | 0.01%             | 2030-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| ARES STRATEGIC INCOME FUND                                                      | ARES STRATEGIC INCOME FUND 6.2% 03/21/2032                                                          | CUSIP: 04020EAJ6<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2663883.20    | 0.00%             | 2032-03-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                                      | HPS CORPORATE LENDING FUND 5.85% 06/05/2030 144A                                                    | CUSIP: 40440VAN5<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2933949.81    | 0.00%             | 2030-06-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                  | BURLINGTON NORTHN SANTA FE LLC 5.8% 03/15/2056                                                      | CUSIP: 12189LBM2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2093843.34    | 0.00%             | 2056-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                          | MOTOROLA SOLUTIONS INC 5.2% 08/15/2032                                                              | CUSIP: 620076CB3<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |   14200000 | PA      | $14669179.93   | 0.02%             | 2032-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                     | PACIFIC GAS and ELECTRIC CO 6% 08/15/2035                                                           | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    6250000 | PA      | $6602989.94    | 0.01%             | 2035-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECHNOLOGIES INC                                                  | GE HEALTHCARE TECHNOLOGIES INC 5.5% 06/15/2035                                                      | CUSIP: 36266GAC1<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5952831.31    | 0.01%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK NEW YORK MELLON CORP                                                       | BANK NEW YORK MELLON CORP 5.316%/VAR 06/06/2036                                                     | CUSIP: 06406RCJ4<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4173626.88    | 0.01%             | 2036-06-06      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                  | TARGA RES CORP 4.9% 09/15/2030                                                                      | CUSIP: 87612GAP6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    4070000 | PA      | $4151182.70    | 0.01%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROVINCE CDA                                                   | BRITISH COLUMBIA PROVINCE CDA 4.8% 06/11/2035                                                       | CUSIP: 110709AQ5<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |   15500000 | PA      | $15992981.53   | 0.02%             | 2035-06-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 06/15/2028                                                                         | CUSIP: 91282CNH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  314050000 | PA      | $317018752.34  | 0.47%             | 2028-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 4.818%/VAR 06/13/2029                                                      | CUSIP: 539439BD0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    5200000 | PA      | $5283255.28    | 0.01%             | 2029-06-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 6.068%/VAR 06/13/2036                                                      | CUSIP: 539439BE8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    1180000 | PA      | $1247183.47    | 0.00%             | 2036-06-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 5.2% 07/01/2030                                                      | CUSIP: 681936BP4<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1732275.50    | 0.00%             | 2030-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| M and T BANK CORP                                                               | M and T BANK CORP 5.179%/VAR 07/08/2031                                                             | CUSIP: 55261FAY0<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |    6400000 | PA      | $6565888.77    | 0.01%             | 2031-07-08      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 5% 06/01/2040#MA5745                                                                      | CUSIP: 31418FL39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     945920 | PA      | $956933.48     | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 05/01/2055#QY3469                                                                    | CUSIP: 31426M2B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     397816 | PA      | $402989.27     | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2055#DC4819                                                                    | CUSIP: 3140ASK98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66382 | PA      | $67244.78      | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 07/01/2055#MA5760                                                                    | CUSIP: 31418FMJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9896844 | PA      | $10025537.37   | 0.01%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2055#DD9839                                                                    | CUSIP: 3140BA4Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     866654 | PA      | $877923.37     | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2054#QJ8891                                                                    | CUSIP: 3133D02Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95770 | PA      | $93822.11      | 0.00%             | 2054-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2054#QJ8701                                                                    | CUSIP: 3133D0U25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     143801 | PA      | $141100.21     | 0.00%             | 2054-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2054#DC3823                                                                    | CUSIP: 3140ARG95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     875113 | PA      | $857312.29     | 0.00%             | 2054-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2054#DC6840                                                                    | CUSIP: 3140AUS61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     817912 | PA      | $801262.35     | 0.00%             | 2054-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 06/01/2051#CB0858                                                                      | CUSIP: 3140QK5U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1112540 | PA      | $988709.74     | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2053#FS8875                                                                      | CUSIP: 3140XQ2H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     321375 | PA      | $286508.13     | 0.00%             | 2053-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2055#MA5757                                                                      | CUSIP: 31418FMF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39207 | PA      | $37365.70      | 0.00%             | 2055-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2054#QX0996                                                                    | CUSIP: 31425VDA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     929690 | PA      | $913393.47     | 0.00%             | 2054-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                  | FHLMC REMI 30YR 4.5% 01/01/2055#RJ4073                                                              | CUSIP: 3142GUQ30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48976 | PA      | $47979.59      | 0.00%             | 2055-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2052#CB3523                                                                      | CUSIP: 3140QN4H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24017 | PA      | $21379.19      | 0.00%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 03/01/2052#FS1978                                                                    | CUSIP: 3140XHFU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2460827 | PA      | $2095900.36    | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PRIVATE CREDIT FUND                                               | GOLUB CAPITAL PRIVATE CREDIT FUND 5.875% 05/01/2030                                                 | CUSIP: 38179RAD7<br>LEI: 254900B5KBW6OY1F9951 | Long             | DBT              | CORP              | US        |    3010000 | PA      | $3051368.48    | 0.00%             | 2030-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BROWN and BROWN INC                                                             | BROWN and BROWN INC 4.7% 06/23/2028                                                                 | CUSIP: 115236AJ0<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    4630000 | PA      | $4674807.84    | 0.01%             | 2028-06-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROWN and BROWN INC                                                             | BROWN and BROWN INC 5.55% 06/23/2035                                                                | CUSIP: 115236AM3<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    3080000 | PA      | $3166065.21    | 0.00%             | 2035-06-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BROWN and BROWN INC                                                             | BROWN and BROWN INC 6.25% 06/23/2055                                                                | CUSIP: 115236AN1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    3450000 | PA      | $3614490.41    | 0.01%             | 2055-06-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2054#QJ9486                                                                    | CUSIP: 3133D1RF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     974496 | PA      | $954673.95     | 0.00%             | 2054-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2055#BU5455                                                                    | CUSIP: 3140M7BZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     419593 | PA      | $411058.12     | 0.00%             | 2055-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROVIDENCE ST JOSEPH HEALTH OBLIGATED GROUP                                     | PROVIDENCE ST JOSEPH HEALTH OBLIGATED GROUP 5.369% 10/01/2032                                       | CUSIP: 743820AG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7860000 | PA      | $8176916.77    | 0.01%             | 2032-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                       | HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC 6.75% 07/15/2035                                          | CUSIP: 40408AAB7<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    4690000 | PA      | $4860123.14    | 0.01%             | 2035-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| Phillips Edison Grocery Center Operating Partnership I LP                       | Phillips Edison Grocery Center Operating Partnership I LP 5.25% 08/15/2032                          | CUSIP: 71845JAD0<br>LEI: 549300WUPIVS6ZE0ZI51 | Long             | DBT              | CORP              | US        |    4280000 | PA      | $4386537.89    | 0.01%             | 2032-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | ENBRIDGE INC 5.55% 06/20/2035                                                                       | CUSIP: 29250NCK9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   12800000 | PA      | $13310608.90   | 0.02%             | 2035-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                               | EOG RESOURCES INC 5% 07/15/2032                                                                     | CUSIP: 26875PAY7<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    4150000 | PA      | $4261101.64    | 0.01%             | 2032-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                               | EOG RESOURCES INC 5.35% 01/15/2036                                                                  | CUSIP: 26875PAZ4<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4978937.09    | 0.01%             | 2036-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                                               | ATMOS ENERGY CORP 5.2% 08/15/2035                                                                   | CUSIP: 049560BC8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    6450000 | PA      | $6682591.39    | 0.01%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| UNITEDHEALTH GROUP INC                                                          | UNITEDHEALTH GROUP INC 4.65% 01/15/2031                                                             | CUSIP: 91324PFP2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6616955.74    | 0.01%             | 2031-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP LP                                                            | KITE REALTY GROUP LP 5.2% 08/15/2032                                                                | CUSIP: 49803XAG8<br>LEI: 549300X6R2GYI8Y3OD81 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3379608.44    | 0.00%             | 2032-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | ENTERPRISE PRODS OPER LLC 4.6% 01/15/2031                                                           | CUSIP: 29379VCK7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3043890.36    | 0.00%             | 2031-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | ENTERPRISE PRODS OPER LLC 5.2% 01/15/2036                                                           | CUSIP: 29379VCL5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3591217.25    | 0.01%             | 2036-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 06/30/2032                                                                             | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  142200000 | PA      | $144205241.83  | 0.21%             | 2032-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 06/30/2030                                                                         | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  249400000 | PA      | $252410335.31  | 0.37%             | 2030-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 06/20/2055#MB0421                                                                        | CUSIP: 3618N5PF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5980610 | PA      | $5674854.17    | 0.01%             | 2055-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                          | MARVELL TECHNOLOGY INC 4.75% 07/15/2030                                                             | CUSIP: 573874AR5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7015000 | PA      | $7119259.32    | 0.01%             | 2030-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                    | MEXICO UNITED MEXICAN STATES 5.85% 07/02/2032                                                       | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    9040000 | PA      | $9329280.00    | 0.01%             | 2032-07-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                    | MEXICO UNITED MEXICAN STATES 6.625% 01/29/2038                                                      | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    9798000 | PA      | $10336890.00   | 0.02%             | 2038-01-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX SARL / JBS USA FOODS GROUP HOLDINGS INC / JBS USA FOOD CO   | JBS USA HOLDING LUX SARL / JBS USA FOODS GROUP HOLDINGS INC / JBS USA FOOD CO 5.5% 01/15/2036 144A  | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8600000 | PA      | $8802982.36    | 0.01%             | 2036-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX SARL / JBS USA FOODS GROUP HOLDINGS INC / JBS USA FOOD CO   | JBS USA HOLDING LUX SARL / JBS USA FOODS GROUP HOLDINGS INC / JBS USA FOOD CO 6.25% 03/01/2056 144A | CUSIP: 472140AG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5400000 | PA      | $5471922.33    | 0.01%             | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.5% 05/20/2055#MB0368                                                                      | CUSIP: 3618N5MS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16497834 | PA      | $17008003.27   | 0.02%             | 2055-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CORP                                                               | TOYOTA MOTOR CORP 4.45% 06/30/2030                                                                  | CUSIP: 892331AU3<br>LEI: 5493006W3QUS5LMH6R84 | Long             | DBT              | CORP              | JP        |    2000000 | PA      | $2030586.64    | 0.00%             | 2030-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CORP                                                               | TOYOTA MOTOR CORP 5.053% 06/30/2035                                                                 | CUSIP: 892331AV1<br>LEI: 5493006W3QUS5LMH6R84 | Long             | DBT              | CORP              | JP        |    8000000 | PA      | $8287180.48    | 0.01%             | 2035-06-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP 4.354% 07/01/2030                                                              | CUSIP: 961214GC1<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    5720000 | PA      | $5799536.71    | 0.01%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                               | PERU REPUBLIC OF 5.5% 03/30/2036                                                                    | CUSIP: 715638FC1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   18847000 | PA      | $19355869.00   | 0.03%             | 2036-03-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                               | PERU REPUBLIC OF 6.2% 06/30/2055                                                                    | CUSIP: 715638FD9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    4080000 | PA      | $4275840.00    | 0.01%             | 2055-06-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 4.625% 06/30/2030                                                                  | CUSIP: 969457CR9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6068498.28    | 0.01%             | 2030-06-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 5.3% 09/30/2035                                                                    | CUSIP: 969457CS7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10241110.80   | 0.02%             | 2035-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                      | MIZUHO FINL GROUP INC 5.323%/VAR 07/08/2036                                                         | CUSIP: 60687YDM8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    2000000 | PA      | $2072300.44    | 0.00%             | 2036-07-08      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PUBLIC STORAGE                                                                  | PUBLIC STORAGE 4.375% 07/01/2030                                                                    | CUSIP: 74464AAC5<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |    3780000 | PA      | $3824216.97    | 0.01%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUBLIC STORAGE                                                                  | PUBLIC STORAGE 5% 07/01/2035                                                                        | CUSIP: 74464AAD3<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |    7040000 | PA      | $7192377.77    | 0.01%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 12/01/2055 #TBA                                                                        | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2400000 | PA      | $2201250.00    | 0.00%             | 2055-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 12/01/2055 #TBA                                                                          | CUSIP: 21H0506C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  123150000 | PA      | $123015298.53  | 0.18%             | 2055-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 12/01/2055 #TBA                                                                          | CUSIP: 21H0506C1<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -123150000 | PA      | $-123015298.53 | -0.18%            | 2055-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 12/01/2055 #TBA                                                                        | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -198250000 | PA      | $-200263466.65 | -0.29%            | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 12/01/2055 #TBA                                                                        | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  198250000 | PA      | $200263466.65  | 0.29%             | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 12/01/2055 #TBA                                                                          | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -52250000 | PA      | $-53241934.90  | -0.08%            | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 12/01/2055 #TBA                                                                          | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  119925000 | PA      | $122201704.17  | 0.18%             | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.5% 12/01/2055 #TBA                                                                        | CUSIP: 21H0626C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31650000 | PA      | $32616809.39   | 0.05%             | 2055-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.5% 12/01/2055 #TBA                                                                        | CUSIP: 21H0626C6<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -31650000 | PA      | $-32616809.39  | -0.05%            | 2055-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2% 12/01/2055 #TBA                                                                        | CUSIP: 01F0206C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   10350000 | PA      | $8425546.88    | 0.01%             | 2055-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2.5% 12/01/2055 #TBA                                                                      | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3300000 | PA      | $2808609.54    | 0.00%             | 2055-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 3.5% 12/01/2055 #TBA                                                                      | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   23750000 | PA      | $21968750.00   | 0.03%             | 2055-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 3.5% 12/01/2055 #TBA                                                                      | CUSIP: 01F0326C3<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -23750000 | PA      | $-21968750.00  | -0.03%            | 2055-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 5% 12/01/2055 #TBA                                                                        | CUSIP: 01F0506C5<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -30050000 | PA      | $-29993656.25  | -0.04%            | 2055-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 5% 12/01/2055 #TBA                                                                        | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   53950000 | PA      | $53848843.75   | 0.08%             | 2055-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 5.5% 12/01/2055 #TBA                                                                      | CUSIP: 01F0526C1<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -41650000 | PA      | $-42177130.73  | -0.06%            | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 5.5% 12/01/2055 #TBA                                                                      | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   58125000 | PA      | $58860641.63   | 0.09%             | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 6% 12/01/2055 #TBA                                                                        | CUSIP: 01F0606C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -96300000 | PA      | $-98609697.72  | -0.14%            | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 6% 12/01/2055 #TBA                                                                        | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  103150000 | PA      | $105623990.86  | 0.16%             | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                  | FHLMC REMI 30YR 6% 04/01/2055#RJ4029                                                                | CUSIP: 3142GUPP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   27849869 | PA      | $28926834.47   | 0.04%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 07/15/2028                                                                         | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  411450000 | PA      | $415371632.81  | 0.61%             | 2028-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 4.6% 07/15/2030                                                                        | CUSIP: 11135FCK5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   11080000 | PA      | $11291407.62   | 0.02%             | 2030-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| AMERICAN HONDA FINANCE CORP                                                     | AMERICAN HONDA FINANCE CORP 5.15% 07/09/2032                                                        | CUSIP: 02665WGF2<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4123715.44    | 0.01%             | 2032-07-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 07/01/2054#FA0936                                                                    | CUSIP: 3140W1BE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8119242 | PA      | $8318699.19    | 0.01%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 03/01/2053#CB5849                                                                    | CUSIP: 3140QRQB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55946554 | PA      | $57268487.03   | 0.08%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 5.5% 01/01/2055#FA0366                                                               | CUSIP: 3140W0MQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20873064 | PA      | $21372785.97   | 0.03%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2054#DC8495                                                                      | CUSIP: 3140AWNM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61101 | PA      | $61009.74      | 0.00%             | 2054-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2054#DC3423                                                                      | CUSIP: 3140AQYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22682 | PA      | $22655.46      | 0.00%             | 2054-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2054#DC4719                                                                      | CUSIP: 3140ASG51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     423889 | PA      | $423386.34     | 0.00%             | 2054-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 12/01/2054#DC6993                                                                      | CUSIP: 3140AUXX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     968410 | PA      | $974222.36     | 0.00%             | 2054-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 10/01/2054#QJ6651                                                                      | CUSIP: 3133CXL81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56487 | PA      | $56419.91      | 0.00%             | 2054-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 01/01/2055#DD2598                                                                      | CUSIP: 3140B23G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     722794 | PA      | $721711.22     | 0.00%             | 2055-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 12/01/2051#RA6493                                                                    | CUSIP: 3133KNGA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1997312 | PA      | $1701122.59    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2053#FS5295                                                                    | CUSIP: 3140XL3D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     677721 | PA      | $579760.15     | 0.00%             | 2053-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#FM9841                                                                    | CUSIP: 3140XD5B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236395 | PA      | $201338.68     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2052#CB3888                                                                    | CUSIP: 3140QPKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3481874 | PA      | $2965532.62    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#FA1935                                                                    | CUSIP: 3140W2EH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319334 | PA      | $271978.78     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2052#BU3083                                                                    | CUSIP: 3140M4M96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     382650 | PA      | $325905.07     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 12/01/2051#QD2659                                                                    | CUSIP: 3133AY5U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     357702 | PA      | $304657.02     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 08/01/2051#SD0718                                                                    | CUSIP: 3132DMYP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2458374 | PA      | $2093811.20    | 0.00%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 10/01/2051#FS9043                                                                    | CUSIP: 3140XRBM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24253 | PA      | $20656.16      | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 04/01/2055#DD4459                                                                      | CUSIP: 3140B45V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3670723 | PA      | $3757610.06    | 0.01%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 05/01/2055#MA5701                                                                      | CUSIP: 31418FKP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7193878 | PA      | $7364160.23    | 0.01%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 05/01/2055#RJ4529                                                                      | CUSIP: 3142GVA76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2603258 | PA      | $2664878.38    | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 01/01/2054#FA1272                                                                      | CUSIP: 3140W1MW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     961372 | PA      | $788289.50     | 0.00%             | 2054-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 02/01/2051#FM6037                                                                      | CUSIP: 3140X9V77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     535595 | PA      | $436322.36     | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6% 04/01/2055#SL1416                                                                      | CUSIP: 31427NSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2705497 | PA      | $2769114.46    | 0.00%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 6% 07/01/2054#BU4711                                                                 | CUSIP: 3140M6GV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1012546 | PA      | $1043474.85    | 0.00%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 6% 01/01/2055#BU5374                                                                 | CUSIP: 3140M66L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     990804 | PA      | $1014411.30    | 0.00%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 06/01/2055#DD9888                                                                      | CUSIP: 3140BA7A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1113007 | PA      | $1139526.39    | 0.00%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 01/01/2055#DC7561                                                                      | CUSIP: 3140AVMK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1101004 | PA      | $1126892.77    | 0.00%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 01/01/2055#DD0835                                                                      | CUSIP: 3140B04V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1999801 | PA      | $2047886.93    | 0.00%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 10/01/2054#QJ7053                                                                      | CUSIP: 3133CXZS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     985952 | PA      | $1011986.22    | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6% 03/01/2055#QX8516                                                                      | CUSIP: 31426FPA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1066795 | PA      | $1095830.08    | 0.00%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 05/01/2055#DD7077                                                                      | CUSIP: 3140B72K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1059517 | PA      | $1084596.09    | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6% 04/01/2055#QY0236                                                                      | CUSIP: 31426JHN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1042730 | PA      | $1067412.26    | 0.00%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LO 30YR 6% 09/01/2054#QJ3725                                                           | CUSIP: 3133CUD60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     971090 | PA      | $994834.79     | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6% 10/01/2054#SL1418                                                                      | CUSIP: 31427NSG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3723991 | PA      | $3818830.27    | 0.01%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 09/01/2054#DC3465                                                                      | CUSIP: 3140AQZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1225376 | PA      | $1254476.65    | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 09/01/2054#DC0503                                                                      | CUSIP: 3140AMRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     693557 | PA      | $710222.89     | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 04/01/2051#SD0566                                                                    | CUSIP: 3132DMTX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1964304 | PA      | $1674236.38    | 0.00%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 07/01/2055#DE4980                                                                      | CUSIP: 3140BHRA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1131835 | PA      | $1158891.68    | 0.00%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 06/01/2055#QY5425                                                                      | CUSIP: 31426QA37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1027567 | PA      | $1051890.35    | 0.00%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 07/01/2055#                                                                            | CUSIP: 3140BHVK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     939376 | PA      | $961831.42     | 0.00%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2055#                                                                            | CUSIP: 31418FNF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1677134 | PA      | $1598361.41    | 0.00%             | 2055-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2055#DE4679                                                                      | CUSIP: 3140BHFV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5792135 | PA      | $5520086.87    | 0.01%             | 2055-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 12/01/2054#QX1087                                                                      | CUSIP: 31425VF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146330 | PA      | $149793.75     | 0.00%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 02/01/2055#DD1948                                                                    | CUSIP: 3140B2EW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     887922 | PA      | $899468.25     | 0.00%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 08/01/2055#RQ0040                                                                    | CUSIP: 3142J6BJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20787294 | PA      | $21057601.63   | 0.03%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 02/01/2055#SL0649                                                                    | CUSIP: 31427MWK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7069345 | PA      | $7161271.57    | 0.01%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 5.5% 03/01/2055#QX7982                                                                    | CUSIP: 31426D2Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1935919 | PA      | $1961093.08    | 0.00%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6% 02/01/2055#QX6647                                                                      | CUSIP: 31426CL51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1200230 | PA      | $1228452.15    | 0.00%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 10/01/2054#DC3877                                                                      | CUSIP: 3140ARJX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257502 | PA      | $263786.62     | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 01/01/2052#QD7144                                                                      | CUSIP: 3133B45D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     583133 | PA      | $475049.65     | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 03/01/2051#QC0151                                                                      | CUSIP: 3133AJEY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     892620 | PA      | $727172.93     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 08/01/2054#DC1075                                                                      | CUSIP: 3140ANFR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     999900 | PA      | $1024349.54    | 0.00%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 05/01/2055#QY3404                                                                      | CUSIP: 31426MYA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77161 | PA      | $79186.36      | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 11/01/2054#FS9862                                                                      | CUSIP: 3140XR5Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147130 | PA      | $150876.65     | 0.00%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6% 06/01/2055#QY8695                                                                      | CUSIP: 31426TUV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5024150 | PA      | $5143073.63    | 0.01%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 07/01/2055#MA5761                                                                      | CUSIP: 31418FMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24063 | PA      | $24636.37      | 0.00%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 11/01/2051#BU6503                                                                      | CUSIP: 3140M8GM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20930 | PA      | $17161.81      | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6% 06/01/2055#QY8593                                                                      | CUSIP: 31426TRP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      84703 | PA      | $86959.34      | 0.00%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 01/01/2055#DC9987                                                                      | CUSIP: 3140AYCZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8775168 | PA      | $8983290.35    | 0.01%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 07/01/2055#RQ0028                                                                      | CUSIP: 3142J6A60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28837063 | PA      | $29524152.57   | 0.04%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2055#DD8418                                                                    | CUSIP: 3140B9K81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3370910 | PA      | $3414743.24    | 0.01%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 05/01/2055#QY3770                                                                      | CUSIP: 31426NFL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1820456 | PA      | $1867870.29    | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 06/01/2055#QY6174                                                                      | CUSIP: 31426Q2G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2797201 | PA      | $2863411.66    | 0.00%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 05/01/2055#QY3449                                                                      | CUSIP: 31426MZP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4759589 | PA      | $4879054.66    | 0.01%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6% 04/01/2055#QY1233                                                                      | CUSIP: 31426KLP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1118819 | PA      | $1145302.35    | 0.00%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 06/01/2055#DE2033                                                                      | CUSIP: 3140BEHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1058252 | PA      | $1083466.29    | 0.00%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6% 04/01/2055#QY0860                                                                      | CUSIP: 31426J5W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1107539 | PA      | $1133754.78    | 0.00%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6% 11/01/2054#RJ3596                                                                      | CUSIP: 3142GT7J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2795763 | PA      | $2864124.20    | 0.00%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 05/01/2055#DD7081                                                                      | CUSIP: 3140B72P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     824870 | PA      | $844394.70     | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 03/01/2052#QD8711                                                                      | CUSIP: 3133B6VC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3026394 | PA      | $2465452.27    | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 08/01/2055#MA5791                                                                      | CUSIP: 31418FNH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13215268 | PA      | $13195470.67   | 0.02%             | 2055-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 02/01/2051#QB8422                                                                      | CUSIP: 3133AFLB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1949519 | PA      | $1588175.98    | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 02/01/2051#BR2689                                                                      | CUSIP: 3140L07B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2848308 | PA      | $2320374.75    | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2050#RA3952                                                                      | CUSIP: 3133KKL98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2947552 | PA      | $2401223.45    | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 01/01/2051#CA8587                                                                      | CUSIP: 3140QGRH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78563 | PA      | $64000.98      | 0.00%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2051#CB0006                                                                    | CUSIP: 3140QKAG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37605 | PA      | $32028.33      | 0.00%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 07/01/2052#FS7057                                                                    | CUSIP: 3140XNZX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47607 | PA      | $40547.29      | 0.00%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 11/01/2051#RA6290                                                                    | CUSIP: 3133KM7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     905415 | PA      | $771146.96     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 09/01/2051#BT4709                                                                    | CUSIP: 3140LTGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63974 | PA      | $54827.19      | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 09/01/2050#BQ1844                                                                    | CUSIP: 3140KMBN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73428 | PA      | $62814.17      | 0.00%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 07/01/2055#QY7786                                                                      | CUSIP: 31426SUL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12786566 | PA      | $13092225.41   | 0.02%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 07/01/2055#QY7743                                                                      | CUSIP: 31426SS91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     546074 | PA      | $559084.91     | 0.00%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 08/01/2055#MA5793                                                                      | CUSIP: 31418FNK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152910 | PA      | $156565.59     | 0.00%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 5.615%/VAR 07/23/2036                                                         | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    6400000 | PA      | $6695923.20    | 0.01%             | 2036-07-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY PRIVATE BANK NA                                                  | MORGAN STANLEY PRIVATE BANK NA 4.734%/VAR 07/18/2031                                                | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7120054.34    | 0.01%             | 2031-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NA                                                  | MORGAN STANLEY PRIVATE BANK NA 4.466%/VAR 07/06/2028                                                | CUSIP: 61776NVE0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $20122834.80   | 0.03%             | 2028-07-06      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                  | PNC FINANCIAL SERVICES GRP INC 5.373%/VAR 07/21/2036                                                | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    8100000 | PA      | $8391030.57    | 0.01%             | 2036-07-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 03/01/2037#BV4648                                                                    | CUSIP: 3140MJEW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286117 | PA      | $258097.88     | 0.00%             | 2037-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 12/01/2036#CB2946                                                                    | CUSIP: 3140QNHY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     336140 | PA      | $303012.41     | 0.00%             | 2036-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 06/20/2055#MB0424                                                                      | CUSIP: 3618N5PJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   90487231 | PA      | $91472049.14   | 0.13%             | 2055-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 05/20/2055#MB0366                                                                      | CUSIP: 3618N5MQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19496988 | PA      | $19709182.98   | 0.03%             | 2055-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                             | AMERICAN EXPRESS CO 4.351%/VAR 07/20/2029                                                           | CUSIP: 025816EJ4<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $20163545.20   | 0.03%             | 2029-07-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TRAVELERS COS INC                                                               | TRAVELERS COS INC 5.7% 07/24/2055                                                                   | CUSIP: 89417EAU3<br>LEI: 549300Y650407RU8B149 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2078467.58    | 0.00%             | 2055-07-24      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                     | PEPSICO INC 5% 07/23/2035                                                                           | CUSIP: 713448GK8<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |   11370000 | PA      | $11721932.31   | 0.02%             | 2035-07-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| DEERE JOHN CAPITAL CORP                                                         | DEERE JOHN CAPITAL CORP 4.375% 10/15/2030                                                           | CUSIP: 24422EYF0<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   17000000 | PA      | $17228910.61   | 0.03%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                             | AMERICAN EXPRESS CO 4.918%/VAR 07/20/2033                                                           | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2048834.08    | 0.00%             | 2033-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                                                     | TRUIST BANK 4.42%/VAR 07/24/2028                                                                    | CUSIP: 89788JAF6<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $13062707.32   | 0.02%             | 2028-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GE AEROSPACE                                                                    | GE AEROSPACE 4.9% 01/29/2036                                                                        | CUSIP: 369604CA9<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9234968.58    | 0.01%             | 2036-01-29      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| LOCKHEED MARTIN CORP                                                            | LOCKHEED MARTIN CORP 5% 08/15/2035                                                                  | CUSIP: 539830CM9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2567572.93    | 0.00%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 07/31/2030                                                                         | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  131550000 | PA      | $133122432.94  | 0.20%             | 2030-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 07/31/2032                                                                             | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  127700000 | PA      | $129440909.84  | 0.19%             | 2032-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                            | ROYAL BANK OF CANADA 4.696%/VAR 08/06/2031                                                          | CUSIP: 78017DAM0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    3800000 | PA      | $3861811.67    | 0.01%             | 2031-08-06      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                  | DEUTSCHE BANK AG NEW YORK BNCH 4.95%/VAR 08/04/2031                                                 | CUSIP: 251526DB2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2028999.98    | 0.00%             | 2031-08-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 5% 07/01/2040#MA5771                                                                      | CUSIP: 31418FMV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1826663 | PA      | $1847930.12    | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.75% 08/15/2055                                                        | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   57280000 | PA      | $57996000.00   | 0.09%             | 2055-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.25% 08/15/2035                                                                          | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  159450000 | PA      | $162539343.75  | 0.24%             | 2035-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.625% 08/15/2028                                                                         | CUSIP: 91282CNU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  344440000 | PA      | $345624012.50  | 0.51%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 08/01/2055#RJ4682                                                                      | CUSIP: 3142GVFY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9663809 | PA      | $9712750.15    | 0.01%             | 2055-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2055#CB9944                                                                    | CUSIP: 3140QWBN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27871635 | PA      | $27522445.44   | 0.04%             | 2055-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 01/01/2056 #TBA                                                                          | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   61525000 | PA      | $61390414.06   | 0.09%             | 2056-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 01/01/2056 #TBA                                                                        | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   99125000 | PA      | $100042679.43  | 0.15%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 01/01/2056 #TBA                                                                          | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26125000 | PA      | $26630150.39   | 0.04%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 01/01/2056 #TBA                                                                          | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -28550000 | PA      | $-29102039.95  | -0.04%            | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.5% 01/01/2056 #TBA                                                                        | CUSIP: 21H062610<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31650000 | PA      | $32561175.02   | 0.05%             | 2056-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 3.5% 01/01/2056 #TBA                                                                      | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    9475000 | PA      | $8762154.06    | 0.01%             | 2056-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                      | FISERV INC 4.55% 02/15/2031                                                                         | CUSIP: 337738BP2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    1450000 | PA      | $1439187.51    | 0.00%             | 2031-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS INC                                                          | CHUBB INA HOLDINGS INC 4.9% 08/15/2035                                                              | CUSIP: 171239AM8<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $7790603.90    | 0.01%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KENTUCKY UTILITIES CO                                                           | KENTUCKY UTILITIES CO 5.85% 08/15/2055                                                              | CUSIP: 491674BP1<br>LEI: AGX0G2MXE54NFNNICD28 | Long             | DBT              | CORP              | US        |    3470000 | PA      | $3576024.57    | 0.01%             | 2055-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 4.476%/VAR 11/11/2029                                                                  | CUSIP: 06738EDD4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    4800000 | PA      | $4828374.19    | 0.01%             | 2029-11-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| LOUISVILLE GAS and ELECTRIC CO                                                  | LOUISVILLE GAS and ELECTRIC CO 5.85% 08/15/2055                                                     | CUSIP: 546676BA4<br>LEI: KO3GRIB3RPH1XDX50U72 | Long             | DBT              | CORP              | US        |    1970000 | PA      | $2023514.85    | 0.00%             | 2055-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 5.86%/VAR 08/11/2046                                                                   | CUSIP: 06738EDE2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $2076940.30    | 0.00%             | 2046-08-11      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                             | DOMINION ENERGY INC 6.2%/VAR 02/15/2056                                                             | CUSIP: 25746UEA3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    4560000 | PA      | $4605110.76    | 0.01%             | 2056-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                             | DOMINION ENERGY INC 6%/VAR 02/15/2056                                                               | CUSIP: 25746UDZ9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    4970000 | PA      | $5028549.78    | 0.01%             | 2056-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                        | MSCI INC 5.25% 09/01/2035                                                                           | CUSIP: 55354GAR1<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    4620000 | PA      | $4671653.54    | 0.01%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                | KILROY REALTY LP 5.875% 10/15/2035                                                                  | CUSIP: 49427RAT9<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    2018000 | PA      | $2047125.94    | 0.00%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                                               | HEALTHPEAK OP LLC 4.75% 01/15/2033                                                                  | CUSIP: 42250GAB9<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    1750000 | PA      | $1748636.37    | 0.00%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CNA FINANCIAL CORP                                                              | CNA FINANCIAL CORP 5.2% 08/15/2035                                                                  | CUSIP: 126117AZ3<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1414072.67    | 0.00%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                                      | TENNESSEE VALLEY AUTHORITY 3.875% 08/01/2030                                                        | CUSIP: 880591FE7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |    6000000 | PA      | $6049580.34    | 0.01%             | 2030-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 4.95% 10/15/2032                                                                          | CUSIP: 682680DB6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4027815.60    | 0.01%             | 2032-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| EXTRA SPACE STORAGE LP                                                          | EXTRA SPACE STORAGE LP 4.95% 01/15/2033                                                             | CUSIP: 30225VAV9<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1518108.06    | 0.00%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                          | ROPER TECHNOLOGIES INC 5.1% 09/15/2035                                                              | CUSIP: 776696AM8<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |    2080000 | PA      | $2111155.76    | 0.00%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                            | VERISK ANALYTICS INC 4.5% 08/15/2030                                                                | CUSIP: 92345YAM8<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |    3660000 | PA      | $3689645.34    | 0.01%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                            | VERISK ANALYTICS INC 5.125% 02/15/2036                                                              | CUSIP: 92345YAN6<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |    4030000 | PA      | $4087729.95    | 0.01%             | 2036-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| MPLX LP                                                                         | MPLX LP 5.4% 09/15/2035                                                                             | CUSIP: 55336VCC2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   10670000 | PA      | $10797656.52   | 0.02%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 4.8% 02/15/2031                                                                             | CUSIP: 55336VCA6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    5120000 | PA      | $5185495.76    | 0.01%             | 2031-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| APOLLO GLOBAL MANAGEMENT, INC                                                   | APOLLO GLOBAL MANAGEMENT INC 5.15% 08/12/2035                                                       | CUSIP: 03769MAE6<br>LEI: 254900LMFT1CY9IYB476 | Long             | DBT              | CORP              | US        |   11300000 | PA      | $11322730.97   | 0.02%             | 2035-08-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| SOUTH BOW USA INFRASTRUCTURE HOLDINGS LLC                                       | SOUTH BOW USA INFRASTRUCTURE HOLDINGS LLC 5.026% 10/01/2029                                         | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    2620000 | PA      | $2659646.31    | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2052#CB2856                                                                    | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     759115 | PA      | $658403.74     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC AND GAS CO                                              | PUBLIC SERVICE ELECTRIC AND GAS CO 4.9% 08/15/2035                                                  | CUSIP: 74456QCW4<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    4260000 | PA      | $4321572.25    | 0.01%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRASTRUCTURE HOLDINGS LLC                                       | SOUTH BOW USA INFRASTRUCTURE HOLDINGS LLC 5.584% 10/01/2034                                         | CUSIP: 83007CAF9<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    2320000 | PA      | $2348252.61    | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRASTRUCTURE HOLDINGS LLC                                       | SOUTH BOW USA INFRASTRUCTURE HOLDINGS LLC 6.176% 10/01/2054                                         | CUSIP: 83007CAH5<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    2320000 | PA      | $2257290.91    | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 5.45% 09/15/2035                                                                    | CUSIP: 126650EK2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   12300000 | PA      | $12696167.75   | 0.02%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 6.2% 09/15/2055                                                                     | CUSIP: 126650EL0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    2040000 | PA      | $2113599.73    | 0.00%             | 2055-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| ZOETIS INC                                                                      | ZOETIS INC 5% 08/17/2035                                                                            | CUSIP: 98978VAX1<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    7600000 | PA      | $7732890.41    | 0.01%             | 2035-08-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| CATERPILLAR FINL SVCS CORP                                                      | CATERPILLAR FINL SVCS CORP 4.1% 08/15/2028                                                          | CUSIP: 14913UBB5<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10069736.90   | 0.01%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HF SINCLAIR CORP                                                                | HF SINCLAIR CORP 5.5% 09/01/2032                                                                    | CUSIP: 403949AT7<br>LEI: 2549009G116AM01XHN24 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4905226.37    | 0.01%             | 2032-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS METRO                                                             | EVERGY KANSAS METRO 5.125% 08/15/2035                                                               | CUSIP: 30037DAE5<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1627521.50    | 0.00%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERICA                                                       | PACKAGING CORP OF AMERICA 5.2% 08/15/2035                                                           | CUSIP: 695156AY5<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5124587.20    | 0.01%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6% 02/01/2055#QX6724                                                                      | CUSIP: 31426CPJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1999800 | PA      | $2051979.54    | 0.00%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 08/01/2055#DC4789                                                                      | CUSIP: 3140ASKB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173682 | PA      | $177833.48     | 0.00%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 06/01/2055#MA5734                                                                      | CUSIP: 31418FLQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4948872 | PA      | $4941458.45    | 0.01%             | 2055-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 11/01/2054#DC7013                                                                    | CUSIP: 3140AUYK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1045041 | PA      | $1062549.07    | 0.00%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2055#MA5735                                                                    | CUSIP: 31418FLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30878510 | PA      | $31280038.47   | 0.05%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE CO                                                       | ARIZONA PUBLIC SERVICE CO 5.9% 08/15/2055                                                           | CUSIP: 040555DJ0<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3084273.75    | 0.00%             | 2055-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                         | SIMON PROPERTY GROUP LP 5.125% 10/01/2035                                                           | CUSIP: 828807EA1<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4692098.49    | 0.01%             | 2035-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                       | INVITATION HOMES OPERATING PARTNERSHIP LP 4.95% 01/15/2033                                          | CUSIP: 46188BAH5<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2327876.69    | 0.00%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 05/01/2055#RJ4737                                                                      | CUSIP: 3142GVHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1999800 | PA      | $2047136.32    | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GLP CAP LP / GLP FING II INC                                                    | GLP CAP LP / GLP FING II INC 5.25% 02/15/2033                                                       | CUSIP: 361841AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5400000 | PA      | $5420557.80    | 0.01%             | 2033-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-B41 MTG TR                                                       | BENCHMARK 2025-B41 MTG TR 5.40721% 07/15/2068                                                       | CUSIP: 081935AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $3145219.80    | 0.00%             | 2068-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 04/01/2051#FM6824                                                                      | CUSIP: 3140XASN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1787250 | PA      | $1455983.97    | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.875% 08/15/2045                                                       | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  119030000 | PA      | $122749687.50  | 0.18%             | 2045-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 5% 09/01/2040#MA5829                                                                      | CUSIP: 31418FPP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4844593 | PA      | $4900997.53    | 0.01%             | 2040-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 5% 07/01/2040#SB1550                                                                      | CUSIP: 3132CXWK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     968601 | PA      | $979877.63     | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 5% 08/01/2040#DE8061                                                                      | CUSIP: 3140BL5X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43102 | PA      | $43603.87      | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 5% 09/01/2040#RR0025                                                                      | CUSIP: 3142JCA34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5625827 | PA      | $5691326.69    | 0.01%             | 2040-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 5% 07/01/2040#RR0009                                                                      | CUSIP: 3142JCAK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     562715 | PA      | $569266.27     | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 5% 02/01/2040#SB8363                                                                      | CUSIP: 3132D6JG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     443491 | PA      | $448654.81     | 0.00%             | 2040-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 5% 06/01/2040#RR0002                                                                      | CUSIP: 3142JCAC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     930559 | PA      | $941392.85     | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELI LILLY and CO                                                                | ELI LILLY and CO 4% 10/15/2028                                                                      | CUSIP: 532457DB1<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10067839.10   | 0.01%             | 2028-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELI LILLY and CO                                                                | ELI LILLY and CO 4.9% 10/15/2035                                                                    | CUSIP: 532457DE5<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |   14500000 | PA      | $14899776.60   | 0.02%             | 2035-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.85% 12/01/2035    | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2380000 | PA      | $2385410.53    | 0.00%             | 2035-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC/MD                                                   | MARRIOTT INTERNATIONAL INC/MD 4.2% 07/15/2027                                                       | CUSIP: 571903BV4<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4011310.16    | 0.01%             | 2027-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| MARRIOTT INTERNATIONAL INC/MD                                                   | MARRIOTT INTERNATIONAL INC/MD 5.25% 10/15/2035                                                      | CUSIP: 571903BX0<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4079746.40    | 0.01%             | 2035-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| MCDONALDS CORP                                                                  | MCDONALDS CORP 4.4% 02/12/2031                                                                      | CUSIP: 58013MGB4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    7600000 | PA      | $7670021.76    | 0.01%             | 2031-02-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 02/20/2055#MB0202                                                                        | CUSIP: 3618N5GL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19252685 | PA      | $18274417.57   | 0.03%             | 2055-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 08/31/2032                                                                         | CUSIP: 91282CNW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   42920000 | PA      | $43173161.04   | 0.06%             | 2032-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.625% 08/31/2030                                                                         | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  110240000 | PA      | $110351961.95  | 0.16%             | 2030-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QUEBEC PROVINCE CDA                                                             | QUEBEC PROVINCE CDA 4.625% 08/28/2035                                                               | CUSIP: 748148SG9<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    8000000 | PA      | $8160763.12    | 0.01%             | 2035-08-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| APA CORP                                                                        | APA CORP 6.1% 02/15/2035                                                                            | CUSIP: 03743QAR9<br>LEI: 549300VCIWLRHYVSHC79 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $6391577.02    | 0.01%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AMERICA INC                                               | AMCOR FLEXIBLES NORTH AMERICA INC 5.5% 03/17/2035                                                   | CUSIP: 02344AAH1<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    1870000 | PA      | $1939229.21    | 0.00%             | 2035-03-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | MITSUBISHI UFJ FIN GRP INC 5.188%/VAR 09/12/2036                                                    | CUSIP: 606822DQ4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    5600000 | PA      | $5747564.31    | 0.01%             | 2036-09-12      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 02/01/2056 #TBA                                                                          | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28550000 | PA      | $29081966.44   | 0.04%             | 2056-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MERCK and CO INC                                                                | MERCK and CO INC 3.85% 09/15/2027                                                                   | CUSIP: 58933YBP9<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   15230000 | PA      | $15272761.27   | 0.02%             | 2027-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MERCK and CO INC                                                                | MERCK and CO INC 5.7% 09/15/2055                                                                    | CUSIP: 58933YBT1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $3004568.58    | 0.00%             | 2055-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                              | CANADIAN IMPERIAL BK OF COMM 4.243%/VAR 09/08/2028                                                  | CUSIP: 13607QFD9<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    4000000 | PA      | $4009887.20    | 0.01%             | 2028-09-08      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                        | BHP BILLITON FIN USA LTD 5.75% 09/05/2055                                                           | CUSIP: 055451BM9<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |    2800000 | PA      | $2919026.66    | 0.00%             | 2055-09-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                               | CIGNA GROUP (THE) 4.5% 09/15/2030                                                                   | CUSIP: 125523CX6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    3690000 | PA      | $3718297.43    | 0.01%             | 2030-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                               | ARES CAPITAL CORP 5.1% 01/15/2031                                                                   | CUSIP: 04010LBL6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2471053.85    | 0.00%             | 2031-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                               | CIGNA GROUP (THE) 6% 01/15/2056                                                                     | CUSIP: 125523DA5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    4750000 | PA      | $4955714.90    | 0.01%             | 2056-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                        | TOYOTA MOTOR CREDIT CORP 4.65% 09/03/2032                                                           | CUSIP: 89236TNT8<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2535754.40    | 0.00%             | 2032-09-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORP                                                     | AMERICAN HONDA FINANCE CORP 4.25% 09/01/2028                                                        | CUSIP: 02665WGK1<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4524224.63    | 0.01%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 5.741%/VAR 09/10/2036                                                             | CUSIP: 404280FB0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $2065164.00    | 0.00%             | 2036-09-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL POWR and LIGHT CO                                                | JERSEY CENTRAL POWR and LIGHT CO 4.4% 01/15/2031 144A                                               | CUSIP: 476556DG7<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $997519.96     | 0.00%             | 2031-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                              | ROYALTY PHARMA PLC 4.45% 03/25/2031                                                                 | CUSIP: 78081BAT0<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    9600000 | PA      | $9581011.01    | 0.01%             | 2031-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                              | ROYALTY PHARMA PLC 5.2% 09/25/2035                                                                  | CUSIP: 78081BAU7<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    1920000 | PA      | $1941030.41    | 0.00%             | 2035-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY COMPANY                                                             | PECO ENERGY COMPANY 4.875% 09/15/2035                                                               | CUSIP: 693304BH9<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4767926.84    | 0.01%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| PECO ENERGY COMPANY                                                             | PECO ENERGY COMPANY 5.65% 09/15/2055                                                                | CUSIP: 693304BJ5<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    6900000 | PA      | $7045230.23    | 0.01%             | 2055-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO                                                                 | DOW CHEMICAL CO 5.65% 03/15/2036                                                                    | CUSIP: 260543DP5<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4117641.07    | 0.01%             | 2036-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| PLAINS ALL AM PIPELN/PAA FIN C                                                  | PLAINS ALL AM PIPELN/PAA FIN C 5.6% 01/15/2036                                                      | CUSIP: 72650RBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6675000 | PA      | $6782121.67    | 0.01%             | 2036-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                  | BLACKSTONE PRIVATE CREDIT FUND 5.05% 09/10/2030                                                     | CUSIP: 09261HBY2<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2563154.78    | 0.00%             | 2030-09-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL CORP                                                    | SOUTHERN CO GAS CAP 4.05% 09/15/2028                                                                | CUSIP: 8426EPAJ7<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2901837.59    | 0.00%             | 2028-09-15      | 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 25-K761 A2 4.4% 06/25/2032                                           | CUSIP: 3137HN4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23750000 | PA      | $24092999.88   | 0.04%             | 2032-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.503%/VAR 09/11/2031                                                                 | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $15105196.80   | 0.02%             | 2031-09-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: —       |
| HPS CORPORATE LENDING FUND                                                      | HPS CORPORATE LENDING FUND 5.45% 11/15/2030 144A                                                    | CUSIP: 40440VAS4<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    3330000 | PA      | $3310631.09    | 0.00%             | 2030-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                | BRIXMOR OPERATING PARTNERSHIP LP 4.85% 02/15/2033                                                   | CUSIP: 11120VAP8<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1003214.39    | 0.00%             | 2033-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.375% 09/15/2028                                                                         | CUSIP: 91282CNY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  304820000 | PA      | $303867437.50  | 0.45%             | 2028-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2025-5C37                                                          | BBCMS MTG TR 2025-5C37 5.015% 09/15/2058                                                            | CUSIP: 05494NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23500000 | PA      | $24130394.55   | 0.04%             | 2058-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 05/20/2055#MB0367                                                                        | CUSIP: 3618N5MR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27234069 | PA      | $27770196.00   | 0.04%             | 2055-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 08/01/2055#CC0868                                                                      | CUSIP: 3140Y66E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35646774 | PA      | $37128289.15   | 0.05%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 05/01/2055#CC0405                                                                      | CUSIP: 3140Y6NX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28620151 | PA      | $29762679.04   | 0.04%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 4.892%/VAR 09/15/2036                                                        | CUSIP: 95000U4B6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3025778.88    | 0.00%             | 2036-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: —       |
| HOME DEPOT INC                                                                  | HOME DEPOT INC 3.75% 09/15/2028                                                                     | CUSIP: 437076DH2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   16000000 | PA      | $15996315.52   | 0.02%             | 2028-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 4.493%/VAR 09/11/2031                                                          | CUSIP: 14040HDM4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4996805.45    | 0.01%             | 2031-09-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 5.197%/VAR 09/11/2036                                                          | CUSIP: 14040HDN2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $7187297.83    | 0.01%             | 2036-09-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                           | UBER TECHNOLOGIES INC 4.15% 01/15/2031                                                              | CUSIP: 90353TAT7<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    6600000 | PA      | $6571086.06    | 0.01%             | 2031-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                           | UBER TECHNOLOGIES INC 4.8% 09/15/2035                                                               | CUSIP: 90353TAU4<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    5240000 | PA      | $5237622.09    | 0.01%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                                      | ARES STRATEGIC INCOME FUND 4.85% 01/15/2029 144A                                                    | CUSIP: 04020EAP2<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2566859.52    | 0.00%             | 2029-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUGET SOUND ENERGY INC                                                          | PUGET SOUND ENERGY INC 5.598% 09/15/2055                                                            | CUSIP: 745332CP9<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4374249.40    | 0.01%             | 2055-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                            | DUKE ENERGY CORP NEW 4.95% 09/15/2035                                                               | CUSIP: 26441CCJ2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    5400000 | PA      | $5397406.70    | 0.01%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                            | DUKE ENERGY CORP NEW 5.7% 09/15/2055                                                                | CUSIP: 26441CCK9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2694474.26    | 0.00%             | 2055-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                             | ELEVANCE HEALTH INC 5.7% 09/15/2055                                                                 | CUSIP: 036752BL6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    5300000 | PA      | $5263623.93    | 0.01%             | 2055-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| HEWLETT PACKARD ENTERPRISE CO                                                   | HEWLETT PACKARD ENTERPRISE CO 4.4% 10/15/2030                                                       | CUSIP: 42824CCA5<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $13965463.68   | 0.02%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                  | VIRGINIA ELECTRIC AND POWER CO 4.9% 09/15/2035                                                      | CUSIP: 927804GV0<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9017607.51    | 0.01%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                  | VIRGINIA ELECTRIC AND POWER CO 5.6% 09/15/2055                                                      | CUSIP: 927804GW8<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     620000 | PA      | $616971.21     | 0.00%             | 2055-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                         | BANK OF NOVA SCOTIA 4.338%/VAR 09/15/2031                                                           | CUSIP: 06418GAW7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   11600000 | PA      | $11584382.46   | 0.02%             | 2031-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT VAR 05/25/2030                                                       | CUSIP: 3137HN4R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9000000 | PA      | $9149635.80    | 0.01%             | 2030-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                                   | DTE ENERGY CO 5.05% 10/01/2035                                                                      | CUSIP: 233331BP1<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3009579.93    | 0.00%             | 2035-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RAYMOND JAMES FINANCIAL INC.                                                    | RAYMOND JAMES FINANCIAL INC 4.9% 09/11/2035                                                         | CUSIP: 754730AJ8<br>LEI: RGUZHJ05YTITL6D76949 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2290971.76    | 0.00%             | 2035-09-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RAYMOND JAMES FINANCIAL INC.                                                    | RAYMOND JAMES FINANCIAL INC 5.65% 09/11/2055                                                        | CUSIP: 754730AK5<br>LEI: RGUZHJ05YTITL6D76949 | Long             | DBT              | CORP              | US        |    4050000 | PA      | $4010032.33    | 0.01%             | 2055-09-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                                                    | KREDITANSTALT FUR WIEDER(UNGTD 3.5% 08/09/2028                                                      | CUSIP: 500769KM5<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |   49800000 | PA      | $49800790.33   | 0.07%             | 2028-08-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 06/01/2055#RJ4978                                                                      | CUSIP: 3142GVQ87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     287923 | PA      | $294783.14     | 0.00%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 10/01/2055#RQ0057                                                                      | CUSIP: 3142J6B36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14816660 | PA      | $15176636.62   | 0.02%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 04/01/2055#DC4771                                                                    | CUSIP: 3140ASJR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2288785 | PA      | $2318547.34    | 0.00%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 07/01/2055#QY7465                                                                    | CUSIP: 31426SJK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1968127 | PA      | $1995749.73    | 0.00%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 02/01/2055#DD1945                                                                    | CUSIP: 3140B2ET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2134006 | PA      | $2161755.67    | 0.00%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 07/01/2055#DE4692                                                                    | CUSIP: 3140BHGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2213193 | PA      | $2241972.56    | 0.00%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 5.5% 02/01/2055#DD1746                                                               | CUSIP: 3140B15G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2071435 | PA      | $2118438.29    | 0.00%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 06/01/2055#QY5642                                                                    | CUSIP: 31426QHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     444659 | PA      | $450440.82     | 0.00%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 5.5% 03/01/2055#QX7719                                                                    | CUSIP: 31426DSH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1807003 | PA      | $1831855.43    | 0.00%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 10/01/2054#QJ7754                                                                    | CUSIP: 3133CYTK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     248013 | PA      | $252090.95     | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 02/01/2055#DC9025                                                                    | CUSIP: 3140AXA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     247613 | PA      | $250833.09     | 0.00%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 12/01/2054#QX0555                                                                    | CUSIP: 31425UTM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     239063 | PA      | $243815.07     | 0.00%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LN MTG CORP MTN                                                        | FHLMC 30YR 5.5% 01/01/2055#QX3506                                                                   | CUSIP: 31425X3Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     247958 | PA      | $251182.15     | 0.00%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 05/01/2055#QY4348                                                                    | CUSIP: 31426NZN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2143321 | PA      | $2171191.33    | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 01/01/2055#QX5183                                                                    | CUSIP: 31426AXM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     252608 | PA      | $256603.69     | 0.00%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6% 01/01/2055#QX3994                                                                      | CUSIP: 31425YNL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1999801 | PA      | $2046824.12    | 0.00%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 09/01/2054#DC1573                                                                      | CUSIP: 3140ANXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37202 | PA      | $37181.59      | 0.00%             | 2054-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 10/01/2055#MA5854                                                                      | CUSIP: 31418FQG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6088527 | PA      | $6236925.47    | 0.01%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 04/01/2055#SD8526                                                                    | CUSIP: 3132DWPK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21054813 | PA      | $21787813.65   | 0.03%             | 2055-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 07/01/2055#MA5762                                                                    | CUSIP: 31418FML8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151019 | PA      | $156359.02     | 0.00%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 07/01/2054#QJ0152                                                                    | CUSIP: 3133CQEZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67348 | PA      | $69953.83      | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 09/01/2055#RQ0051                                                                    | CUSIP: 3142J6BV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31041 | PA      | $32147.91      | 0.00%             | 2055-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 08/01/2054#QJ2143                                                                    | CUSIP: 3133CSLY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     880828 | PA      | $914914.36     | 0.00%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 08/01/2054#QJ2139                                                                    | CUSIP: 3133CSLU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     964272 | PA      | $1000388.13    | 0.00%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 08/01/2055#RQ0042                                                                    | CUSIP: 3142J6BL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30604 | PA      | $31691.08      | 0.00%             | 2055-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 07/01/2055#DE3184                                                                    | CUSIP: 3140BFRE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95106 | PA      | $98938.21      | 0.00%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 09/01/2055#MA5824                                                                    | CUSIP: 31418FPJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96059 | PA      | $99485.98      | 0.00%             | 2055-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 04/01/2055#DD4960                                                                    | CUSIP: 3140B5QN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128403 | PA      | $132873.14     | 0.00%             | 2055-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 12/01/2054#QX0506                                                                    | CUSIP: 31425UR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7264098 | PA      | $7532879.87    | 0.01%             | 2054-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6.5% 03/01/2055#QX8774                                                                    | CUSIP: 31426FXC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8431973 | PA      | $8750423.60    | 0.01%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 08/01/2051#BQ6530                                                                      | CUSIP: 3140KSHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57625 | PA      | $47268.34      | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 3.5% 02/01/2055#QX6583                                                                    | CUSIP: 31426CJ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     613754 | PA      | $567995.29     | 0.00%             | 2055-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2052#QE6055                                                                    | CUSIP: 3133BFWQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62979 | PA      | $58283.43      | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 10/01/2055#MA5855                                                                    | CUSIP: 31418FQH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47725 | PA      | $49450.07      | 0.00%             | 2055-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 09/01/2055#QZ3061                                                                    | CUSIP: 31427AMK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     460632 | PA      | $477064.66     | 0.00%             | 2055-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2052#QD9253                                                                    | CUSIP: 3133B7H68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     220653 | PA      | $204202.33     | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2052#QE3878                                                                    | CUSIP: 3133BDJX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     218795 | PA      | $202482.89     | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 10/01/2051#BU2299                                                                      | CUSIP: 3140M3RV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54169 | PA      | $44416.83      | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2051#CB2103                                                                    | CUSIP: 3140QMKR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     600767 | PA      | $555976.36     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 01/01/2052#QD4840                                                                    | CUSIP: 3133B2LV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     434909 | PA      | $370414.61     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 06/01/2055#DE1166                                                                    | CUSIP: 3140BDJL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3594602 | PA      | $3733223.54    | 0.01%             | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 10/01/2055#                                                                          | CUSIP: 3142J6B44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80752 | PA      | $83771.52      | 0.00%             | 2055-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 03/01/2051#QB9135                                                                      | CUSIP: 3133AGEG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     834256 | PA      | $679626.51     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 09/01/2055#DF0381                                                                    | CUSIP: 3140BQM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1910802 | PA      | $2000612.15    | 0.00%             | 2055-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 08/01/2055#DE3965                                                                      | CUSIP: 3140BGMP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2238539 | PA      | $2292051.07    | 0.00%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2055#MA5852                                                                      | CUSIP: 31418FQE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56871 | PA      | $56785.40      | 0.00%             | 2055-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P3                                          | CARVANA AUTO RECEIVABLES TR 2025-P3 A3 4.04% 11/11/2030                                             | CUSIP: 14688AAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6725000 | PA      | $6723593.80    | 0.01%             | 2030-11-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2055#                                                                            | CUSIP: 3142J6BX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     504207 | PA      | $480524.80     | 0.00%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2055#                                                                            | CUSIP: 31418FQC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9949635 | PA      | $9482315.38    | 0.01%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2055#DE6362                                                                      | CUSIP: 3140BKB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1932969 | PA      | $1842180.70    | 0.00%             | 2055-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL QUE                                                            | BANK OF MONTREAL QUE 4.35%/VAR 09/22/2031                                                           | CUSIP: 06368MXV1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    8000000 | PA      | $8012721.36    | 0.01%             | 2031-09-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                 | SANTANDER UK GROUP HOLDINGS PLC 5.136%/VAR 09/22/2036                                               | CUSIP: 80281LAY1<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    3500000 | PA      | $3499251.84    | 0.01%             | 2036-09-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                 | SANTANDER UK GROUP HOLDINGS PLC 4.32%/VAR 09/22/2029                                                | CUSIP: 80281LAX3<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    1800000 | PA      | $1801983.19    | 0.00%             | 2029-09-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                                                               | SOUTHERN POWER CO 4.9% 10/01/2035                                                                   | CUSIP: 843646AY6<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |    4317000 | PA      | $4289970.40    | 0.01%             | 2035-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| MEXICO UNITED MEXICAN STATES                                                    | MEXICO UNITED MEXICAN STATES 4.75% 03/22/2031                                                       | CUSIP: 91087BBJ8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   29000000 | PA      | $28666500.00   | 0.04%             | 2031-03-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 08/01/2042#FA2487                                                                      | CUSIP: 3140W2XR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5956735 | PA      | $5254533.89    | 0.01%             | 2042-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 5.5% 09/01/2040#RR0026                                                                    | CUSIP: 3142JCA42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12512559 | PA      | $12809375.81   | 0.02%             | 2040-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 10/01/2054#QJ7077                                                                    | CUSIP: 3133CX2J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     396978 | PA      | $403504.23     | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                                               | ATMOS ENERGY CORP 5.45% 01/15/2056                                                                  | CUSIP: 049560BE4<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    2720000 | PA      | $2687539.03    | 0.00%             | 2056-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FERGUSON ENTERPRISES INC                                                        | FERGUSON ENTERPRISES INC 4.35% 03/15/2031                                                           | CUSIP: 31488VAB3<br>LEI: 2138003JYQMRP3SLX189 | Long             | DBT              | CORP              | US        |    4730000 | PA      | $4727341.27    | 0.01%             | 2031-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING LTD                                                       | ALIBABA GROUP HOLDING LTD 4.875% 05/26/2030                                                         | CUSIP: 01609WBM3<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |    5000000 | PA      | $5175319.05    | 0.01%             | 2030-05-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 09/30/2032                                                                         | CUSIP: 91282CNZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   65890000 | PA      | $66250335.94   | 0.10%             | 2032-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 09/20/2055#MB0624                                                                        | CUSIP: 3618N5VS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     993841 | PA      | $1016821.78    | 0.00%             | 2055-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.5% 02/20/2055#MB0207                                                                      | CUSIP: 3618N5GR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     731394 | PA      | $751553.84     | 0.00%             | 2055-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 6.5% 09/20/2054#MA9908                                                                      | CUSIP: 36180AAH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     686628 | PA      | $707967.88     | 0.00%             | 2054-09-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.5% 07/20/2055#MB0487                                                                      | CUSIP: 3618N5RH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61563 | PA      | $63572.78      | 0.00%             | 2055-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 4.2% 10/15/2030                                                                        | CUSIP: 11135FCW9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   19000000 | PA      | $19068359.15   | 0.03%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 4.8% 02/15/2036                                                                        | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    6310000 | PA      | $6324834.49    | 0.01%             | 2036-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 5% 11/15/2035                             | CUSIP: 00774MBS3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    2400000 | PA      | $2385520.44    | 0.00%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                   | AEP TEXAS INC 5.85% 10/15/2055                                                                      | CUSIP: 00108WAU4<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1794091.95    | 0.00%             | 2055-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER CO INC                                                  | AMERICAN ELEC PWR CO INC 5.80%/VAR 03/15/2056                                                       | CUSIP: 02557TAE9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $5461817.35    | 0.01%             | 2056-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 01/01/2052#SL2145                                                                      | CUSIP: 31427PL36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4542415 | PA      | $3777132.13    | 0.01%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 4.421% 05/25/2030                                                    | CUSIP: 3137HN6B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10600000 | PA      | $10785754.40   | 0.02%             | 2030-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 4.45% 09/26/2030                                                                        | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   10500000 | PA      | $10346411.15   | 0.02%             | 2030-09-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| ORACLE CORP                                                                     | ORACLE CORP 5.2% 09/26/2035                                                                         | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   16000000 | PA      | $15678243.36   | 0.02%             | 2035-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 5.875% 09/26/2045                                                                       | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6600413.82    | 0.01%             | 2045-09-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 5.95% 09/26/2055                                                                        | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $5622216.06    | 0.01%             | 2055-09-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| GEORGIA POWER CO                                                                | GEORGIA POWER CO 5.5% 10/01/2055                                                                    | CUSIP: 373334LD1<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1983373.26    | 0.00%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                              | REALTY INCOME CORP 4.5% 02/01/2033                                                                  | CUSIP: 756109CX0<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $7959933.92    | 0.01%             | 2033-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC INC                                                    | THERMO FISHER SCIENTIFIC INC 4.794% 10/07/2035                                                      | CUSIP: 883556DE9<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    6300000 | PA      | $6363285.33    | 0.01%             | 2035-10-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LANDWIRTSCHAFTLICHE RENTENBANK                                                  | LANDWIRTSCHAFTLICHE RENTENBANK 3.625% 10/08/2030                                                    | CUSIP: 515110CH5<br>LEI: 529900Z3J0N6S0F7CT25 | Long             | DBT              | CORP              | DE        |   12740000 | PA      | $12726555.22   | 0.02%             | 2030-10-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 08/01/2055#RJ4643                                                                      | CUSIP: 3142GVER8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10890486 | PA      | $11343105.62   | 0.02%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TR 2025-D                                           | WORLD OMNI AUTO RECEIVABLES TR 2025-D A3 4.36% 03/17/2031                                           | CUSIP: 98165HAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5535000 | PA      | $5549055.03    | 0.01%             | 2031-03-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | COMCAST CORP 5.168% 01/15/2037 144A                                                                 | CUSIP: 20030NES6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   15087000 | PA      | $15067097.98   | 0.02%             | 2037-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.5% 10/15/2028                                                                           | CUSIP: 91282CPC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  512640000 | PA      | $512640000.00  | 0.75%             | 2028-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE LEASE TRUST 2025-2                                                  | BMW VEHICLE LEASE TRUST 2025-2 3.97% 09/25/2028                                                     | CUSIP: 05594HAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7800000 | PA      | $7808806.98    | 0.01%             | 2028-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST 2025-1                                              | ALLYA 2025-1 A3 4.13% 03/15/2030                                                                    | CUSIP: 02008KAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6090000 | PA      | $6096533.35    | 0.01%             | 2030-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 4.625% 01/15/2033                                                                  | CUSIP: 87264ADW2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    5200000 | PA      | $5205362.97    | 0.01%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 4.95% 11/15/2035                                                                   | CUSIP: 87264ADX0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2513402.05    | 0.00%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 5.7% 01/15/2056                                                                    | CUSIP: 87264ADY8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1991945.98    | 0.00%             | 2056-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CRH AMERICA FINANCE INC                                                         | CRH AMER FIN INC 5.6% 02/09/2056                                                                    | CUSIP: 12636YAK8<br>LEI: 549300WEVUODRJ4CWK56 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2105045.65    | 0.00%             | 2056-02-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                       | TORONTO DOMINION BANK 4.928% 10/15/2035                                                             | CUSIP: 89115KAJ9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    4760000 | PA      | $4807672.11    | 0.01%             | 2035-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                                                  | FORD CR FLOORPLN MAST OWN TR A 4.06% 09/15/2030                                                     | CUSIP: 34528QJU9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |    8370000 | PA      | $8399006.24    | 0.01%             | 2030-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 1.5% 02/01/2042#SC0727                                                                    | CUSIP: 3132D9YY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5981324 | PA      | $5104493.80    | 0.01%             | 2042-02-01      | 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 K548 A2 VAR 09/25/2030                                               | CUSIP: 3137HNN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8500000 | PA      | $8624061.75    | 0.01%             | 2030-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 10/01/2055#RJ5052                                                                      | CUSIP: 3142GVTJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40086802 | PA      | $41195390.14   | 0.06%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 08/01/2055#FA2732                                                                      | CUSIP: 3140W3BA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31908749 | PA      | $32963186.28   | 0.05%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 09/01/2042#FA3021                                                                    | CUSIP: 3140W3LB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3941032 | PA      | $3564568.29    | 0.01%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                           | INDONESIA REPUBLIC OF 4.9% 04/16/2036                                                               | CUSIP: 455780ED4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    6350000 | PA      | $6362700.00    | 0.01%             | 2036-04-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PEACEHEALTH OBLIGATED GROUP                                                     | PEACEHEALTH OBLIGATED GROUP 4.855% 11/15/2032                                                       | CUSIP: 70462GAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1114323.90    | 0.00%             | 2032-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PEACEHEALTH OBLIGATED GROUP                                                     | PEACEHEALTH OBLIGATED GROUP 4.335% 11/15/2028                                                       | CUSIP: 70462GAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     780000 | PA      | $784489.88     | 0.00%             | 2028-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                                                          | FEDERAL HOME LOAN BANKS 3.5% 10/04/2027                                                             | CUSIP: 3130B82L5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   13500000 | PA      | $13494679.79   | 0.02%             | 2027-10-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2025-D OWNER TRUST                                      | TOYOTA AUTO RECEIVABLES 2025-D OWNER TRUST 3.84% 06/17/2030                                         | CUSIP: 89231GAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   14000000 | PA      | $14004193.00   | 0.02%             | 2030-06-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2025-4                                                  | CARMAX AUTO OWNER TRUST 2025-4 3.97% 12/16/2030                                                     | CUSIP: 14320HAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   14000000 | PA      | $14022944.60   | 0.02%             | 2030-12-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 02/01/2055#FP0132                                                                    | CUSIP: 3140XTEE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1278927 | PA      | $1323850.85    | 0.00%             | 2055-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 03/01/2055#MA5648                                                                    | CUSIP: 31418FH26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     912240 | PA      | $943998.37     | 0.00%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 05/01/2054#DB3998                                                                    | CUSIP: 3140ADNQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4011285 | PA      | $4069149.18    | 0.01%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 06/01/2055#QY5803                                                                    | CUSIP: 31426QNV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     996466 | PA      | $1009423.07    | 0.00%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                  | FHLMC REMI 30YR 5.5% 12/01/2054#RJ3859                                                              | CUSIP: 3142GUJD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     181418 | PA      | $183776.95     | 0.00%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 07/01/2052#FA2839                                                                    | CUSIP: 3140W3EM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2095488 | PA      | $1785296.19    | 0.00%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST 2025-B                                           | MERCEDES-BENZ AUTO LEASE TRUST 2025-B 3.88% 04/16/2029                                              | CUSIP: 58770XAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13420000 | PA      | $13423196.64   | 0.02%             | 2029-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 4.939%/VAR 10/21/2036                                                 | CUSIP: 38141GD43<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $7728676.57    | 0.01%             | 2036-10-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 4.153%/VAR 10/21/2029                                                 | CUSIP: 38141GD27<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   15600000 | PA      | $15611243.39   | 0.02%             | 2029-10-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.81%/VAR 10/22/2036                                                          | CUSIP: 46647PFE1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $14077625.24   | 0.02%             | 2036-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                        | CONSTELLATION BRANDS INC 4.95% 11/01/2035                                                           | CUSIP: 21036PBT4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2382601.15    | 0.00%             | 2035-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 10/20/2055#MB0682                                                                      | CUSIP: 3618N5XL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26256935 | PA      | $24086893.43   | 0.04%             | 2055-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 06/20/2055#MB0420                                                                      | CUSIP: 3618N5PE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5860837 | PA      | $5376460.16    | 0.01%             | 2055-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                             | COMMONSPIRIT HEALTH 4.352% 09/01/2030                                                               | CUSIP: 20268JAY9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    2485000 | PA      | $2488067.11    | 0.00%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 4.892%/VAR 10/22/2036                                                                | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $13042123.90   | 0.02%             | 2036-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 4.356%/VAR 10/22/2031                                                                | CUSIP: 61748UAM4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2002154.96    | 0.00%             | 2031-10-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 4.133%/VAR 10/18/2029                                                                | CUSIP: 61748UAK8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9998928.50    | 0.01%             | 2029-10-18      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                             | COMMONSPIRIT HEALTH 5.662% 09/01/2055                                                               | CUSIP: 20268JBC6<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     406000 | PA      | $401769.06     | 0.00%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                             | COMMONSPIRIT HEALTH 4.975% 09/01/2035                                                               | CUSIP: 20268JBD4<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     776000 | PA      | $774990.74     | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 2.6% 02/15/2033                                                                        | CUSIP: 11135FCR0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    9400000 | PA      | $8356594.55    | 0.01%             | 2033-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 2.45% 02/15/2031                                                                       | CUSIP: 11135FCQ2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   28182000 | PA      | $25905972.36   | 0.04%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 3.75% 02/15/2051                                                                       | CUSIP: 11135FCS8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   17216000 | PA      | $13368374.64   | 0.02%             | 2051-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 3.419% 04/15/2033                                                                      | CUSIP: 11135FCU3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   11000000 | PA      | $10308171.83   | 0.02%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 3.469% 04/15/2034                                                                      | CUSIP: 11135FCT6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    3391000 | PA      | $3128251.96    | 0.00%             | 2034-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                             | AMERICAN EXPRESS CO 4.804%/VAR 10/24/2036                                                           | CUSIP: 025816EM7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $7959895.44    | 0.01%             | 2036-10-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: —       |
| TRUIST BANK                                                                     | TRUIST BANK 4.136%/VAR 10/23/2029                                                                   | CUSIP: 89788JAH2<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2997700.98    | 0.00%             | 2029-10-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                           | TRUIST FINANCIAL CORP 4.964%/VAR 10/23/2036                                                         | CUSIP: 89788MAV4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3482241.91    | 0.01%             | 2036-10-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                                               | STATE STREET CORP 4.784%/VAR 10/23/2036                                                             | CUSIP: 857477DE0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2006698.44    | 0.00%             | 2036-10-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 7% 01/01/2054#SD4637                                                                      | CUSIP: 3132DSEJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18644728 | PA      | $19751747.11   | 0.03%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KOREA REPUBLIC OF                                                               | KOREA REPUBLIC OF 3.625% 10/29/2030                                                                 | CUSIP: 50064FAY0<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |   12800000 | PA      | $12759060.35   | 0.02%             | 2030-10-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 07/01/2052#SL2621                                                                    | CUSIP: 31427P4F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     675000 | PA      | $575091.02     | 0.00%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAN ANTONIO TX ELEC and GAS REV                                                 | SAN ANTONIO E and G 5.469% 2/1/2045                                                                 | CUSIP: 79625GNB5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1405000 | PA      | $1428557.07    | 0.00%             | 2045-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.75% 10/31/2032                                                                          | CUSIP: 91282CPF2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  128550000 | PA      | $128248710.94  | 0.19%             | 2032-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.625% 10/31/2030                                                                         | CUSIP: 91282CPD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  147180000 | PA      | $147306483.55  | 0.22%             | 2030-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2025-4                       | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2025-4 0% 02/18/2031                             | CUSIP: 36273EAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   14345000 | PA      | $14359775.35   | 0.02%             | 2031-02-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE PRIME AUTO RECEIVABLES TRUST 2025-1                                 | CAPITAL ONE PRIME AUTO RECEIVABLES TRUST 2025-1 A3 4.37% 07/15/2030                                 | CUSIP: 14043YAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13940000 | PA      | $13983998.82   | 0.02%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MSBAM 2025-5C2                                                                  | MSBAM 2025-5C2 A3 5.072% 11/15/2030                                                                 | CUSIP: 61779RBK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3780000 | PA      | $3897368.62    | 0.01%             | 2058-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                 | PHILIP MORRIS INTL INC 3.875% 10/27/2028                                                            | CUSIP: 718172DX4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $7978824.32    | 0.01%             | 2028-10-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                 | PHILIP MORRIS INTL INC 4.625% 10/29/2035                                                            | CUSIP: 718172EA3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $5906891.64    | 0.01%             | 2035-10-29      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORPORATION NEW                                                        | AMPHENOL CORPORATION NEW 3.8% 11/15/2027                                                            | CUSIP: 032095AW1<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $7990344.56    | 0.01%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| AMPHENOL CORPORATION NEW                                                        | AMPHENOL CORPORATION NEW 4.125% 11/15/2030                                                          | CUSIP: 032095AY7<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3992037.64    | 0.01%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORPORATION NEW                                                        | AMPHENOL CORPORATION NEW 4.625% 02/15/2036                                                          | CUSIP: 032095BA8<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4952860.60    | 0.01%             | 2036-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORPORATION NEW                                                        | AMPHENOL CORPORATION NEW 5.3% 11/15/2055                                                            | CUSIP: 032095BB6<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2532775.96    | 0.00%             | 2055-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 4.3% 11/15/2030                                                                             | CUSIP: 404119DD8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3589847.35    | 0.01%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 5.7% 11/15/2055                                                                             | CUSIP: 404119DH9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2537101.29    | 0.00%             | 2055-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                                                           | SOUTHWEST AIRLINES CO 5.25% 11/15/2035                                                              | CUSIP: 844741BM9<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |    1460000 | PA      | $1429946.89    | 0.00%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PROCTER and GAMBLE CO                                                           | PROCTER and GAMBLE CO 4.35% 11/03/2035                                                              | CUSIP: 742718GQ6<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6482524.75    | 0.01%             | 2035-11-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 4.943%/VAR 11/04/2036                                                      | CUSIP: 53944YBE2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    2600000 | PA      | $2591379.54    | 0.00%             | 2036-11-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 4.425%/VAR 11/04/2031                                                      | CUSIP: 53944YBD4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $2004071.46    | 0.00%             | 2031-11-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE REG FINANCE CO L.L.C.                                                | BLACKSTONE REG FINANCE CO L.L.C. 4.3% 11/03/2030                                                    | CUSIP: 092914AB6<br>LEI: 254900S2G1V55FTA4590 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2001202.64    | 0.00%             | 2030-11-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| BLACKSTONE REG FINANCE CO L.L.C.                                                | BLACKSTONE REG FINANCE CO L.L.C. 4.95% 02/15/2036                                                   | CUSIP: 092914AC4<br>LEI: 254900S2G1V55FTA4590 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2989770.33    | 0.00%             | 2036-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                            | ROYAL BANK OF CANADA 4.305%/VAR 11/03/2031                                                          | CUSIP: 78017DAQ1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    4200000 | PA      | $4197371.81    | 0.01%             | 2031-11-03      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT VAR K549 A2 09/25/2030                                               | CUSIP: 3137HNNC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19000000 | PA      | $19293164.30   | 0.03%             | 2030-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2025-D                                           | HYUNDAI AUTO RECEIVABLES TRUST 2025-D 4.09% 09/16/2030                                              | CUSIP: 44891XAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   15000000 | PA      | $15060250.50   | 0.02%             | 2030-09-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | META PLATFORMS INC 4.2% 11/15/2030                                                                  | CUSIP: 30303MAB8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    9400000 | PA      | $9465343.35    | 0.01%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| META PLATFORMS INC                                                              | META PLATFORMS INC 4.6% 11/15/2032                                                                  | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    9400000 | PA      | $9540518.25    | 0.01%             | 2032-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| META PLATFORMS INC                                                              | META PLATFORMS INC 4.875% 11/15/2035                                                                | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    9400000 | PA      | $9501878.80    | 0.01%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | META PLATFORMS INC 5.5% 11/15/2045                                                                  | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    9400000 | PA      | $9403066.56    | 0.01%             | 2045-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | META PLATFORMS INC 5.625% 11/15/2055                                                                | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   16870000 | PA      | $16827262.39   | 0.02%             | 2055-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | META PLATFORMS INC 5.75% 11/15/2065                                                                 | CUSIP: 30303M8Y1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    9400000 | PA      | $9360132.53    | 0.01%             | 2065-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 5.133%/VAR 11/06/2036                                                             | CUSIP: 404280FG9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    6800000 | PA      | $6861194.22    | 0.01%             | 2036-11-06      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                    | ALPHABET INC 3.875% 11/15/2028                                                                      | CUSIP: 02079KAV9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    9290000 | PA      | $9345503.85    | 0.01%             | 2028-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| ALPHABET INC                                                                    | ALPHABET INC 4.1% 11/15/2030                                                                        | CUSIP: 02079KAW7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5043127.70    | 0.01%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| ALPHABET INC                                                                    | ALPHABET INC 4.7% 11/15/2035                                                                        | CUSIP: 02079KAY3<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   11600000 | PA      | $11787245.34   | 0.02%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                    | ALPHABET INC 5.45% 11/15/2055                                                                       | CUSIP: 02079KBA4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   21000000 | PA      | $21347607.75   | 0.03%             | 2055-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAP CORP                                                               | NOVARTIS CAP CORP 3.9% 11/05/2028                                                                   | CUSIP: 66989HAX6<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |   10800000 | PA      | $10845209.02   | 0.02%             | 2028-11-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAP CORP                                                               | NOVARTIS CAP CORP 4.1% 11/05/2030                                                                   | CUSIP: 66989HAY4<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $6223910.86    | 0.01%             | 2030-11-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAP CORP                                                               | NOVARTIS CAP CORP 4.6% 11/05/2035                                                                   | CUSIP: 66989HBA5<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |    8600000 | PA      | $8604756.92    | 0.01%             | 2035-11-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| LINCOLN NATIONAL CORP IND                                                       | LINCOLN NATIONAL CORP IND 5.35% 11/15/2035                                                          | CUSIP: 534187BZ1<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |    6600000 | PA      | $6622001.10    | 0.01%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                                            | SHELL FINANCE US INC 4.75% 01/06/2036                                                               | CUSIP: 822905AQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8000000 | PA      | $8060023.44    | 0.01%             | 2036-01-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| EART 2025-5A                                                                    | EART 2025-5A A3 4.44% 11/15/2029                                                                    | CUSIP: 30166VAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8200000 | PA      | $8211381.60    | 0.01%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HAROT 2025-4                                                                    | HAROT 2025-4 A3 3.83% 06/17/2030                                                                    | CUSIP: 43814XAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13000000 | PA      | $13051716.60   | 0.02%             | 2030-06-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTLAKE CORP                                                                   | WESTLAKE CORP 5.55% 11/15/2035                                                                      | CUSIP: 960413BB7<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |    2770000 | PA      | $2787571.72    | 0.00%             | 2035-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| EQUINIX EUROPE 2 FINANCING CORP LLC                                             | EQUINIX EUROPE 2 FINANCING CORP LLC 4.6% 11/15/2030                                                 | CUSIP: 29390XAG9<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3422315.36    | 0.01%             | 2030-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE SECURITIES LLC 25-5C38                             | BARCLAYS COMMERCIAL MORTGAGE SECURITIES LLC 25-5C38 5.22164% 11/15/2058                             | CUSIP: 05556RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11820000 | PA      | $12217031.44   | 0.02%             | 2058-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                             | GLOBAL PAYMENTS INC 4.875% 11/15/2030                                                               | CUSIP: 37940XAW2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5011724.55    | 0.01%             | 2030-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                             | GLOBAL PAYMENTS INC 5.2% 11/15/2032                                                                 | CUSIP: 37940XAX0<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $8027276.24    | 0.01%             | 2032-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                  | TARGA RES CORP 4.35% 01/15/2029                                                                     | CUSIP: 87612GAR2<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2006728.76    | 0.00%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                  | TARGA RES CORP 5.4% 07/30/2036                                                                      | CUSIP: 87612GAS0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2421325.61    | 0.00%             | 2036-07-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                  | FAIRFAX FINANCIAL HLDGS LTD 5.75% 05/20/2035                                                        | CUSIP: 303901BX9<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    3900000 | PA      | $4074321.85    | 0.01%             | 2035-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 4.75% 01/15/2033                                                         | CUSIP: 92343VHF4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10060814.40   | 0.01%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 5% 01/15/2036                                                            | CUSIP: 92343VHG2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6007822.08    | 0.01%             | 2036-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 5.875% 11/30/2045                                                        | CUSIP: 92343VHH0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3025977.36    | 0.00%             | 2045-11-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 5.875% 11/30/2055                                                        | CUSIP: 92343VHJ6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1560000 | PA      | $1574504.27    | 0.00%             | 2055-11-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2055#MA5908                                                                    | CUSIP: 31418FR66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8790522 | PA      | $8608966.95    | 0.01%             | 2055-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2051#RA6499                                                                      | CUSIP: 3133KNGG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     846593 | PA      | $690471.13     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 03/01/2051#SD0537                                                                      | CUSIP: 3132DMS22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     153307 | PA      | $124891.73     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2055#RQ0062                                                                    | CUSIP: 3142J6B85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2984477 | PA      | $2922837.39    | 0.00%             | 2055-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2055#DE0112                                                                      | CUSIP: 3140BCDS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147017 | PA      | $140112.10     | 0.00%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 08/01/2055#QZ0173                                                                      | CUSIP: 31426WFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     188980 | PA      | $180104.21     | 0.00%             | 2055-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 4% 04/01/2055#QY0582                                                                      | CUSIP: 31426JUG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     891484 | PA      | $849612.61     | 0.00%             | 2055-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FREDDIE 30YR 4% 10/01/2055#QZ5090                                                                   | CUSIP: 31427CUQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1874546 | PA      | $1786501.01    | 0.00%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2055#QZ3608                                                                      | CUSIP: 31427BAJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     192883 | PA      | $183823.80     | 0.00%             | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2055#DE8864                                                                      | CUSIP: 3140BMZ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1996875 | PA      | $1903084.42    | 0.00%             | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2055#QZ2718                                                                      | CUSIP: 31427AAU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2743604 | PA      | $2614741.37    | 0.00%             | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 12/01/2054#DC6817                                                                    | CUSIP: 3140AUSF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5513928 | PA      | $5585628.40    | 0.01%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 02/01/2051#FM6099                                                                      | CUSIP: 3140X9X59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     717287 | PA      | $584338.28     | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 4% 11/01/2055#DF4986                                                                 | CUSIP: 3140BVRG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2681636 | PA      | $2555683.58    | 0.00%             | 2055-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 5.5% 11/01/2055#DF5029                                                               | CUSIP: 3140BVST8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4000134 | PA      | $4053399.78    | 0.01%             | 2055-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 08/01/2054#DC0374                                                                      | CUSIP: 3140AMMY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1999801 | PA      | $2048699.28    | 0.00%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 06/01/2055#RQ0014                                                                      | CUSIP: 3142J6AQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1999800 | PA      | $2047136.43    | 0.00%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 06/01/2055#DE0615                                                                      | CUSIP: 3140BCVH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1999801 | PA      | $2054167.36    | 0.00%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 12/01/2054#DC7035                                                                      | CUSIP: 3140AUY98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1999802 | PA      | $2046981.40    | 0.00%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 05/01/2055#FA1730                                                                      | CUSIP: 3140W14Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1999802 | PA      | $2047450.10    | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6% 01/01/2055#QX4065                                                                      | CUSIP: 31425YQT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1999800 | PA      | $2046823.66    | 0.00%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 03/01/2055#CC0972                                                                      | CUSIP: 3140Y7CJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1999801 | PA      | $2046824.90    | 0.00%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 04/01/2055#SL0796                                                                      | CUSIP: 31427M3E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1999801 | PA      | $2046824.92    | 0.00%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 09/01/2054#DB4471                                                                      | CUSIP: 3140AD6H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1999800 | PA      | $2048042.20    | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6% 05/01/2055#SL1137                                                                      | CUSIP: 31427NHP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     999900 | PA      | $1024224.55    | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 04/01/2055#DD8109                                                                      | CUSIP: 3140B9AK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     999900 | PA      | $1023568.35    | 0.00%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 06/01/2055#MA5737                                                                    | CUSIP: 31418FLT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3999602 | PA      | $4139156.42    | 0.01%             | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SCHWAB CHARLES CORP                                                             | SCHWAB CHARLES CORP 4.343%/VAR 11/14/2031                                                           | CUSIP: 808513CK9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4010370.56    | 0.01%             | 2031-11-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SCHWAB CHARLES CORP                                                             | SCHWAB CHARLES CORP 4.914%/VAR 11/14/2036                                                           | CUSIP: 808513CL7<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3005436.30    | 0.00%             | 2036-11-14      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-4                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-4 A3 4.23% 04/15/2030                                   | CUSIP: 802923AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9475000 | PA      | $9490163.79    | 0.01%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 10/01/2050#BN7466                                                                      | CUSIP: 3140JQJL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279065 | PA      | $227340.70     | 0.00%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2052#BV0273                                                                      | CUSIP: 3140MDJT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348048 | PA      | $309308.90     | 0.00%             | 2052-01-01      | 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 4.163% 10/25/2030                                                    | CUSIP: 3137HNWH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3023653.20    | 0.00%             | 2030-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ONTARIO PROVINCE CDA                                                            | ONTARIO PROVINCE CDA 4.45% 11/20/2035                                                               | CUSIP: 683234D21<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |   20500000 | PA      | $20616114.67   | 0.03%             | 2035-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | AMAZON.COM INC 3.9% 11/20/2028                                                                      | CUSIP: 023135CS3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10038665.10   | 0.01%             | 2028-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | AMAZON.COM INC 5.45% 11/20/2055                                                                     | CUSIP: 023135CW4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10085686.20   | 0.01%             | 2055-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NA                                                  | MORGAN STANLEY PRIVATE BANK NA 4.465%/VAR 11/19/2031                                                | CUSIP: 61776NZW6<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5731175.07    | 0.01%             | 2031-11-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SMURFIT WESTROCK FIN                                                            | SMURFIT WESTROCK FIN 5.185% 01/15/2036                                                              | CUSIP: 83272YAC6<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |    2600000 | PA      | $2628246.04    | 0.00%             | 2036-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | ENBRIDGE INC 4.2% 11/20/2028                                                                        | CUSIP: 29250NCM5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    6000000 | PA      | $6015102.18    | 0.01%             | 2028-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                          | CONSOLIDATED EDISON CO OF NY 5.75% 11/15/2055                                                       | CUSIP: 209111GP2<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3375129.09    | 0.00%             | 2055-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CORNELL UNIV NY REV                                                             | CORNELL UNIV NY REV 4.169% 06/15/2030                                                               | CUSIP: 219207AD9<br>LEI: 549300ZZIJPNT0RZWP17 | Long             | DBT              | MUN               | US        |    1000000 | PA      | $1008211.80    | 0.00%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CORNELL UNIV NY REV                                                             | CORNELL UNIV NY REV 4.733% 06/15/2035                                                               | CUSIP: 219207AF4<br>LEI: 549300ZZIJPNT0RZWP17 | Long             | DBT              | MUN               | US        |    3000000 | PA      | $3041800.80    | 0.00%             | 2035-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                      | PFIZER INC 4.875% 11/15/2035                                                                        | CUSIP: 717081FF5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5059788.95    | 0.01%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                      | PFIZER INC 5.6% 11/15/2055                                                                          | CUSIP: 717081FG3<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2024204.50    | 0.00%             | 2055-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ASCENSION HEALTH                                                                | ASCENSION HEALTH 4.078% 11/15/2028                                                                  | CUSIP: 04351LAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2727000 | PA      | $2743425.84    | 0.00%             | 2028-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASCENSION HEALTH                                                                | ASCENSION HEALTH 4.294% 11/15/2030                                                                  | CUSIP: 04351LAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3182000 | PA      | $3204811.95    | 0.00%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASCENSION HEALTH                                                                | ASCENSION HEALTH 4.923% 11/15/2035                                                                  | CUSIP: 04351LAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1394000 | PA      | $1416065.64    | 0.00%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR18                                                                | BANK5 2025-5YR18 A3 2025 5YR18 A3 12/15/2058                                                        | CUSIP: 06604CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11170000 | PA      | $11513430.59   | 0.02%             | 2058-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-30

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer